E-mini S&P 500 Future December 2011


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Trading Metrics calculated at close of trading on 05-Dec-2011
Day Change Summary
Previous Current
02-Dec-2011 05-Dec-2011 Change Change % Previous Week
Open 1,243.50 1,248.00 4.50 0.4% 1,172.00
High 1,262.75 1,266.25 3.50 0.3% 1,262.75
Low 1,242.00 1,248.00 6.00 0.5% 1,169.25
Close 1,243.50 1,255.00 11.50 0.9% 1,243.50
Range 20.75 18.25 -2.50 -12.0% 93.50
ATR 30.45 29.90 -0.55 -1.8% 0.00
Volume 2,177,069 2,333,706 156,637 7.2% 12,364,191
Daily Pivots for day following 05-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,311.25 1,301.25 1,265.00
R3 1,293.00 1,283.00 1,260.00
R2 1,274.75 1,274.75 1,258.25
R1 1,264.75 1,264.75 1,256.75 1,269.75
PP 1,256.50 1,256.50 1,256.50 1,259.00
S1 1,246.50 1,246.50 1,253.25 1,251.50
S2 1,238.25 1,238.25 1,251.75
S3 1,220.00 1,228.25 1,250.00
S4 1,201.75 1,210.00 1,245.00
Weekly Pivots for week ending 02-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,505.75 1,468.00 1,295.00
R3 1,412.25 1,374.50 1,269.25
R2 1,318.75 1,318.75 1,260.75
R1 1,281.00 1,281.00 1,252.00 1,300.00
PP 1,225.25 1,225.25 1,225.25 1,234.50
S1 1,187.50 1,187.50 1,235.00 1,206.50
S2 1,131.75 1,131.75 1,226.25
S3 1,038.25 1,094.00 1,217.75
S4 944.75 1,000.50 1,192.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,266.25 1,183.00 83.25 6.6% 27.50 2.2% 86% True False 2,466,988
10 1,266.25 1,147.50 118.75 9.5% 26.50 2.1% 91% True False 2,302,417
20 1,275.25 1,147.50 127.75 10.2% 28.50 2.3% 84% False False 2,337,905
40 1,289.25 1,147.50 141.75 11.3% 29.50 2.3% 76% False False 2,401,790
60 1,289.25 1,068.00 221.25 17.6% 32.00 2.5% 85% False False 2,675,079
80 1,289.25 1,068.00 221.25 17.6% 32.50 2.6% 85% False False 2,068,865
100 1,342.00 1,068.00 274.00 21.8% 33.75 2.7% 68% False False 1,656,031
120 1,348.75 1,068.00 280.75 22.4% 31.25 2.5% 67% False False 1,380,211
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 True
3BNR True
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.08
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,343.75
2.618 1,314.00
1.618 1,295.75
1.000 1,284.50
0.618 1,277.50
HIGH 1,266.25
0.618 1,259.25
0.500 1,257.00
0.382 1,255.00
LOW 1,248.00
0.618 1,236.75
1.000 1,229.75
1.618 1,218.50
2.618 1,200.25
4.250 1,170.50
Fisher Pivots for day following 05-Dec-2011
Pivot 1 day 3 day
R1 1,257.00 1,253.75
PP 1,256.50 1,252.25
S1 1,255.75 1,251.00

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

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