E-mini S&P 500 Future December 2011


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Trading Metrics calculated at close of trading on 30-Nov-2011
Day Change Summary
Previous Current
29-Nov-2011 30-Nov-2011 Change Change % Previous Week
Open 1,190.75 1,195.00 4.25 0.4% 1,208.00
High 1,206.00 1,246.75 40.75 3.4% 1,209.00
Low 1,186.25 1,183.00 -3.25 -0.3% 1,147.50
Close 1,196.50 1,246.00 49.50 4.1% 1,153.50
Range 19.75 63.75 44.00 222.8% 61.50
ATR 30.01 32.42 2.41 8.0% 0.00
Volume 2,421,277 3,292,771 871,494 36.0% 8,326,274
Daily Pivots for day following 30-Nov-2011
Classic Woodie Camarilla DeMark
R4 1,416.50 1,395.00 1,281.00
R3 1,352.75 1,331.25 1,263.50
R2 1,289.00 1,289.00 1,257.75
R1 1,267.50 1,267.50 1,251.75 1,278.25
PP 1,225.25 1,225.25 1,225.25 1,230.50
S1 1,203.75 1,203.75 1,240.25 1,214.50
S2 1,161.50 1,161.50 1,234.25
S3 1,097.75 1,140.00 1,228.50
S4 1,034.00 1,076.25 1,211.00
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 1,246.75 1,147.50 99.25 8.0% 32.75 2.6% 99% True False 2,383,582
10 1,258.75 1,147.50 111.25 8.9% 29.50 2.4% 89% False False 2,438,056
20 1,275.25 1,147.50 127.75 10.3% 30.25 2.4% 77% False False 2,372,067
40 1,289.25 1,106.50 182.75 14.7% 30.50 2.4% 76% False False 2,455,953
60 1,289.25 1,068.00 221.25 17.8% 32.75 2.6% 80% False False 2,643,689
80 1,289.25 1,068.00 221.25 17.8% 35.00 2.8% 80% False False 1,986,559
100 1,342.00 1,068.00 274.00 22.0% 33.75 2.7% 65% False False 1,589,887
120 1,348.75 1,068.00 280.75 22.5% 31.25 2.5% 63% False False 1,325,072
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 6.30
Widest range in 77 trading days
Fibonacci Retracements and Extensions
4.250 1,517.75
2.618 1,413.75
1.618 1,350.00
1.000 1,310.50
0.618 1,286.25
HIGH 1,246.75
0.618 1,222.50
0.500 1,215.00
0.382 1,207.25
LOW 1,183.00
0.618 1,143.50
1.000 1,119.25
1.618 1,079.75
2.618 1,016.00
4.250 912.00
Fisher Pivots for day following 30-Nov-2011
Pivot 1 day 3 day
R1 1,235.50 1,233.25
PP 1,225.25 1,220.75
S1 1,215.00 1,208.00

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

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