E-mini S&P 500 Future March 2012


Trading Metrics calculated at close of trading on 30-Dec-2011
Day Change Summary
Previous Current
29-Dec-2011 30-Dec-2011 Change Change % Previous Week
Open 1,244.00 1,256.75 12.75 1.0% 1,260.50
High 1,258.50 1,260.50 2.00 0.2% 1,264.50
Low 1,243.75 1,250.75 7.00 0.6% 1,243.00
Close 1,257.50 1,252.50 -5.00 -0.4% 1,252.50
Range 14.75 9.75 -5.00 -33.9% 21.50
ATR 24.36 23.32 -1.04 -4.3% 0.00
Volume 677,675 452,715 -224,960 -33.2% 2,349,782
Daily Pivots for day following 30-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,283.75 1,278.00 1,257.75
R3 1,274.00 1,268.25 1,255.25
R2 1,264.25 1,264.25 1,254.25
R1 1,258.50 1,258.50 1,253.50 1,256.50
PP 1,254.50 1,254.50 1,254.50 1,253.50
S1 1,248.75 1,248.75 1,251.50 1,246.75
S2 1,244.75 1,244.75 1,250.75
S3 1,235.00 1,239.00 1,249.75
S4 1,225.25 1,229.25 1,247.25
Weekly Pivots for week ending 30-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,317.75 1,306.75 1,264.25
R3 1,296.25 1,285.25 1,258.50
R2 1,274.75 1,274.75 1,256.50
R1 1,263.75 1,263.75 1,254.50 1,258.50
PP 1,253.25 1,253.25 1,253.25 1,250.75
S1 1,242.25 1,242.25 1,250.50 1,237.00
S2 1,231.75 1,231.75 1,248.50
S3 1,210.25 1,220.75 1,246.50
S4 1,188.75 1,199.25 1,240.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,264.50 1,243.00 21.50 1.7% 13.25 1.1% 44% False False 577,296
10 1,264.50 1,195.50 69.00 5.5% 19.00 1.5% 83% False False 1,091,003
20 1,266.00 1,195.50 70.50 5.6% 23.00 1.8% 81% False False 1,272,325
40 1,269.00 1,141.75 127.25 10.2% 26.25 2.1% 87% False False 640,487
60 1,283.00 1,123.00 160.00 12.8% 27.25 2.2% 81% False False 427,709
80 1,283.00 1,062.00 221.00 17.6% 29.50 2.4% 86% False False 321,046
100 1,283.00 1,062.00 221.00 17.6% 30.50 2.4% 86% False False 256,862
120 1,335.75 1,062.00 273.75 21.9% 30.50 2.4% 70% False False 214,057
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 False
3BNR True
4BNR True
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.15
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,302.00
2.618 1,286.00
1.618 1,276.25
1.000 1,270.25
0.618 1,266.50
HIGH 1,260.50
0.618 1,256.75
0.500 1,255.50
0.382 1,254.50
LOW 1,250.75
0.618 1,244.75
1.000 1,241.00
1.618 1,235.00
2.618 1,225.25
4.250 1,209.25
Fisher Pivots for day following 30-Dec-2011
Pivot 1 day 3 day
R1 1,255.50 1,253.75
PP 1,254.50 1,253.25
S1 1,253.50 1,253.00

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

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