E-mini S&P 500 Future March 2011


Trading Metrics calculated at close of trading on 04-Feb-2011
Day Change Summary
Previous Current
03-Feb-2011 04-Feb-2011 Change Change % Previous Week
Open 1,300.25 1,303.25 3.00 0.2% 1,269.50
High 1,305.75 1,308.50 2.75 0.2% 1,308.50
Low 1,291.50 1,298.00 6.50 0.5% 1,262.25
Close 1,303.25 1,307.25 4.00 0.3% 1,307.25
Range 14.25 10.50 -3.75 -26.3% 46.25
ATR 14.48 14.20 -0.28 -2.0% 0.00
Volume 1,827,301 1,583,557 -243,744 -13.3% 9,206,905
Daily Pivots for day following 04-Feb-2011
Classic Woodie Camarilla DeMark
R4 1,336.00 1,332.25 1,313.00
R3 1,325.50 1,321.75 1,310.25
R2 1,315.00 1,315.00 1,309.25
R1 1,311.25 1,311.25 1,308.25 1,313.00
PP 1,304.50 1,304.50 1,304.50 1,305.50
S1 1,300.75 1,300.75 1,306.25 1,302.50
S2 1,294.00 1,294.00 1,305.25
S3 1,283.50 1,290.25 1,304.25
S4 1,273.00 1,279.75 1,301.50
Weekly Pivots for week ending 04-Feb-2011
Classic Woodie Camarilla DeMark
R4 1,431.50 1,415.50 1,332.75
R3 1,385.25 1,369.25 1,320.00
R2 1,339.00 1,339.00 1,315.75
R1 1,323.00 1,323.00 1,311.50 1,331.00
PP 1,292.75 1,292.75 1,292.75 1,296.50
S1 1,276.75 1,276.75 1,303.00 1,284.75
S2 1,246.50 1,246.50 1,298.75
S3 1,200.25 1,230.50 1,294.50
S4 1,154.00 1,184.25 1,281.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,308.50 1,262.25 46.25 3.5% 15.75 1.2% 97% True False 1,841,381
10 1,308.50 1,262.25 46.25 3.5% 15.50 1.2% 97% True False 1,960,018
20 1,308.50 1,257.75 50.75 3.9% 14.50 1.1% 98% True False 1,922,992
40 1,308.50 1,221.25 87.25 6.7% 12.25 0.9% 99% True False 1,578,989
60 1,308.50 1,165.75 142.75 10.9% 14.00 1.1% 99% True False 1,063,238
80 1,308.50 1,150.50 158.00 12.1% 14.25 1.1% 99% True False 797,882
100 1,308.50 1,104.50 204.00 15.6% 14.50 1.1% 99% True False 638,485
120 1,308.50 1,028.25 280.25 21.4% 14.75 1.1% 100% True False 532,078
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
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 3.75
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,353.00
2.618 1,336.00
1.618 1,325.50
1.000 1,319.00
0.618 1,315.00
HIGH 1,308.50
0.618 1,304.50
0.500 1,303.25
0.382 1,302.00
LOW 1,298.00
0.618 1,291.50
1.000 1,287.50
1.618 1,281.00
2.618 1,270.50
4.250 1,253.50
Fisher Pivots for day following 04-Feb-2011
Pivot 1 day 3 day
R1 1,306.00 1,304.75
PP 1,304.50 1,302.50
S1 1,303.25 1,300.00

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

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