E-mini S&P 500 Future December 2011


Trading Metrics calculated at close of trading on 11-Nov-2011
Day Change Summary
Previous Current
10-Nov-2011 11-Nov-2011 Change Change % Previous Week
Open 1,226.25 1,237.50 11.25 0.9% 1,253.25
High 1,245.00 1,264.75 19.75 1.6% 1,275.25
Low 1,218.25 1,233.75 15.50 1.3% 1,218.25
Close 1,237.50 1,261.50 24.00 1.9% 1,261.50
Range 26.75 31.00 4.25 15.9% 57.00
ATR 32.66 32.55 -0.12 -0.4% 0.00
Volume 2,581,674 1,601,758 -979,916 -38.0% 11,647,373
Daily Pivots for day following 11-Nov-2011
Classic Woodie Camarilla DeMark
R4 1,346.25 1,335.00 1,278.50
R3 1,315.25 1,304.00 1,270.00
R2 1,284.25 1,284.25 1,267.25
R1 1,273.00 1,273.00 1,264.25 1,278.50
PP 1,253.25 1,253.25 1,253.25 1,256.25
S1 1,242.00 1,242.00 1,258.75 1,247.50
S2 1,222.25 1,222.25 1,255.75
S3 1,191.25 1,211.00 1,253.00
S4 1,160.25 1,180.00 1,244.50
Weekly Pivots for week ending 11-Nov-2011
Classic Woodie Camarilla DeMark
R4 1,422.75 1,399.00 1,292.75
R3 1,365.75 1,342.00 1,277.25
R2 1,308.75 1,308.75 1,272.00
R1 1,285.00 1,285.00 1,266.75 1,297.00
PP 1,251.75 1,251.75 1,251.75 1,257.50
S1 1,228.00 1,228.00 1,256.25 1,240.00
S2 1,194.75 1,194.75 1,251.00
S3 1,137.75 1,171.00 1,245.75
S4 1,080.75 1,114.00 1,230.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,275.25 1,218.25 57.00 4.5% 32.75 2.6% 76% False False 2,329,474
10 1,280.75 1,208.50 72.25 5.7% 33.00 2.6% 73% False False 2,485,586
20 1,289.25 1,185.50 103.75 8.2% 31.75 2.5% 73% False False 2,508,320
40 1,289.25 1,068.00 221.25 17.5% 33.75 2.7% 87% False False 2,721,815
60 1,289.25 1,068.00 221.25 17.5% 33.75 2.7% 87% False False 2,172,974
80 1,342.00 1,068.00 274.00 21.7% 35.75 2.8% 71% False False 1,631,071
100 1,348.75 1,068.00 280.75 22.3% 32.75 2.6% 69% False False 1,305,125
120 1,348.75 1,068.00 280.75 22.3% 30.00 2.4% 69% False False 1,087,665
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.98
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,396.50
2.618 1,346.00
1.618 1,315.00
1.000 1,295.75
0.618 1,284.00
HIGH 1,264.75
0.618 1,253.00
0.500 1,249.25
0.382 1,245.50
LOW 1,233.75
0.618 1,214.50
1.000 1,202.75
1.618 1,183.50
2.618 1,152.50
4.250 1,102.00
Fisher Pivots for day following 11-Nov-2011
Pivot 1 day 3 day
R1 1,257.50 1,256.50
PP 1,253.25 1,251.25
S1 1,249.25 1,246.00

These figures are updated between 7pm and 10pm EST after a trading day.

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