E-mini S&P 500 Future March 2012


Trading Metrics calculated at close of trading on 14-Sep-2011
Day Change Summary
Previous Current
13-Sep-2011 14-Sep-2011 Change Change % Previous Week
Open 1,152.75 1,155.75 3.00 0.3% 1,155.25
High 1,164.00 1,190.00 26.00 2.2% 1,192.25
Low 1,134.75 1,143.25 8.50 0.7% 1,125.25
Close 1,159.50 1,176.50 17.00 1.5% 1,147.00
Range 29.25 46.75 17.50 59.8% 67.00
ATR 33.84 34.76 0.92 2.7% 0.00
Volume 304 101 -203 -66.8% 311
Daily Pivots for day following 14-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,310.25 1,290.00 1,202.25
R3 1,263.50 1,243.25 1,189.25
R2 1,216.75 1,216.75 1,185.00
R1 1,196.50 1,196.50 1,180.75 1,206.50
PP 1,170.00 1,170.00 1,170.00 1,175.00
S1 1,149.75 1,149.75 1,172.25 1,160.00
S2 1,123.25 1,123.25 1,168.00
S3 1,076.50 1,103.00 1,163.75
S4 1,029.75 1,056.25 1,150.75
Weekly Pivots for week ending 09-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,355.75 1,318.50 1,183.75
R3 1,288.75 1,251.50 1,165.50
R2 1,221.75 1,221.75 1,159.25
R1 1,184.50 1,184.50 1,153.25 1,169.50
PP 1,154.75 1,154.75 1,154.75 1,147.50
S1 1,117.50 1,117.50 1,140.75 1,102.50
S2 1,087.75 1,087.75 1,134.75
S3 1,020.75 1,050.50 1,128.50
S4 953.75 983.50 1,110.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,192.25 1,119.00 73.25 6.2% 35.25 3.0% 78% False False 132
10 1,217.75 1,119.00 98.75 8.4% 32.00 2.7% 58% False False 86
20 1,217.75 1,102.00 115.75 9.8% 32.75 2.8% 64% False False 144
40 1,335.75 1,067.00 268.75 22.8% 35.00 3.0% 41% False False 94
60 1,342.75 1,067.00 275.75 23.4% 29.00 2.5% 40% False False 69
80 1,342.75 1,067.00 275.75 23.4% 22.75 1.9% 40% False False 54
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 7.75
Widest range in 23 trading days
Fibonacci Retracements and Extensions
4.250 1,388.75
2.618 1,312.50
1.618 1,265.75
1.000 1,236.75
0.618 1,219.00
HIGH 1,190.00
0.618 1,172.25
0.500 1,166.50
0.382 1,161.00
LOW 1,143.25
0.618 1,114.25
1.000 1,096.50
1.618 1,067.50
2.618 1,020.75
4.250 944.50
Fisher Pivots for day following 14-Sep-2011
Pivot 1 day 3 day
R1 1,173.25 1,169.25
PP 1,170.00 1,161.75
S1 1,166.50 1,154.50

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

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