E-mini S&P 500 Future March 2011

Trading Metrics calculated at close of trading on 16-Dec-2010

ESH11 began trading on 07/15/2010 and has 109 trading days of price history. Some sections of this page appear only once enough data has accumulated.

We anticipate that we'll have enough data to calculate stats around 01/04/2011.

Technical Consensus

Composite multi-indicator directional consensus and volatility profile

BUY(+0.39)

Moving Averages

Strong Buy

+1.00

Oscillators

Neutral

0.00

Price Levels

Buy

+0.50

Trend

Buy

+0.50

Relative Volume (20d): 3.17x

ATR(14) %: 1.2%

20-Day Historical Volatility: 0.2%

Day Change Summary (OHLC)

	Previous	Current
Metric	15-Dec-2010	16-Dec-2010	Change	Change %	Previous Week
Open	1,236.75	1,232.00	-4.75	-0.4%	1,218.50
High	1,239.50	1,239.75	0.25	0.0%	1,236.25
Low	1,228.75	1,227.50	-1.25	-0.1%	1,211.50
Close	1,232.00	1,238.50	6.50	0.5%	1,236.00
Range	10.75	12.25	1.50	14.0%	24.75
ATR(14)	14.76	14.58	-0.18	-1.2%	15.92
Volume	2,114,241	1,708,936	-405,305	-19.2%	3,019,237

Multi-Period Performance

1-Month (21d)

5.9%

3-Month (63d)

11.1%

6-Month (126d)

—

1-Year (252d)

—

Year-To-Date (YTD)

14.5%

52-Week Range

52W Low: 1,028.25 (20.4%)

Position (98%)

52W High: 1,242.25 (0.3%)

Daily Pivots for day following 16-Dec-2010

Level	Classic	Woodie	Camarilla	DeMark
R4	1,272.00	1,267.50	1,245.25
R3	1,259.75	1,255.25	1,241.75
R2	1,247.50	1,247.50	1,240.75
R1	1,243.00	1,243.00	1,239.50	1,245.25
PP	1,235.25	1,235.25	1,235.25	1,236.50
S1	1,230.75	1,230.75	1,237.50	1,233.00
S2	1,223.00	1,223.00	1,236.25
S3	1,210.75	1,218.50	1,235.25
S4	1,198.50	1,206.25	1,231.75

Weekly Pivots for week ending 10-Dec-2010

Level	Classic	Woodie	Camarilla	DeMark
R4	1,302.25	1,293.75	1,249.50
R3	1,277.50	1,269.00	1,242.75
R2	1,252.75	1,252.75	1,240.50
R1	1,244.25	1,244.25	1,238.25	1,248.50
PP	1,228.00	1,228.00	1,228.00	1,230.00
S1	1,219.50	1,219.50	1,233.75	1,223.75
S2	1,203.25	1,203.25	1,231.50
S3	1,178.50	1,194.75	1,229.25
S4	1,153.75	1,170.00	1,222.50

Fisher Pivots for day following 16-Dec-2010

Pivot	1 Day	3 Day
R1	1,237.00	1,237.25
PP	1,235.25	1,236.00
S1	1,233.75	1,235.00

Fibonacci Retracements and Extensions

Single-day high/low extensions and retracements

Level	Price Level
4.250	1,291.75
2.618	1,271.75
1.618	1,259.50
1.000	1,252.00
0.618	1,247.25
HIGH	1,239.75
0.618	1,235.00
0.500	1,233.75
0.382	1,232.25
LOW	1,227.50
0.618	1,220.00
1.000	1,215.25
1.618	1,207.75
2.618	1,195.50
4.250	1,175.50

20-Day Swing Fibonacci Retracements

Swing Level	Price Level
23.6%	1,191.75
38.2%	1,160.50
50.0%	1,135.25
61.8%	1,110.00
78.6%	1,074.00

Moving Averages & Trend

Simple Moving Averages, Bollinger Bands, and Ichimoku Kinko Hyo

Period	SMA Value	Distance (Pts)	Distance (%)	Signal
5-Day SMA	1,236.00	2.50	0.2%	Above
10-Day SMA	1,228.50	10.00	0.8%	Above
20-Day SMA	1,209.00	29.50	2.4%	Above
50-Day SMA	1,191.50	47.00	3.9%	Above
100-Day SMA	1,144.00	94.50	8.3%	Above
200-Day SMA	Insufficient data

Bollinger Bands (20, 2):

Upper: 1,253.50

Middle: 1,209.00

Lower: 1,164.50

Bandwidth: 7.4%

Ichimoku Kinko Hyo:

Tenkan-sen: 1,227.00

Kijun-sen: 1,204.00

Span A: 1,215.50

Span B: 1,185.25

Chikou Span: 1,205.75

Technical Oscillators & Momentum

Multi-indicator status across trend, momentum, and volume

RSI (14)

Neutral

67.32

Neutral 30–70

MACD (12, 26, 9)

Bullish Cross

14.65

Signal: 12.36 · Hist: 2.29

Stochastic (14, 3)

Neutral

%K: 95.00

%D: 91.33

StochRSI (14)

Bearish

%K: 92.99

%D: 95.86

ADX (14) & Trend

Strong Trend

29.05

+DI: 25.38 · -DI: 11.55

CCI (20)

Neutral

89.91

Range -100 to +100

Williams %R (14)

Neutral

-5.00

Range -100 to 0

Ultimate Oscillator

Neutral

65.65

Periods: 7, 14, 28

ROC (12)

Bullish

5.45%

12-period Rate of Change

Elder Bull/Bear (13)

Bears Control

16.93

Bull: 16.93 · Bear: 4.68

Crabel Price Patterns

Pattern	Signal / Value
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	True
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	3.25
Widest range in 7 trading days

High/Low/Range Statistics

Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,242.25	1,226.75	15.50	1.3%	10.50	0.8%	76%	False	False	1,818,181
10	1,242.25	1,208.00	34.25	2.8%	11.50	0.9%	89%	False	False	1,068,046
20	1,242.25	1,167.25	75.00	6.1%	16.00	1.3%	95%	False	False	539,111
40	1,242.25	1,162.25	80.00	6.5%	15.25	1.2%	95%	False	False	270,635
60	1,242.25	1,112.75	129.50	10.5%	15.75	1.3%	97%	False	False	180,786
80	1,242.25	1,028.25	214.00	17.3%	15.75	1.3%	98%	False	False	135,665
100	1,242.25	1,028.25	214.00	17.3%	15.50	1.3%	98%	False	False	108,536

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