E-mini S&P 500 Future March 2011


Trading Metrics calculated at close of trading on 13-Jan-2011
Day Change Summary
Previous Current
12-Jan-2011 13-Jan-2011 Change Change % Previous Week
Open 1,270.00 1,283.25 13.25 1.0% 1,256.00
High 1,284.25 1,284.50 0.25 0.0% 1,277.00
Low 1,269.25 1,276.25 7.00 0.6% 1,255.25
Close 1,283.50 1,281.25 -2.25 -0.2% 1,267.50
Range 15.00 8.25 -6.75 -45.0% 21.75
ATR 12.04 11.77 -0.27 -2.2% 0.00
Volume 1,603,436 1,670,930 67,494 4.2% 8,910,753
Daily Pivots for day following 13-Jan-2011
Classic Woodie Camarilla DeMark
R4 1,305.50 1,301.50 1,285.75
R3 1,297.25 1,293.25 1,283.50
R2 1,289.00 1,289.00 1,282.75
R1 1,285.00 1,285.00 1,282.00 1,283.00
PP 1,280.75 1,280.75 1,280.75 1,279.50
S1 1,276.75 1,276.75 1,280.50 1,274.50
S2 1,272.50 1,272.50 1,279.75
S3 1,264.25 1,268.50 1,279.00
S4 1,256.00 1,260.25 1,276.75
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 1,284.50 1,257.75 26.75 2.1% 11.75 0.9% 88% True False 1,788,560
10 1,284.50 1,249.50 35.00 2.7% 12.50 1.0% 91% True False 1,635,141
20 1,284.50 1,227.50 57.00 4.4% 10.25 0.8% 94% True False 1,259,398
40 1,284.50 1,167.25 117.25 9.2% 13.00 1.0% 97% True False 856,610
60 1,284.50 1,155.50 129.00 10.1% 13.50 1.1% 97% True False 571,759
80 1,284.50 1,112.75 171.75 13.4% 14.25 1.1% 98% True False 429,083
100 1,284.50 1,028.25 256.25 20.0% 14.75 1.1% 99% True False 343,322
120 1,284.50 1,028.25 256.25 20.0% 14.75 1.1% 99% True False 286,106
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 3.25
Narrowest range in 9 trading days
Fibonacci Retracements and Extensions
4.250 1,319.50
2.618 1,306.00
1.618 1,297.75
1.000 1,292.75
0.618 1,289.50
HIGH 1,284.50
0.618 1,281.25
0.500 1,280.50
0.382 1,279.50
LOW 1,276.25
0.618 1,271.25
1.000 1,268.00
1.618 1,263.00
2.618 1,254.75
4.250 1,241.25
Fisher Pivots for day following 13-Jan-2011
Pivot 1 day 3 day
R1 1,281.00 1,279.00
PP 1,280.75 1,276.50
S1 1,280.50 1,274.25

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

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