E-mini NASDAQ-100 Future December 2011


Trading Metrics calculated at close of trading on 28-Sep-2011
Day Change Summary
Previous Current
27-Sep-2011 28-Sep-2011 Change Change % Previous Week
Open 2,226.50 2,252.25 25.75 1.2% 2,288.00
High 2,285.25 2,275.75 -9.50 -0.4% 2,332.50
Low 2,221.25 2,212.00 -9.25 -0.4% 2,134.00
Close 2,254.00 2,218.50 -35.50 -1.6% 2,202.00
Range 64.00 63.75 -0.25 -0.4% 198.50
ATR 66.50 66.30 -0.20 -0.3% 0.00
Volume 351,571 325,688 -25,883 -7.4% 1,976,624
Daily Pivots for day following 28-Sep-2011
Classic Woodie Camarilla DeMark
R4 2,426.75 2,386.25 2,253.50
R3 2,363.00 2,322.50 2,236.00
R2 2,299.25 2,299.25 2,230.25
R1 2,258.75 2,258.75 2,224.25 2,247.00
PP 2,235.50 2,235.50 2,235.50 2,229.50
S1 2,195.00 2,195.00 2,212.75 2,183.50
S2 2,171.75 2,171.75 2,206.75
S3 2,108.00 2,131.25 2,201.00
S4 2,044.25 2,067.50 2,183.50
Weekly Pivots for week ending 23-Sep-2011
Classic Woodie Camarilla DeMark
R4 2,818.25 2,708.75 2,311.25
R3 2,619.75 2,510.25 2,256.50
R2 2,421.25 2,421.25 2,238.50
R1 2,311.75 2,311.75 2,220.25 2,267.25
PP 2,222.75 2,222.75 2,222.75 2,200.50
S1 2,113.25 2,113.25 2,183.75 2,068.75
S2 2,024.25 2,024.25 2,165.50
S3 1,825.75 1,914.75 2,147.50
S4 1,627.25 1,716.25 2,092.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 2,285.25 2,134.00 151.25 6.8% 75.75 3.4% 56% False False 409,389
10 2,332.50 2,134.00 198.50 8.9% 64.75 2.9% 43% False False 375,642
20 2,332.50 2,103.25 229.25 10.3% 63.00 2.8% 50% False False 265,539
40 2,332.50 1,964.00 368.50 16.6% 73.50 3.3% 69% False False 133,066
60 2,429.50 1,964.00 465.50 21.0% 63.50 2.9% 55% False False 88,842
80 2,429.50 1,964.00 465.50 21.0% 54.50 2.5% 55% False False 66,642
100 2,429.50 1,964.00 465.50 21.0% 44.25 2.0% 55% False False 53,314
120 2,429.50 1,964.00 465.50 21.0% 37.50 1.7% 55% False False 44,429
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 17.50
Narrowest range in 6 trading days
Fibonacci Retracements and Extensions
4.250 2,546.75
2.618 2,442.75
1.618 2,379.00
1.000 2,339.50
0.618 2,315.25
HIGH 2,275.75
0.618 2,251.50
0.500 2,244.00
0.382 2,236.25
LOW 2,212.00
0.618 2,172.50
1.000 2,148.25
1.618 2,108.75
2.618 2,045.00
4.250 1,941.00
Fisher Pivots for day following 28-Sep-2011
Pivot 1 day 3 day
R1 2,244.00 2,223.75
PP 2,235.50 2,222.00
S1 2,227.00 2,220.25

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

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