PIVOT POINT CALCULATION

doesn't the session end at 16:00, not 16:15?

NYSE closes at 16:00 ET but the futures continue to trade until 16:15 ET when the trading day for the futures stop. I have just checked this on the www.cme.com web site and see that this is true for both the pit traded and E-mini S&P500 contracts and so I assume that this also applies to the others.

I received this question today by email:

quote:

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I read with great interest your web page DailyNotes.htm
I was curious to know how you calculate your data, because I got different figures than yours. For instance, are you using the "pit" (open outcry) US market session times (9:30 AM to 4:00 PM) timeframe or the Globex (3:30 PM to 3:15 PM) to determine the high, low and close of the Nasdaq e-mini (NQ)??

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The figures used for calculating the pivots are those marked as HIGH, LOW, CLOSE on the Daily Notes page above the pivots. In the case of the NQ: E-mini data is used but the time frame for the data is RTH which is from 09:30 to 16:15 ET. This is the same for the ES but for the YM and ER2 all session data is used. Also note that the closing price used for the NQ and ES is the official settlement price which is not necessarily the same as the last traded price and can even sometimes be outside the high and low price which appears like an error but is not.

You can see the pivot formula in action on this page:
http://www.deltat1.com/Education/tools/pivot-calculator/index.htm

And try out different formula to see what works best for you or what formula worked best on a given day.

I hope this answers your question.