E-mini S&P 500 Future March 2011


Trading Metrics calculated at close of trading on 28-Dec-2010
Day Change Summary
Previous Current
27-Dec-2010 28-Dec-2010 Change Change % Previous Week
Open 1,249.50 1,253.50 4.00 0.3% 1,240.00
High 1,254.25 1,256.50 2.25 0.2% 1,255.75
Low 1,245.50 1,251.50 6.00 0.5% 1,234.00
Close 1,253.25 1,254.00 0.75 0.1% 1,253.00
Range 8.75 5.00 -3.75 -42.9% 21.75
ATR 12.32 11.80 -0.52 -4.2% 0.00
Volume 594,048 553,798 -40,250 -6.8% 3,341,066
Daily Pivots for day following 28-Dec-2010
Classic Woodie Camarilla DeMark
R4 1,269.00 1,266.50 1,256.75
R3 1,264.00 1,261.50 1,255.50
R2 1,259.00 1,259.00 1,255.00
R1 1,256.50 1,256.50 1,254.50 1,257.75
PP 1,254.00 1,254.00 1,254.00 1,254.50
S1 1,251.50 1,251.50 1,253.50 1,252.75
S2 1,249.00 1,249.00 1,253.00
S3 1,244.00 1,246.50 1,252.50
S4 1,239.00 1,241.50 1,251.25
Weekly Pivots for week ending 24-Dec-2010
Classic Woodie Camarilla DeMark
R4 1,312.75 1,304.75 1,265.00
R3 1,291.00 1,283.00 1,259.00
R2 1,269.25 1,269.25 1,257.00
R1 1,261.25 1,261.25 1,255.00 1,265.25
PP 1,247.50 1,247.50 1,247.50 1,249.50
S1 1,239.50 1,239.50 1,251.00 1,243.50
S2 1,225.75 1,225.75 1,249.00
S3 1,204.00 1,217.75 1,247.00
S4 1,182.25 1,196.00 1,241.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,256.50 1,240.75 15.75 1.3% 7.25 0.6% 84% True False 668,621
10 1,256.50 1,227.50 29.00 2.3% 8.75 0.7% 91% True False 1,165,386
20 1,256.50 1,167.75 88.75 7.1% 11.75 0.9% 97% True False 827,692
40 1,256.50 1,165.75 90.75 7.2% 14.25 1.1% 97% True False 416,125
60 1,256.50 1,122.00 134.50 10.7% 14.75 1.2% 98% True False 277,816
80 1,256.50 1,076.75 179.75 14.3% 14.75 1.2% 99% True False 208,504
100 1,256.50 1,028.25 228.25 18.2% 15.00 1.2% 99% True False 166,808
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 True
8BNR False
Bear Hook False
Bull Hook False
Stretch 2.73
Narrowest range in 116 trading days
Fibonacci Retracements and Extensions
4.250 1,277.75
2.618 1,269.50
1.618 1,264.50
1.000 1,261.50
0.618 1,259.50
HIGH 1,256.50
0.618 1,254.50
0.500 1,254.00
0.382 1,253.50
LOW 1,251.50
0.618 1,248.50
1.000 1,246.50
1.618 1,243.50
2.618 1,238.50
4.250 1,230.25
Fisher Pivots for day following 28-Dec-2010
Pivot 1 day 3 day
R1 1,254.00 1,253.00
PP 1,254.00 1,252.00
S1 1,254.00 1,251.00

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

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