E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 31-Mar-2011
Day Change Summary
Previous Current
30-Mar-2011 31-Mar-2011 Change Change % Previous Week
Open 1,312.50 1,318.75 6.25 0.5% 1,272.25
High 1,322.75 1,320.50 -2.25 -0.2% 1,309.25
Low 1,309.75 1,315.75 6.00 0.5% 1,269.75
Close 1,318.75 1,315.75 -3.00 -0.2% 1,305.00
Range 13.00 4.75 -8.25 -63.5% 39.50
ATR 18.31 17.34 -0.97 -5.3% 0.00
Volume 2,988 1,703 -1,285 -43.0% 4,639
Daily Pivots for day following 31-Mar-2011
Classic Woodie Camarilla DeMark
R4 1,331.50 1,328.50 1,318.25
R3 1,326.75 1,323.75 1,317.00
R2 1,322.00 1,322.00 1,316.50
R1 1,319.00 1,319.00 1,316.25 1,318.00
PP 1,317.25 1,317.25 1,317.25 1,317.00
S1 1,314.25 1,314.25 1,315.25 1,313.50
S2 1,312.50 1,312.50 1,315.00
S3 1,307.75 1,309.50 1,314.50
S4 1,303.00 1,304.75 1,313.25
Weekly Pivots for week ending 25-Mar-2011
Classic Woodie Camarilla DeMark
R4 1,413.25 1,398.50 1,326.75
R3 1,373.75 1,359.00 1,315.75
R2 1,334.25 1,334.25 1,312.25
R1 1,319.50 1,319.50 1,308.50 1,327.00
PP 1,294.75 1,294.75 1,294.75 1,298.25
S1 1,280.00 1,280.00 1,301.50 1,287.50
S2 1,255.25 1,255.25 1,297.75
S3 1,215.75 1,240.50 1,294.25
S4 1,176.25 1,201.00 1,283.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,322.75 1,295.25 27.50 2.1% 11.50 0.9% 75% False False 1,375
10 1,322.75 1,256.50 66.25 5.0% 14.50 1.1% 89% False False 1,106
20 1,322.75 1,237.25 85.50 6.5% 19.75 1.5% 92% False False 594
40 1,332.50 1,237.25 95.25 7.2% 17.00 1.3% 82% False False 322
60 1,332.50 1,237.25 95.25 7.2% 15.75 1.2% 82% False False 240
80 1,332.50 1,203.50 129.00 9.8% 12.75 1.0% 87% False False 183
100 1,332.50 1,162.75 169.75 12.9% 10.25 0.8% 90% False False 146
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.63
Narrowest range in 32 trading days
Fibonacci Retracements and Extensions
4.250 1,340.75
2.618 1,333.00
1.618 1,328.25
1.000 1,325.25
0.618 1,323.50
HIGH 1,320.50
0.618 1,318.75
0.500 1,318.00
0.382 1,317.50
LOW 1,315.75
0.618 1,312.75
1.000 1,311.00
1.618 1,308.00
2.618 1,303.25
4.250 1,295.50
Fisher Pivots for day following 31-Mar-2011
Pivot 1 day 3 day
R1 1,318.00 1,313.50
PP 1,317.25 1,311.25
S1 1,316.50 1,309.00

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

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