E-mini S&P 500 Future December 2011


Trading Metrics calculated at close of trading on 29-Nov-2011
Day Change Summary
Previous Current
28-Nov-2011 29-Nov-2011 Change Change % Previous Week
Open 1,172.00 1,190.75 18.75 1.6% 1,208.00
High 1,196.25 1,206.00 9.75 0.8% 1,209.00
Low 1,169.25 1,186.25 17.00 1.5% 1,147.50
Close 1,191.00 1,196.50 5.50 0.5% 1,153.50
Range 27.00 19.75 -7.25 -26.9% 61.50
ATR 30.80 30.01 -0.79 -2.6% 0.00
Volume 2,362,957 2,421,277 58,320 2.5% 8,326,274
Daily Pivots for day following 29-Nov-2011
Classic Woodie Camarilla DeMark
R4 1,255.50 1,245.75 1,207.25
R3 1,235.75 1,226.00 1,202.00
R2 1,216.00 1,216.00 1,200.00
R1 1,206.25 1,206.25 1,198.25 1,211.00
PP 1,196.25 1,196.25 1,196.25 1,198.75
S1 1,186.50 1,186.50 1,194.75 1,191.50
S2 1,176.50 1,176.50 1,193.00
S3 1,156.75 1,166.75 1,191.00
S4 1,137.00 1,147.00 1,185.75
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 1,206.00 1,147.50 58.50 4.9% 23.75 2.0% 84% True False 2,186,378
10 1,262.25 1,147.50 114.75 9.6% 26.00 2.2% 43% False False 2,333,118
20 1,275.25 1,147.50 127.75 10.7% 29.25 2.4% 38% False False 2,390,729
40 1,289.25 1,068.00 221.25 18.5% 30.00 2.5% 58% False False 2,477,918
60 1,289.25 1,068.00 221.25 18.5% 32.25 2.7% 58% False False 2,589,849
80 1,289.25 1,068.00 221.25 18.5% 35.00 2.9% 58% False False 1,945,545
100 1,342.00 1,068.00 274.00 22.9% 33.50 2.8% 47% False False 1,556,969
120 1,348.75 1,068.00 280.75 23.5% 31.00 2.6% 46% False False 1,297,635
Crabel Price Patterns
NR True
NR4 True
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 6.18
Narrowest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1,290.00
2.618 1,257.75
1.618 1,238.00
1.000 1,225.75
0.618 1,218.25
HIGH 1,206.00
0.618 1,198.50
0.500 1,196.00
0.382 1,193.75
LOW 1,186.25
0.618 1,174.00
1.000 1,166.50
1.618 1,154.25
2.618 1,134.50
4.250 1,102.25
Fisher Pivots for day following 29-Nov-2011
Pivot 1 day 3 day
R1 1,196.50 1,190.00
PP 1,196.25 1,183.25
S1 1,196.00 1,176.75

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

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