E-mini S&P 500 Future March 2011


Trading Metrics calculated at close of trading on 19-Jan-2011
Day Change Summary
Previous Current
18-Jan-2011 19-Jan-2011 Change Change % Previous Week
Open 1,289.50 1,294.50 5.00 0.4% 1,266.25
High 1,295.00 1,296.25 1.25 0.1% 1,290.00
Low 1,282.75 1,275.00 -7.75 -0.6% 1,258.00
Close 1,294.75 1,278.50 -16.25 -1.3% 1,289.50
Range 12.25 21.25 9.00 73.5% 32.00
ATR 12.06 12.72 0.66 5.4% 0.00
Volume 1,631,162 2,322,168 691,006 42.4% 8,402,389
Daily Pivots for day following 19-Jan-2011
Classic Woodie Camarilla DeMark
R4 1,347.00 1,334.00 1,290.25
R3 1,325.75 1,312.75 1,284.25
R2 1,304.50 1,304.50 1,282.50
R1 1,291.50 1,291.50 1,280.50 1,287.50
PP 1,283.25 1,283.25 1,283.25 1,281.25
S1 1,270.25 1,270.25 1,276.50 1,266.00
S2 1,262.00 1,262.00 1,274.50
S3 1,240.75 1,249.00 1,272.75
S4 1,219.50 1,227.75 1,266.75
Weekly Pivots for week ending 14-Jan-2011
Classic Woodie Camarilla DeMark
R4 1,375.25 1,364.25 1,307.00
R3 1,343.25 1,332.25 1,298.25
R2 1,311.25 1,311.25 1,295.25
R1 1,300.25 1,300.25 1,292.50 1,305.75
PP 1,279.25 1,279.25 1,279.25 1,282.00
S1 1,268.25 1,268.25 1,286.50 1,273.75
S2 1,247.25 1,247.25 1,283.75
S3 1,215.25 1,236.25 1,280.75
S4 1,183.25 1,204.25 1,272.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,296.25 1,269.25 27.00 2.1% 14.50 1.1% 34% True False 1,771,294
10 1,296.25 1,255.75 40.50 3.2% 13.75 1.1% 56% True False 1,790,724
20 1,296.25 1,240.75 55.50 4.3% 11.00 0.9% 68% True False 1,328,843
40 1,296.25 1,167.25 129.00 10.1% 13.25 1.0% 86% True False 995,752
60 1,296.25 1,163.00 133.25 10.4% 13.75 1.1% 87% True False 664,753
80 1,296.25 1,121.75 174.50 13.6% 14.25 1.1% 90% True False 498,842
100 1,296.25 1,028.25 268.00 21.0% 14.75 1.1% 93% True False 399,142
120 1,296.25 1,028.25 268.00 21.0% 14.75 1.2% 93% True False 332,622
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.73
Widest range in 33 trading days
Fibonacci Retracements and Extensions
4.250 1,386.50
2.618 1,352.00
1.618 1,330.75
1.000 1,317.50
0.618 1,309.50
HIGH 1,296.25
0.618 1,288.25
0.500 1,285.50
0.382 1,283.00
LOW 1,275.00
0.618 1,261.75
1.000 1,253.75
1.618 1,240.50
2.618 1,219.25
4.250 1,184.75
Fisher Pivots for day following 19-Jan-2011
Pivot 1 day 3 day
R1 1,285.50 1,285.25
PP 1,283.25 1,283.00
S1 1,281.00 1,280.75

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

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