E-mini S&P 500 Future September 2012


Trading Metrics calculated at close of trading on 15-Aug-2012
Day Change Summary
Previous Current
14-Aug-2012 15-Aug-2012 Change Change % Previous Week
Open 1,402.00 1,401.25 -0.75 -0.1% 1,390.25
High 1,409.50 1,405.75 -3.75 -0.3% 1,403.75
Low 1,397.25 1,397.00 -0.25 0.0% 1,387.25
Close 1,401.50 1,403.50 2.00 0.1% 1,402.50
Range 12.25 8.75 -3.50 -28.6% 16.50
ATR 17.20 16.60 -0.60 -3.5% 0.00
Volume 1,435,041 1,102,404 -332,637 -23.2% 6,273,561
Daily Pivots for day following 15-Aug-2012
Classic Woodie Camarilla DeMark
R4 1,428.25 1,424.75 1,408.25
R3 1,419.50 1,416.00 1,406.00
R2 1,410.75 1,410.75 1,405.00
R1 1,407.25 1,407.25 1,404.25 1,409.00
PP 1,402.00 1,402.00 1,402.00 1,403.00
S1 1,398.50 1,398.50 1,402.75 1,400.25
S2 1,393.25 1,393.25 1,402.00
S3 1,384.50 1,389.75 1,401.00
S4 1,375.75 1,381.00 1,398.75
Weekly Pivots for week ending 10-Aug-2012
Classic Woodie Camarilla DeMark
R4 1,447.25 1,441.50 1,411.50
R3 1,430.75 1,425.00 1,407.00
R2 1,414.25 1,414.25 1,405.50
R1 1,408.50 1,408.50 1,404.00 1,411.50
PP 1,397.75 1,397.75 1,397.75 1,399.25
S1 1,392.00 1,392.00 1,401.00 1,395.00
S2 1,381.25 1,381.25 1,399.50
S3 1,364.75 1,375.50 1,398.00
S4 1,348.25 1,359.00 1,393.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,409.50 1,392.00 17.50 1.2% 10.25 0.7% 66% False False 1,232,262
10 1,409.50 1,349.25 60.25 4.3% 15.00 1.1% 90% False False 1,478,536
20 1,409.50 1,321.25 88.25 6.3% 17.25 1.2% 93% False False 1,708,701
40 1,409.50 1,302.50 107.00 7.6% 18.50 1.3% 94% False False 1,729,301
60 1,409.50 1,255.50 154.00 11.0% 19.75 1.4% 96% False False 1,494,151
80 1,409.50 1,255.50 154.00 11.0% 19.75 1.4% 96% False False 1,121,310
100 1,413.50 1,255.50 158.00 11.3% 19.25 1.4% 94% False False 897,332
120 1,413.50 1,255.50 158.00 11.3% 18.00 1.3% 94% False False 747,849
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 True
Bear Hook False
Bull Hook False
Stretch 4.43
Narrowest range in 7 trading days
Fibonacci Retracements and Extensions
4.250 1,443.00
2.618 1,428.75
1.618 1,420.00
1.000 1,414.50
0.618 1,411.25
HIGH 1,405.75
0.618 1,402.50
0.500 1,401.50
0.382 1,400.25
LOW 1,397.00
0.618 1,391.50
1.000 1,388.25
1.618 1,382.75
2.618 1,374.00
4.250 1,359.75
Fisher Pivots for day following 15-Aug-2012
Pivot 1 day 3 day
R1 1,402.75 1,403.00
PP 1,402.00 1,402.50
S1 1,401.50 1,402.00

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

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