E-mini S&P 500 Future March 2011

Trading Metrics calculated at close of trading on 28-Dec-2010

Day Change Summary
	Previous	Current
	27-Dec-2010	28-Dec-2010	Change	Change %	Previous Week
Open	1,249.50	1,253.50	4.00	0.3%	1,240.00
High	1,254.25	1,256.50	2.25	0.2%	1,255.75
Low	1,245.50	1,251.50	6.00	0.5%	1,234.00
Close	1,253.25	1,254.00	0.75	0.1%	1,253.00
Range	8.75	5.00	-3.75	-42.9%	21.75
ATR	12.32	11.80	-0.52	-4.2%	0.00
Volume	594,048	553,798	-40,250	-6.8%	3,341,066

Daily Pivots for day following 28-Dec-2010
	Classic	Woodie	Camarilla	DeMark
R4	1,269.00	1,266.50	1,256.75
R3	1,264.00	1,261.50	1,255.50
R2	1,259.00	1,259.00	1,255.00
R1	1,256.50	1,256.50	1,254.50	1,257.75
PP	1,254.00	1,254.00	1,254.00	1,254.50
S1	1,251.50	1,251.50	1,253.50	1,252.75
S2	1,249.00	1,249.00	1,253.00
S3	1,244.00	1,246.50	1,252.50
S4	1,239.00	1,241.50	1,251.25

Weekly Pivots for week ending 24-Dec-2010
	Classic	Woodie	Camarilla	DeMark
R4	1,312.75	1,304.75	1,265.00
R3	1,291.00	1,283.00	1,259.00
R2	1,269.25	1,269.25	1,257.00
R1	1,261.25	1,261.25	1,255.00	1,265.25
PP	1,247.50	1,247.50	1,247.50	1,249.50
S1	1,239.50	1,239.50	1,251.00	1,243.50
S2	1,225.75	1,225.75	1,249.00
S3	1,204.00	1,217.75	1,247.00
S4	1,182.25	1,196.00	1,241.00

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,256.50	1,240.75	15.75	1.3%	7.25	0.6%	84%	True	False	668,621
10	1,256.50	1,227.50	29.00	2.3%	8.75	0.7%	91%	True	False	1,165,386
20	1,256.50	1,167.75	88.75	7.1%	11.75	0.9%	97%	True	False	827,692
40	1,256.50	1,165.75	90.75	7.2%	14.25	1.1%	97%	True	False	416,125
60	1,256.50	1,122.00	134.50	10.7%	14.75	1.2%	98%	True	False	277,816
80	1,256.50	1,076.75	179.75	14.3%	14.75	1.2%	99%	True	False	208,504
100	1,256.50	1,028.25	228.25	18.2%	15.00	1.2%	99%	True	False	166,808

Crabel Price Patterns
NR	True
NR4	True
NR5	True
NR7	True
WS	False
WS4	False
WS5	False
WS7	False
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	True
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	2.73
Narrowest range in 116 trading days

Fibonacci Retracements and Extensions
4.250	1,277.75
2.618	1,269.50
1.618	1,264.50
1.000	1,261.50
0.618	1,259.50
HIGH	1,256.50
0.618	1,254.50
0.500	1,254.00
0.382	1,253.50
LOW	1,251.50
0.618	1,248.50
1.000	1,246.50
1.618	1,243.50
2.618	1,238.50
4.250	1,230.25

Fisher Pivots for day following 28-Dec-2010
Pivot	1 day	3 day
R1	1,254.00	1,253.00
PP	1,254.00	1,252.00
S1	1,254.00	1,251.00

Download as Excel Spreadsheet

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

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