E-mini S&P 500 Future September 2012


Trading Metrics calculated at close of trading on 05-Sep-2012
Day Change Summary
Previous Current
04-Sep-2012 05-Sep-2012 Change Change % Previous Week
Open 1,406.25 1,406.25 0.00 0.0% 1,410.00
High 1,409.50 1,408.25 -1.25 -0.1% 1,416.00
Low 1,394.50 1,397.25 2.75 0.2% 1,395.25
Close 1,406.00 1,403.50 -2.50 -0.2% 1,405.00
Range 15.00 11.00 -4.00 -26.7% 20.75
ATR 14.15 13.92 -0.22 -1.6% 0.00
Volume 1,680,397 1,429,039 -251,358 -15.0% 6,362,959
Daily Pivots for day following 05-Sep-2012
Classic Woodie Camarilla DeMark
R4 1,436.00 1,430.75 1,409.50
R3 1,425.00 1,419.75 1,406.50
R2 1,414.00 1,414.00 1,405.50
R1 1,408.75 1,408.75 1,404.50 1,406.00
PP 1,403.00 1,403.00 1,403.00 1,401.50
S1 1,397.75 1,397.75 1,402.50 1,395.00
S2 1,392.00 1,392.00 1,401.50
S3 1,381.00 1,386.75 1,400.50
S4 1,370.00 1,375.75 1,397.50
Weekly Pivots for week ending 31-Aug-2012
Classic Woodie Camarilla DeMark
R4 1,467.75 1,457.00 1,416.50
R3 1,447.00 1,436.25 1,410.75
R2 1,426.25 1,426.25 1,408.75
R1 1,415.50 1,415.50 1,407.00 1,410.50
PP 1,405.50 1,405.50 1,405.50 1,403.00
S1 1,394.75 1,394.75 1,403.00 1,389.75
S2 1,384.75 1,384.75 1,401.25
S3 1,364.00 1,374.00 1,399.25
S4 1,343.25 1,353.25 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 1,412.50 1,394.50 18.00 1.3% 12.50 0.9% 50% False False 1,466,503
10 1,418.00 1,394.50 23.50 1.7% 12.75 0.9% 38% False False 1,430,805
20 1,424.75 1,390.50 34.25 2.4% 11.75 0.8% 38% False False 1,357,958
40 1,424.75 1,319.75 105.00 7.5% 15.75 1.1% 80% False False 1,620,795
60 1,424.75 1,297.00 127.75 9.1% 17.25 1.2% 83% False False 1,714,555
80 1,424.75 1,255.50 169.25 12.1% 18.75 1.3% 87% False False 1,368,038
100 1,424.75 1,255.50 169.25 12.1% 18.50 1.3% 87% False False 1,094,811
120 1,424.75 1,255.50 169.25 12.1% 18.25 1.3% 87% False False 912,589
Crabel Price Patterns
NR True
NR4 True
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR True
Bear Hook False
Bull Hook False
Stretch 2.85
Narrowest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1,455.00
2.618 1,437.00
1.618 1,426.00
1.000 1,419.25
0.618 1,415.00
HIGH 1,408.25
0.618 1,404.00
0.500 1,402.75
0.382 1,401.50
LOW 1,397.25
0.618 1,390.50
1.000 1,386.25
1.618 1,379.50
2.618 1,368.50
4.250 1,350.50
Fisher Pivots for day following 05-Sep-2012
Pivot 1 day 3 day
R1 1,403.25 1,403.50
PP 1,403.00 1,403.50
S1 1,402.75 1,403.50

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

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