E-mini S&P 500 Future June 2011


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Trading Metrics calculated at close of trading on 28-Mar-2011
Day Change Summary
Previous Current
25-Mar-2011 28-Mar-2011 Change Change % Previous Week
Open 1,304.50 1,309.25 4.75 0.4% 1,276.25
High 1,314.50 1,315.25 0.75 0.1% 1,314.50
Low 1,304.00 1,302.00 -2.00 -0.2% 1,274.75
Close 1,310.00 1,302.25 -7.75 -0.6% 1,310.00
Range 10.50 13.25 2.75 26.2% 39.75
ATR 20.44 19.93 -0.51 -2.5% 0.00
Volume 1,643,313 1,278,479 -364,834 -22.2% 8,339,390
Daily Pivots for day following 28-Mar-2011
Classic Woodie Camarilla DeMark
R4 1,346.25 1,337.50 1,309.50
R3 1,333.00 1,324.25 1,306.00
R2 1,319.75 1,319.75 1,304.75
R1 1,311.00 1,311.00 1,303.50 1,308.75
PP 1,306.50 1,306.50 1,306.50 1,305.50
S1 1,297.75 1,297.75 1,301.00 1,295.50
S2 1,293.25 1,293.25 1,299.75
S3 1,280.00 1,284.50 1,298.50
S4 1,266.75 1,271.25 1,295.00
Weekly Pivots for week ending 25-Mar-2011
Classic Woodie Camarilla DeMark
R4 1,419.00 1,404.25 1,331.75
R3 1,379.25 1,364.50 1,321.00
R2 1,339.50 1,339.50 1,317.25
R1 1,324.75 1,324.75 1,313.75 1,332.00
PP 1,299.75 1,299.75 1,299.75 1,303.50
S1 1,285.00 1,285.00 1,306.25 1,292.50
S2 1,260.00 1,260.00 1,302.75
S3 1,220.25 1,245.25 1,299.00
S4 1,180.50 1,205.50 1,288.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,315.25 1,279.00 36.25 2.8% 13.50 1.0% 64% True False 1,626,094
10 1,315.25 1,241.25 74.00 5.7% 23.00 1.8% 82% True False 2,289,746
20 1,331.25 1,241.25 90.00 6.9% 23.00 1.8% 68% False False 1,512,742
40 1,337.75 1,241.25 96.50 7.4% 18.75 1.4% 63% False False 758,022
60 1,337.75 1,241.25 96.50 7.4% 16.75 1.3% 63% False False 505,711
80 1,337.75 1,193.25 144.50 11.1% 15.00 1.1% 75% False False 379,355
100 1,337.75 1,161.50 176.25 13.5% 15.00 1.2% 80% False False 303,487
120 1,337.75 1,137.50 200.25 15.4% 14.75 1.1% 82% False False 252,907
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD True
IDnr4 False
2BNR True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.50
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,371.50
2.618 1,350.00
1.618 1,336.75
1.000 1,328.50
0.618 1,323.50
HIGH 1,315.25
0.618 1,310.25
0.500 1,308.50
0.382 1,307.00
LOW 1,302.00
0.618 1,293.75
1.000 1,288.75
1.618 1,280.50
2.618 1,267.25
4.250 1,245.75
Fisher Pivots for day following 28-Mar-2011
Pivot 1 day 3 day
R1 1,308.50 1,302.25
PP 1,306.50 1,302.25
S1 1,304.50 1,302.25

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

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