E-mini S&P 500 Future March 2011


Trading Metrics calculated at close of trading on 31-Dec-2010
Day Change Summary
Previous Current
30-Dec-2010 31-Dec-2010 Change Change % Previous Week
Open 1,255.75 1,254.25 -1.50 -0.1% 1,249.50
High 1,257.50 1,257.75 0.25 0.0% 1,258.50
Low 1,251.50 1,249.50 -2.00 -0.2% 1,245.50
Close 1,254.50 1,253.00 -1.50 -0.1% 1,253.00
Range 6.00 8.25 2.25 37.5% 13.00
ATR 10.95 10.76 -0.19 -1.8% 0.00
Volume 712,796 667,046 -45,750 -6.4% 3,115,129
Daily Pivots for day following 31-Dec-2010
Classic Woodie Camarilla DeMark
R4 1,278.25 1,273.75 1,257.50
R3 1,270.00 1,265.50 1,255.25
R2 1,261.75 1,261.75 1,254.50
R1 1,257.25 1,257.25 1,253.75 1,255.50
PP 1,253.50 1,253.50 1,253.50 1,252.50
S1 1,249.00 1,249.00 1,252.25 1,247.00
S2 1,245.25 1,245.25 1,251.50
S3 1,237.00 1,240.75 1,250.75
S4 1,228.75 1,232.50 1,248.50
Weekly Pivots for week ending 31-Dec-2010
Classic Woodie Camarilla DeMark
R4 1,291.25 1,285.25 1,260.25
R3 1,278.25 1,272.25 1,256.50
R2 1,265.25 1,265.25 1,255.50
R1 1,259.25 1,259.25 1,254.25 1,262.25
PP 1,252.25 1,252.25 1,252.25 1,254.00
S1 1,246.25 1,246.25 1,251.75 1,249.25
S2 1,239.25 1,239.25 1,250.50
S3 1,226.25 1,233.25 1,249.50
S4 1,213.25 1,220.25 1,245.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,258.50 1,245.50 13.00 1.0% 6.75 0.5% 58% False False 623,025
10 1,258.50 1,234.00 24.50 2.0% 7.50 0.6% 78% False False 779,466
20 1,258.50 1,208.00 50.50 4.0% 9.50 0.8% 89% False False 923,756
40 1,258.50 1,165.75 92.75 7.4% 13.50 1.1% 94% False False 465,183
60 1,258.50 1,140.50 118.00 9.4% 14.25 1.1% 95% False False 310,565
80 1,258.50 1,086.50 172.00 13.7% 14.25 1.1% 97% False False 233,093
100 1,258.50 1,028.25 230.25 18.4% 14.75 1.2% 98% False False 186,480
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 False
WS7 False
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR True
8BNR True
Bear Hook False
Bull Hook False
Stretch 2.28
Widest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1,292.75
2.618 1,279.25
1.618 1,271.00
1.000 1,266.00
0.618 1,262.75
HIGH 1,257.75
0.618 1,254.50
0.500 1,253.50
0.382 1,252.75
LOW 1,249.50
0.618 1,244.50
1.000 1,241.25
1.618 1,236.25
2.618 1,228.00
4.250 1,214.50
Fisher Pivots for day following 31-Dec-2010
Pivot 1 day 3 day
R1 1,253.50 1,254.00
PP 1,253.50 1,253.75
S1 1,253.25 1,253.25

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

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