E-mini S&P 500 Future December 2011


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Trading Metrics calculated at close of trading on 21-Nov-2011
Day Change Summary
Previous Current
18-Nov-2011 21-Nov-2011 Change Change % Previous Week
Open 1,215.00 1,208.00 -7.00 -0.6% 1,264.25
High 1,229.75 1,209.00 -20.75 -1.7% 1,270.75
Low 1,208.75 1,180.75 -28.00 -2.3% 1,206.50
Close 1,214.00 1,190.75 -23.25 -1.9% 1,214.00
Range 21.00 28.25 7.25 34.5% 64.25
ATR 31.11 31.26 0.15 0.5% 0.00
Volume 2,171,965 2,178,618 6,653 0.3% 12,086,560
Daily Pivots for day following 21-Nov-2011
Classic Woodie Camarilla DeMark
R4 1,278.25 1,262.75 1,206.25
R3 1,250.00 1,234.50 1,198.50
R2 1,221.75 1,221.75 1,196.00
R1 1,206.25 1,206.25 1,193.25 1,200.00
PP 1,193.50 1,193.50 1,193.50 1,190.25
S1 1,178.00 1,178.00 1,188.25 1,171.50
S2 1,165.25 1,165.25 1,185.50
S3 1,137.00 1,149.75 1,183.00
S4 1,108.75 1,121.50 1,175.25
Weekly Pivots for week ending 18-Nov-2011
Classic Woodie Camarilla DeMark
R4 1,423.25 1,382.75 1,249.25
R3 1,359.00 1,318.50 1,231.75
R2 1,294.75 1,294.75 1,225.75
R1 1,254.25 1,254.25 1,220.00 1,242.50
PP 1,230.50 1,230.50 1,230.50 1,224.50
S1 1,190.00 1,190.00 1,208.00 1,178.00
S2 1,166.25 1,166.25 1,202.25
S3 1,102.00 1,125.75 1,196.25
S4 1,037.75 1,061.50 1,178.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,262.25 1,180.75 81.50 6.8% 28.25 2.4% 12% False True 2,479,859
10 1,275.25 1,180.75 94.50 7.9% 30.50 2.6% 11% False True 2,393,049
20 1,289.25 1,180.75 108.50 9.1% 31.00 2.6% 9% False True 2,481,642
40 1,289.25 1,068.00 221.25 18.6% 32.00 2.7% 55% False False 2,591,885
60 1,289.25 1,068.00 221.25 18.6% 32.75 2.7% 55% False False 2,409,555
80 1,304.00 1,068.00 236.00 19.8% 36.50 3.1% 52% False False 1,809,192
100 1,348.75 1,068.00 280.75 23.6% 33.00 2.8% 44% False False 1,447,691
120 1,348.75 1,068.00 280.75 23.6% 30.50 2.6% 44% False False 1,206,540
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 6.08
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,329.00
2.618 1,283.00
1.618 1,254.75
1.000 1,237.25
0.618 1,226.50
HIGH 1,209.00
0.618 1,198.25
0.500 1,195.00
0.382 1,191.50
LOW 1,180.75
0.618 1,163.25
1.000 1,152.50
1.618 1,135.00
2.618 1,106.75
4.250 1,060.75
Fisher Pivots for day following 21-Nov-2011
Pivot 1 day 3 day
R1 1,195.00 1,211.25
PP 1,193.50 1,204.50
S1 1,192.00 1,197.50

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

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