E-mini S&P 500 Future June 2011


Trading Metrics calculated at close of trading on 25-Mar-2011
Day Change Summary
Previous Current
24-Mar-2011 25-Mar-2011 Change Change % Previous Week
Open 1,292.00 1,304.50 12.50 1.0% 1,276.25
High 1,306.75 1,314.50 7.75 0.6% 1,314.50
Low 1,289.25 1,304.00 14.75 1.1% 1,274.75
Close 1,305.25 1,310.00 4.75 0.4% 1,310.00
Range 17.50 10.50 -7.00 -40.0% 39.75
ATR 21.21 20.44 -0.76 -3.6% 0.00
Volume 1,828,579 1,643,313 -185,266 -10.1% 8,339,390
Daily Pivots for day following 25-Mar-2011
Classic Woodie Camarilla DeMark
R4 1,341.00 1,336.00 1,315.75
R3 1,330.50 1,325.50 1,313.00
R2 1,320.00 1,320.00 1,312.00
R1 1,315.00 1,315.00 1,311.00 1,317.50
PP 1,309.50 1,309.50 1,309.50 1,310.75
S1 1,304.50 1,304.50 1,309.00 1,307.00
S2 1,299.00 1,299.00 1,308.00
S3 1,288.50 1,294.00 1,307.00
S4 1,278.00 1,283.50 1,304.25
Weekly Pivots for week ending 25-Mar-2011
Classic Woodie Camarilla DeMark
R4 1,419.00 1,404.25 1,331.75
R3 1,379.25 1,364.50 1,321.00
R2 1,339.50 1,339.50 1,317.25
R1 1,324.75 1,324.75 1,313.75 1,332.00
PP 1,299.75 1,299.75 1,299.75 1,303.50
S1 1,285.00 1,285.00 1,306.25 1,292.50
S2 1,260.00 1,260.00 1,302.75
S3 1,220.25 1,245.25 1,299.00
S4 1,180.50 1,205.50 1,288.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,314.50 1,274.75 39.75 3.0% 15.00 1.2% 89% True False 1,667,878
10 1,314.50 1,241.25 73.25 5.6% 23.75 1.8% 94% True False 2,439,975
20 1,331.25 1,241.25 90.00 6.9% 23.00 1.8% 76% False False 1,449,470
40 1,337.75 1,241.25 96.50 7.4% 19.00 1.5% 71% False False 726,075
60 1,337.75 1,241.25 96.50 7.4% 16.75 1.3% 71% False False 484,406
80 1,337.75 1,167.25 170.50 13.0% 15.25 1.2% 84% False False 363,374
100 1,337.75 1,161.50 176.25 13.5% 15.00 1.1% 84% False False 290,702
120 1,337.75 1,123.25 214.50 16.4% 15.00 1.1% 87% False False 242,253
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 5.13
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,359.00
2.618 1,342.00
1.618 1,331.50
1.000 1,325.00
0.618 1,321.00
HIGH 1,314.50
0.618 1,310.50
0.500 1,309.25
0.382 1,308.00
LOW 1,304.00
0.618 1,297.50
1.000 1,293.50
1.618 1,287.00
2.618 1,276.50
4.250 1,259.50
Fisher Pivots for day following 25-Mar-2011
Pivot 1 day 3 day
R1 1,309.75 1,305.50
PP 1,309.50 1,301.25
S1 1,309.25 1,296.75

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

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