E-mini S&P 500 Future March 2012


Trading Metrics calculated at close of trading on 05-Oct-2011
Day Change Summary
Previous Current
04-Oct-2011 05-Oct-2011 Change Change % Previous Week
Open 1,080.25 1,109.00 28.75 2.7% 1,119.25
High 1,113.00 1,135.00 22.00 2.0% 1,183.50
Low 1,062.00 1,100.50 38.50 3.6% 1,108.50
Close 1,107.25 1,128.50 21.25 1.9% 1,119.50
Range 51.00 34.50 -16.50 -32.4% 75.00
ATR 37.66 37.43 -0.23 -0.6% 0.00
Volume 1,625 3,685 2,060 126.8% 7,763
Daily Pivots for day following 05-Oct-2011
Classic Woodie Camarilla DeMark
R4 1,224.75 1,211.25 1,147.50
R3 1,190.25 1,176.75 1,138.00
R2 1,155.75 1,155.75 1,134.75
R1 1,142.25 1,142.25 1,131.75 1,149.00
PP 1,121.25 1,121.25 1,121.25 1,124.75
S1 1,107.75 1,107.75 1,125.25 1,114.50
S2 1,086.75 1,086.75 1,122.25
S3 1,052.25 1,073.25 1,119.00
S4 1,017.75 1,038.75 1,109.50
Weekly Pivots for week ending 30-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,362.25 1,315.75 1,160.75
R3 1,287.25 1,240.75 1,140.00
R2 1,212.25 1,212.25 1,133.25
R1 1,165.75 1,165.75 1,126.50 1,189.00
PP 1,137.25 1,137.25 1,137.25 1,148.75
S1 1,090.75 1,090.75 1,112.50 1,114.00
S2 1,062.25 1,062.25 1,105.75
S3 987.25 1,015.75 1,099.00
S4 912.25 940.75 1,078.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,164.00 1,062.00 102.00 9.0% 41.50 3.7% 65% False False 1,912
10 1,183.50 1,062.00 121.50 10.8% 41.00 3.6% 55% False False 1,692
20 1,208.00 1,062.00 146.00 12.9% 36.50 3.2% 46% False False 1,056
40 1,217.75 1,062.00 155.75 13.8% 35.25 3.1% 43% False False 592
60 1,335.75 1,062.00 273.75 24.3% 34.00 3.0% 24% False False 405
80 1,342.75 1,062.00 280.75 24.9% 29.50 2.6% 24% False False 309
100 1,342.75 1,062.00 280.75 24.9% 24.00 2.1% 24% False False 248
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
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 9.33
Narrowest range in 11 trading days
Fibonacci Retracements and Extensions
4.250 1,281.50
2.618 1,225.25
1.618 1,190.75
1.000 1,169.50
0.618 1,156.25
HIGH 1,135.00
0.618 1,121.75
0.500 1,117.75
0.382 1,113.75
LOW 1,100.50
0.618 1,079.25
1.000 1,066.00
1.618 1,044.75
2.618 1,010.25
4.250 954.00
Fisher Pivots for day following 05-Oct-2011
Pivot 1 day 3 day
R1 1,125.00 1,118.50
PP 1,121.25 1,108.50
S1 1,117.75 1,098.50

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

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