E-mini S&P 500 Future September 2012


Trading Metrics calculated at close of trading on 21-Jun-2012
Day Change Summary
Previous Current
20-Jun-2012 21-Jun-2012 Change Change % Previous Week
Open 1,350.00 1,350.75 0.75 0.1% 1,337.00
High 1,355.50 1,353.25 -2.25 -0.2% 1,342.00
Low 1,338.75 1,317.50 -21.25 -1.6% 1,297.00
Close 1,350.75 1,318.25 -32.50 -2.4% 1,337.50
Range 16.75 35.75 19.00 113.4% 45.00
ATR 21.59 22.60 1.01 4.7% 0.00
Volume 2,359,064 2,708,047 348,983 14.8% 13,207,731
Daily Pivots for day following 21-Jun-2012
Classic Woodie Camarilla DeMark
R4 1,437.00 1,413.25 1,338.00
R3 1,401.25 1,377.50 1,328.00
R2 1,365.50 1,365.50 1,324.75
R1 1,341.75 1,341.75 1,321.50 1,335.75
PP 1,329.75 1,329.75 1,329.75 1,326.50
S1 1,306.00 1,306.00 1,315.00 1,300.00
S2 1,294.00 1,294.00 1,311.75
S3 1,258.25 1,270.25 1,308.50
S4 1,222.50 1,234.50 1,298.50
Weekly Pivots for week ending 15-Jun-2012
Classic Woodie Camarilla DeMark
R4 1,460.50 1,444.00 1,362.25
R3 1,415.50 1,399.00 1,350.00
R2 1,370.50 1,370.50 1,345.75
R1 1,354.00 1,354.00 1,341.50 1,362.25
PP 1,325.50 1,325.50 1,325.50 1,329.50
S1 1,309.00 1,309.00 1,333.50 1,317.25
S2 1,280.50 1,280.50 1,329.25
S3 1,235.50 1,264.00 1,325.00
S4 1,190.50 1,219.00 1,312.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,357.00 1,317.50 39.50 3.0% 21.50 1.6% 2% False True 2,144,924
10 1,357.00 1,297.00 60.00 4.6% 23.75 1.8% 35% False False 2,404,810
20 1,357.00 1,255.50 101.50 7.7% 23.00 1.7% 62% False False 1,276,528
40 1,405.00 1,255.50 149.50 11.3% 21.75 1.6% 42% False False 639,811
60 1,411.50 1,255.50 156.00 11.8% 20.00 1.5% 40% False False 427,056
80 1,413.50 1,255.50 158.00 12.0% 18.00 1.4% 40% False False 320,462
100 1,413.50 1,255.50 158.00 12.0% 16.25 1.2% 40% False False 256,374
120 1,413.50 1,255.50 158.00 12.0% 14.75 1.1% 40% False False 213,648
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 4.03
Widest range in 8 trading days
Fibonacci Retracements and Extensions
4.250 1,505.25
2.618 1,446.75
1.618 1,411.00
1.000 1,389.00
0.618 1,375.25
HIGH 1,353.25
0.618 1,339.50
0.500 1,335.50
0.382 1,331.25
LOW 1,317.50
0.618 1,295.50
1.000 1,281.75
1.618 1,259.75
2.618 1,224.00
4.250 1,165.50
Fisher Pivots for day following 21-Jun-2012
Pivot 1 day 3 day
R1 1,335.50 1,337.25
PP 1,329.75 1,331.00
S1 1,324.00 1,324.50

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

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