E-mini S&P 500 Future September 2007


Trading Metrics calculated at close of trading on 05-Jul-2007
Day Change Summary
Previous Current
03-Jul-2007 05-Jul-2007 Change Change % Previous Week
Open 1,531.00 1,533.25 2.25 0.1% 1,519.25
High 1,537.75 1,540.75 3.00 0.2% 1,530.25
Low 1,530.75 1,528.50 -2.25 -0.1% 1,492.00
Close 1,536.25 1,534.50 -1.75 -0.1% 1,515.50
Range 7.00 12.25 5.25 75.0% 38.25
ATR 17.73 17.34 -0.39 -2.2% 0.00
Volume 913,055 546,285 -366,770 -40.2% 8,673,201
Daily Pivots for day following 05-Jul-2007
Classic Woodie Camarilla DeMark
R4 1,571.25 1,565.25 1,541.25
R3 1,559.00 1,553.00 1,537.75
R2 1,546.75 1,546.75 1,536.75
R1 1,540.75 1,540.75 1,535.50 1,543.75
PP 1,534.50 1,534.50 1,534.50 1,536.00
S1 1,528.50 1,528.50 1,533.50 1,531.50
S2 1,522.25 1,522.25 1,532.25
S3 1,510.00 1,516.25 1,531.25
S4 1,497.75 1,504.00 1,527.75
Weekly Pivots for week ending 29-Jun-2007
Classic Woodie Camarilla DeMark
R4 1,627.25 1,609.75 1,536.50
R3 1,589.00 1,571.50 1,526.00
R2 1,550.75 1,550.75 1,522.50
R1 1,533.25 1,533.25 1,519.00 1,523.00
PP 1,512.50 1,512.50 1,512.50 1,507.50
S1 1,495.00 1,495.00 1,512.00 1,484.50
S2 1,474.25 1,474.25 1,508.50
S3 1,436.00 1,456.75 1,505.00
S4 1,397.75 1,418.50 1,494.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,540.75 1,504.50 36.25 2.4% 15.00 1.0% 83% True False 1,279,384
10 1,540.75 1,492.00 48.75 3.2% 19.00 1.2% 87% True False 1,565,456
20 1,554.25 1,492.00 62.25 4.1% 19.75 1.3% 68% False False 1,539,429
40 1,557.75 1,492.00 65.75 4.3% 16.50 1.1% 65% False False 778,009
60 1,557.75 1,456.00 101.75 6.6% 14.75 1.0% 77% False False 518,941
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD True
IDnr4 False
2BNR True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.18
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,592.75
2.618 1,572.75
1.618 1,560.50
1.000 1,553.00
0.618 1,548.25
HIGH 1,540.75
0.618 1,536.00
0.500 1,534.50
0.382 1,533.25
LOW 1,528.50
0.618 1,521.00
1.000 1,516.25
1.618 1,508.75
2.618 1,496.50
4.250 1,476.50
Fisher Pivots for day following 05-Jul-2007
Pivot 1 day 3 day
R1 1,534.50 1,532.25
PP 1,534.50 1,530.00
S1 1,534.50 1,527.75

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

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