E-mini S&P 500 Future March 2011


Trading Metrics calculated at close of trading on 11-Jan-2011
Day Change Summary
Previous Current
10-Jan-2011 11-Jan-2011 Change Change % Previous Week
Open 1,266.25 1,265.50 -0.75 -0.1% 1,256.00
High 1,268.00 1,273.75 5.75 0.5% 1,277.00
Low 1,258.00 1,264.00 6.00 0.5% 1,255.25
Close 1,265.50 1,270.50 5.00 0.4% 1,267.50
Range 10.00 9.75 -0.25 -2.5% 21.75
ATR 11.97 11.81 -0.16 -1.3% 0.00
Volume 1,875,738 1,623,507 -252,231 -13.4% 8,910,753
Daily Pivots for day following 11-Jan-2011
Classic Woodie Camarilla DeMark
R4 1,298.75 1,294.25 1,275.75
R3 1,289.00 1,284.50 1,273.25
R2 1,279.25 1,279.25 1,272.25
R1 1,274.75 1,274.75 1,271.50 1,277.00
PP 1,269.50 1,269.50 1,269.50 1,270.50
S1 1,265.00 1,265.00 1,269.50 1,267.25
S2 1,259.75 1,259.75 1,268.75
S3 1,250.00 1,255.25 1,267.75
S4 1,240.25 1,245.50 1,265.25
Weekly Pivots for week ending 07-Jan-2011
Classic Woodie Camarilla DeMark
R4 1,331.75 1,321.50 1,279.50
R3 1,310.00 1,299.75 1,273.50
R2 1,288.25 1,288.25 1,271.50
R1 1,278.00 1,278.00 1,269.50 1,283.00
PP 1,266.50 1,266.50 1,266.50 1,269.25
S1 1,256.25 1,256.25 1,265.50 1,261.50
S2 1,244.75 1,244.75 1,263.50
S3 1,223.00 1,234.50 1,261.50
S4 1,201.25 1,212.75 1,255.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,277.00 1,255.75 21.25 1.7% 13.00 1.0% 69% False False 1,810,153
10 1,277.00 1,249.50 27.50 2.2% 11.25 0.9% 76% False False 1,437,728
20 1,277.00 1,227.50 49.50 3.9% 10.00 0.8% 87% False False 1,301,557
40 1,277.00 1,165.75 111.25 8.8% 13.25 1.0% 94% False False 774,876
60 1,277.00 1,150.50 126.50 10.0% 14.00 1.1% 95% False False 517,231
80 1,277.00 1,112.25 164.75 13.0% 14.50 1.1% 96% False False 388,190
100 1,277.00 1,028.25 248.75 19.6% 14.75 1.2% 97% False False 310,579
120 1,277.00 1,028.25 248.75 19.6% 14.75 1.2% 97% False False 258,820
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 False
Bear Hook False
Bull Hook False
Stretch 3.30
Narrowest range in 7 trading days
Fibonacci Retracements and Extensions
4.250 1,315.25
2.618 1,299.25
1.618 1,289.50
1.000 1,283.50
0.618 1,279.75
HIGH 1,273.75
0.618 1,270.00
0.500 1,269.00
0.382 1,267.75
LOW 1,264.00
0.618 1,258.00
1.000 1,254.25
1.618 1,248.25
2.618 1,238.50
4.250 1,222.50
Fisher Pivots for day following 11-Jan-2011
Pivot 1 day 3 day
R1 1,270.00 1,269.00
PP 1,269.50 1,267.50
S1 1,269.00 1,266.00

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

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