E-mini S&P 500 Future June 2011


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Trading Metrics calculated at close of trading on 16-Mar-2011
Day Change Summary
Previous Current
15-Mar-2011 16-Mar-2011 Change Change % Previous Week
Open 1,290.50 1,274.75 -15.75 -1.2% 1,315.00
High 1,293.25 1,283.50 -9.75 -0.8% 1,322.00
Low 1,251.00 1,243.25 -7.75 -0.6% 1,278.50
Close 1,275.25 1,254.00 -21.25 -1.7% 1,301.25
Range 42.25 40.25 -2.00 -4.7% 43.50
ATR 20.42 21.84 1.42 6.9% 0.00
Volume 3,987,678 4,201,401 213,723 5.4% 4,499,358
Daily Pivots for day following 16-Mar-2011
Classic Woodie Camarilla DeMark
R4 1,381.00 1,357.75 1,276.25
R3 1,340.75 1,317.50 1,265.00
R2 1,300.50 1,300.50 1,261.50
R1 1,277.25 1,277.25 1,257.75 1,268.75
PP 1,260.25 1,260.25 1,260.25 1,256.00
S1 1,237.00 1,237.00 1,250.25 1,228.50
S2 1,220.00 1,220.00 1,246.50
S3 1,179.75 1,196.75 1,243.00
S4 1,139.50 1,156.50 1,231.75
Weekly Pivots for week ending 11-Mar-2011
Classic Woodie Camarilla DeMark
R4 1,431.00 1,409.75 1,325.25
R3 1,387.50 1,366.25 1,313.25
R2 1,344.00 1,344.00 1,309.25
R1 1,322.75 1,322.75 1,305.25 1,311.50
PP 1,300.50 1,300.50 1,300.50 1,295.00
S1 1,279.25 1,279.25 1,297.25 1,268.00
S2 1,257.00 1,257.00 1,293.25
S3 1,213.50 1,235.75 1,289.25
S4 1,170.00 1,192.25 1,277.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,312.50 1,243.25 69.25 5.5% 30.50 2.4% 16% False True 3,000,034
10 1,329.50 1,243.25 86.25 6.9% 26.00 2.1% 12% False True 1,551,545
20 1,337.75 1,243.25 94.50 7.5% 22.25 1.8% 11% False True 779,777
40 1,337.75 1,243.25 94.50 7.5% 18.00 1.4% 11% False True 390,536
60 1,337.75 1,229.50 108.25 8.6% 15.25 1.2% 23% False False 260,628
80 1,337.75 1,163.00 174.75 13.9% 15.00 1.2% 52% False False 195,501
100 1,337.75 1,158.25 179.50 14.3% 14.50 1.2% 53% False False 156,403
120 1,337.75 1,109.25 228.50 18.2% 14.75 1.2% 63% False False 130,338
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 4.60
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,454.50
2.618 1,388.75
1.618 1,348.50
1.000 1,323.75
0.618 1,308.25
HIGH 1,283.50
0.618 1,268.00
0.500 1,263.50
0.382 1,258.75
LOW 1,243.25
0.618 1,218.50
1.000 1,203.00
1.618 1,178.25
2.618 1,138.00
4.250 1,072.25
Fisher Pivots for day following 16-Mar-2011
Pivot 1 day 3 day
R1 1,263.50 1,272.00
PP 1,260.25 1,266.00
S1 1,257.00 1,260.00

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

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