E-mini S&P 500 Future June 2011


Trading Metrics calculated at close of trading on 01-Jun-2011
Day Change Summary
Previous Current
31-May-2011 01-Jun-2011 Change Change % Previous Week
Open 1,329.75 1,344.75 15.00 1.1% 1,326.00
High 1,345.75 1,347.75 2.00 0.1% 1,333.75
Low 1,328.25 1,311.25 -17.00 -1.3% 1,302.25
Close 1,344.00 1,312.00 -32.00 -2.4% 1,330.00
Range 17.50 36.50 19.00 108.6% 31.50
ATR 16.14 17.59 1.45 9.0% 0.00
Volume 1,393,298 2,462,983 1,069,685 76.8% 9,683,687
Daily Pivots for day following 01-Jun-2011
Classic Woodie Camarilla DeMark
R4 1,433.25 1,409.00 1,332.00
R3 1,396.75 1,372.50 1,322.00
R2 1,360.25 1,360.25 1,318.75
R1 1,336.00 1,336.00 1,315.25 1,330.00
PP 1,323.75 1,323.75 1,323.75 1,320.50
S1 1,299.50 1,299.50 1,308.75 1,293.50
S2 1,287.25 1,287.25 1,305.25
S3 1,250.75 1,263.00 1,302.00
S4 1,214.25 1,226.50 1,292.00
Weekly Pivots for week ending 27-May-2011
Classic Woodie Camarilla DeMark
R4 1,416.50 1,404.75 1,347.25
R3 1,385.00 1,373.25 1,338.75
R2 1,353.50 1,353.50 1,335.75
R1 1,341.75 1,341.75 1,333.00 1,347.50
PP 1,322.00 1,322.00 1,322.00 1,325.00
S1 1,310.25 1,310.25 1,327.00 1,316.00
S2 1,290.50 1,290.50 1,324.25
S3 1,259.00 1,278.75 1,321.25
S4 1,227.50 1,247.25 1,312.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,347.75 1,302.25 45.50 3.5% 20.00 1.5% 21% True False 1,925,999
10 1,347.75 1,302.25 45.50 3.5% 17.25 1.3% 21% True False 1,922,287
20 1,358.25 1,302.25 56.00 4.3% 18.00 1.4% 17% False False 2,078,319
40 1,373.50 1,290.50 83.00 6.3% 16.25 1.2% 26% False False 1,882,427
60 1,373.50 1,241.25 132.25 10.1% 17.50 1.3% 53% False False 1,880,288
80 1,373.50 1,241.25 132.25 10.1% 17.25 1.3% 53% False False 1,412,628
100 1,373.50 1,241.25 132.25 10.1% 16.50 1.3% 53% False False 1,130,378
120 1,373.50 1,217.25 156.25 11.9% 15.25 1.2% 61% False False 942,055
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.33
Widest range in 53 trading days
Fibonacci Retracements and Extensions
4.250 1,503.00
2.618 1,443.25
1.618 1,406.75
1.000 1,384.25
0.618 1,370.25
HIGH 1,347.75
0.618 1,333.75
0.500 1,329.50
0.382 1,325.25
LOW 1,311.25
0.618 1,288.75
1.000 1,274.75
1.618 1,252.25
2.618 1,215.75
4.250 1,156.00
Fisher Pivots for day following 01-Jun-2011
Pivot 1 day 3 day
R1 1,329.50 1,329.50
PP 1,323.75 1,323.75
S1 1,317.75 1,317.75

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

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