E-mini S&P 500 Future December 2011


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Trading Metrics calculated at close of trading on 14-Dec-2011
Day Change Summary
Previous Current
13-Dec-2011 14-Dec-2011 Change Change % Previous Week
Open 1,235.00 1,226.00 -9.00 -0.7% 1,248.00
High 1,249.75 1,232.50 -17.25 -1.4% 1,272.00
Low 1,218.50 1,209.00 -9.50 -0.8% 1,228.50
Close 1,226.25 1,212.50 -13.75 -1.1% 1,258.75
Range 31.25 23.50 -7.75 -24.8% 43.50
ATR 30.30 29.82 -0.49 -1.6% 0.00
Volume 999,447 593,669 -405,778 -40.6% 10,823,780
Daily Pivots for day following 14-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,288.50 1,274.00 1,225.50
R3 1,265.00 1,250.50 1,219.00
R2 1,241.50 1,241.50 1,216.75
R1 1,227.00 1,227.00 1,214.75 1,222.50
PP 1,218.00 1,218.00 1,218.00 1,215.75
S1 1,203.50 1,203.50 1,210.25 1,199.00
S2 1,194.50 1,194.50 1,208.25
S3 1,171.00 1,180.00 1,206.00
S4 1,147.50 1,156.50 1,199.50
Weekly Pivots for week ending 09-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,383.50 1,364.75 1,282.75
R3 1,340.00 1,321.25 1,270.75
R2 1,296.50 1,296.50 1,266.75
R1 1,277.75 1,277.75 1,262.75 1,287.00
PP 1,253.00 1,253.00 1,253.00 1,257.75
S1 1,234.25 1,234.25 1,254.75 1,243.50
S2 1,209.50 1,209.50 1,250.75
S3 1,166.00 1,190.75 1,246.75
S4 1,122.50 1,147.25 1,234.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,272.00 1,209.00 63.00 5.2% 32.50 2.7% 6% False True 1,216,542
10 1,272.00 1,209.00 63.00 5.2% 26.00 2.2% 6% False True 1,761,248
20 1,272.00 1,147.50 124.50 10.3% 27.75 2.3% 52% False False 2,099,652
40 1,289.25 1,147.50 141.75 11.7% 29.25 2.4% 46% False False 2,272,607
60 1,289.25 1,068.00 221.25 18.2% 31.75 2.6% 65% False False 2,498,881
80 1,289.25 1,068.00 221.25 18.2% 32.00 2.6% 65% False False 2,205,775
100 1,334.00 1,068.00 266.00 21.9% 34.50 2.8% 54% False False 1,765,814
120 1,348.75 1,068.00 280.75 23.2% 32.00 2.6% 51% False False 1,471,766
Crabel Price Patterns
NR True
NR4 True
NR5 True
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 6.93
Narrowest range in 6 trading days
Fibonacci Retracements and Extensions
4.250 1,332.50
2.618 1,294.00
1.618 1,270.50
1.000 1,256.00
0.618 1,247.00
HIGH 1,232.50
0.618 1,223.50
0.500 1,220.75
0.382 1,218.00
LOW 1,209.00
0.618 1,194.50
1.000 1,185.50
1.618 1,171.00
2.618 1,147.50
4.250 1,109.00
Fisher Pivots for day following 14-Dec-2011
Pivot 1 day 3 day
R1 1,220.75 1,234.75
PP 1,218.00 1,227.25
S1 1,215.25 1,220.00

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

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