E-mini S&P 500 Future December 2011


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Trading Metrics calculated at close of trading on 31-Oct-2011
Day Change Summary
Previous Current
28-Oct-2011 31-Oct-2011 Change Change % Previous Week
Open 1,282.25 1,280.00 -2.25 -0.2% 1,229.75
High 1,284.25 1,280.75 -3.50 -0.3% 1,289.25
Low 1,272.75 1,245.25 -27.50 -2.2% 1,216.50
Close 1,281.00 1,249.25 -31.75 -2.5% 1,281.00
Range 11.50 35.50 24.00 208.7% 72.75
ATR 31.96 32.23 0.27 0.8% 0.00
Volume 1,912,116 2,238,350 326,234 17.1% 12,513,307
Daily Pivots for day following 31-Oct-2011
Classic Woodie Camarilla DeMark
R4 1,365.00 1,342.50 1,268.75
R3 1,329.50 1,307.00 1,259.00
R2 1,294.00 1,294.00 1,255.75
R1 1,271.50 1,271.50 1,252.50 1,265.00
PP 1,258.50 1,258.50 1,258.50 1,255.00
S1 1,236.00 1,236.00 1,246.00 1,229.50
S2 1,223.00 1,223.00 1,242.75
S3 1,187.50 1,200.50 1,239.50
S4 1,152.00 1,165.00 1,229.75
Weekly Pivots for week ending 28-Oct-2011
Classic Woodie Camarilla DeMark
R4 1,480.50 1,453.50 1,321.00
R3 1,407.75 1,380.75 1,301.00
R2 1,335.00 1,335.00 1,294.25
R1 1,308.00 1,308.00 1,287.75 1,321.50
PP 1,262.25 1,262.25 1,262.25 1,269.00
S1 1,235.25 1,235.25 1,274.25 1,248.75
S2 1,189.50 1,189.50 1,267.75
S3 1,116.75 1,162.50 1,261.00
S4 1,044.00 1,089.75 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 1,289.25 1,216.50 72.75 5.8% 31.50 2.5% 45% False False 2,550,030
10 1,289.25 1,185.50 103.75 8.3% 30.50 2.4% 61% False False 2,516,398
20 1,289.25 1,068.00 221.25 17.7% 31.00 2.5% 82% False False 2,565,107
40 1,289.25 1,068.00 221.25 17.7% 33.75 2.7% 82% False False 2,689,409
60 1,289.25 1,068.00 221.25 17.7% 37.00 3.0% 82% False False 1,797,151
80 1,342.00 1,068.00 274.00 21.9% 34.50 2.8% 66% False False 1,348,529
100 1,348.75 1,068.00 280.75 22.5% 31.25 2.5% 65% False False 1,079,017
120 1,348.75 1,068.00 280.75 22.5% 28.50 2.3% 65% False False 899,198
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 False
Bear Hook False
Bull Hook False
Stretch 4.55
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,431.50
2.618 1,373.75
1.618 1,338.25
1.000 1,316.25
0.618 1,302.75
HIGH 1,280.75
0.618 1,267.25
0.500 1,263.00
0.382 1,258.75
LOW 1,245.25
0.618 1,223.25
1.000 1,209.75
1.618 1,187.75
2.618 1,152.25
4.250 1,094.50
Fisher Pivots for day following 31-Oct-2011
Pivot 1 day 3 day
R1 1,263.00 1,263.50
PP 1,258.50 1,258.75
S1 1,253.75 1,254.00

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

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