E-mini S&P 500 Future March 2011


Trading Metrics calculated at close of trading on 29-Dec-2010
Day Change Summary
Previous Current
28-Dec-2010 29-Dec-2010 Change Change % Previous Week
Open 1,253.50 1,254.00 0.50 0.0% 1,240.00
High 1,256.50 1,258.50 2.00 0.2% 1,255.75
Low 1,251.50 1,253.25 1.75 0.1% 1,234.00
Close 1,254.00 1,255.75 1.75 0.1% 1,253.00
Range 5.00 5.25 0.25 5.0% 21.75
ATR 11.80 11.33 -0.47 -4.0% 0.00
Volume 553,798 587,441 33,643 6.1% 3,341,066
Daily Pivots for day following 29-Dec-2010
Classic Woodie Camarilla DeMark
R4 1,271.50 1,269.00 1,258.75
R3 1,266.25 1,263.75 1,257.25
R2 1,261.00 1,261.00 1,256.75
R1 1,258.50 1,258.50 1,256.25 1,259.75
PP 1,255.75 1,255.75 1,255.75 1,256.50
S1 1,253.25 1,253.25 1,255.25 1,254.50
S2 1,250.50 1,250.50 1,254.75
S3 1,245.25 1,248.00 1,254.25
S4 1,240.00 1,242.75 1,252.75
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 1,258.50 1,245.50 13.00 1.0% 6.25 0.5% 79% True False 598,337
10 1,258.50 1,227.50 31.00 2.5% 8.25 0.7% 91% True False 1,023,800
20 1,258.50 1,171.50 87.00 6.9% 11.25 0.9% 97% True False 856,629
40 1,258.50 1,165.75 92.75 7.4% 14.00 1.1% 97% True False 430,801
60 1,258.50 1,128.00 130.50 10.4% 14.50 1.2% 98% True False 287,601
80 1,258.50 1,077.00 181.50 14.5% 14.50 1.2% 98% True False 215,847
100 1,258.50 1,028.25 230.25 18.3% 15.00 1.2% 99% True False 172,682
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR True
Bear Hook False
Bull Hook False
Stretch 2.48
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,280.75
2.618 1,272.25
1.618 1,267.00
1.000 1,263.75
0.618 1,261.75
HIGH 1,258.50
0.618 1,256.50
0.500 1,256.00
0.382 1,255.25
LOW 1,253.25
0.618 1,250.00
1.000 1,248.00
1.618 1,244.75
2.618 1,239.50
4.250 1,231.00
Fisher Pivots for day following 29-Dec-2010
Pivot 1 day 3 day
R1 1,256.00 1,254.50
PP 1,255.75 1,253.25
S1 1,255.75 1,252.00

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

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