E-mini S&P 500 Future September 2012


Trading Metrics calculated at close of trading on 11-Jul-2012
Day Change Summary
Previous Current
10-Jul-2012 11-Jul-2012 Change Change % Previous Week
Open 1,349.00 1,335.00 -14.00 -1.0% 1,358.75
High 1,356.50 1,342.50 -14.00 -1.0% 1,375.00
Low 1,330.50 1,327.75 -2.75 -0.2% 1,342.25
Close 1,335.50 1,336.25 0.75 0.1% 1,351.75
Range 26.00 14.75 -11.25 -43.3% 32.75
ATR 20.94 20.50 -0.44 -2.1% 0.00
Volume 2,019,424 1,910,327 -109,097 -5.4% 3,654,597
Daily Pivots for day following 11-Jul-2012
Classic Woodie Camarilla DeMark
R4 1,379.75 1,372.75 1,344.25
R3 1,365.00 1,358.00 1,340.25
R2 1,350.25 1,350.25 1,339.00
R1 1,343.25 1,343.25 1,337.50 1,346.75
PP 1,335.50 1,335.50 1,335.50 1,337.25
S1 1,328.50 1,328.50 1,335.00 1,332.00
S2 1,320.75 1,320.75 1,333.50
S3 1,306.00 1,313.75 1,332.25
S4 1,291.25 1,299.00 1,328.25
Weekly Pivots for week ending 06-Jul-2012
Classic Woodie Camarilla DeMark
R4 1,454.50 1,436.00 1,369.75
R3 1,421.75 1,403.25 1,360.75
R2 1,389.00 1,389.00 1,357.75
R1 1,370.50 1,370.50 1,354.75 1,363.50
PP 1,356.25 1,356.25 1,356.25 1,352.75
S1 1,337.75 1,337.75 1,348.75 1,330.50
S2 1,323.50 1,323.50 1,345.75
S3 1,290.75 1,305.00 1,342.75
S4 1,258.00 1,272.25 1,333.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,375.00 1,327.75 47.25 3.5% 18.00 1.3% 18% False True 1,472,049
10 1,375.00 1,306.75 68.25 5.1% 19.75 1.5% 43% False False 1,544,424
20 1,375.00 1,302.50 72.50 5.4% 20.00 1.5% 47% False False 1,852,591
40 1,375.00 1,255.50 119.50 8.9% 21.75 1.6% 68% False False 1,163,004
60 1,405.00 1,255.50 149.50 11.2% 20.50 1.5% 54% False False 775,978
80 1,413.50 1,255.50 158.00 11.8% 19.50 1.5% 51% False False 582,362
100 1,413.50 1,255.50 158.00 11.8% 17.75 1.3% 51% False False 465,907
120 1,413.50 1,255.50 158.00 11.8% 16.25 1.2% 51% False False 388,259
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 False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.28
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,405.25
2.618 1,381.00
1.618 1,366.25
1.000 1,357.25
0.618 1,351.50
HIGH 1,342.50
0.618 1,336.75
0.500 1,335.00
0.382 1,333.50
LOW 1,327.75
0.618 1,318.75
1.000 1,313.00
1.618 1,304.00
2.618 1,289.25
4.250 1,265.00
Fisher Pivots for day following 11-Jul-2012
Pivot 1 day 3 day
R1 1,336.00 1,342.00
PP 1,335.50 1,340.25
S1 1,335.00 1,338.25

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

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