E-mini S&P 500 Future December 2011


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Trading Metrics calculated at close of trading on 25-Nov-2011
Day Change Summary
Previous Current
23-Nov-2011 25-Nov-2011 Change Change % Previous Week
Open 1,182.75 1,162.50 -20.25 -1.7% 1,208.00
High 1,185.00 1,173.75 -11.25 -0.9% 1,209.00
Low 1,158.50 1,147.50 -11.00 -0.9% 1,147.50
Close 1,160.00 1,153.50 -6.50 -0.6% 1,153.50
Range 26.50 26.25 -0.25 -0.9% 61.50
ATR 30.16 29.88 -0.28 -0.9% 0.00
Volume 2,322,710 1,518,196 -804,514 -34.6% 8,326,274
Daily Pivots for day following 25-Nov-2011
Classic Woodie Camarilla DeMark
R4 1,237.00 1,221.50 1,168.00
R3 1,210.75 1,195.25 1,160.75
R2 1,184.50 1,184.50 1,158.25
R1 1,169.00 1,169.00 1,156.00 1,163.50
PP 1,158.25 1,158.25 1,158.25 1,155.50
S1 1,142.75 1,142.75 1,151.00 1,137.50
S2 1,132.00 1,132.00 1,148.75
S3 1,105.75 1,116.50 1,146.25
S4 1,079.50 1,090.25 1,139.00
Weekly Pivots for week ending 25-Nov-2011
Classic Woodie Camarilla DeMark
R4 1,354.50 1,315.50 1,187.25
R3 1,293.00 1,254.00 1,170.50
R2 1,231.50 1,231.50 1,164.75
R1 1,192.50 1,192.50 1,159.25 1,181.25
PP 1,170.00 1,170.00 1,170.00 1,164.50
S1 1,131.00 1,131.00 1,147.75 1,119.75
S2 1,108.50 1,108.50 1,142.25
S3 1,047.00 1,069.50 1,136.50
S4 985.50 1,008.00 1,119.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,229.75 1,147.50 82.25 7.1% 24.25 2.1% 7% False True 2,099,647
10 1,270.75 1,147.50 123.25 10.7% 27.25 2.4% 5% False True 2,201,459
20 1,284.25 1,147.50 136.75 11.9% 29.25 2.5% 4% False True 2,359,040
40 1,289.25 1,068.00 221.25 19.2% 31.00 2.7% 39% False False 2,520,186
60 1,289.25 1,068.00 221.25 19.2% 32.50 2.8% 39% False False 2,511,151
80 1,289.25 1,068.00 221.25 19.2% 36.00 3.1% 39% False False 1,885,959
100 1,348.75 1,068.00 280.75 24.3% 33.25 2.9% 30% False False 1,509,145
120 1,348.75 1,068.00 280.75 24.3% 30.75 2.7% 30% False False 1,257,769
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
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 6.48
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,285.25
2.618 1,242.50
1.618 1,216.25
1.000 1,200.00
0.618 1,190.00
HIGH 1,173.75
0.618 1,163.75
0.500 1,160.50
0.382 1,157.50
LOW 1,147.50
0.618 1,131.25
1.000 1,121.25
1.618 1,105.00
2.618 1,078.75
4.250 1,036.00
Fisher Pivots for day following 25-Nov-2011
Pivot 1 day 3 day
R1 1,160.50 1,173.25
PP 1,158.25 1,166.75
S1 1,156.00 1,160.00

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

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