E-mini S&P 500 Future September 2011

Trading Metrics calculated at close of trading on 04-Feb-2011

ESU11 began trading on 10/22/2010 and has 73 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 04/13/2011.

Technical Consensus

Composite multi-indicator directional consensus and volatility profile

BUY(+0.31)

Moving Averages

Strong Buy

+1.00

Oscillators

Buy

+0.11

Price Levels

Neutral

0.00

Trend

Neutral

0.00

Relative Volume (20d): 0.12x

ATR(14) %: 0.9%

20-Day Historical Volatility: 0.1%

Day Change Summary (OHLC)

	Previous	Current
Metric	03-Feb-2011	04-Feb-2011	Change	Change %	Previous Week
Open	1,288.75	1,295.50	6.75	0.5%	1,261.00
High	1,295.50	1,298.00	2.50	0.2%	1,298.00
Low	1,282.25	1,288.25	6.00	0.5%	1,253.00
Close	1,293.50	1,297.50	4.00	0.3%	1,297.50
Range	13.25	9.75	-3.50	-26.4%	45.00
ATR(14)	12.52	12.32	-0.20	-1.6%	12.32
Volume	8	9	1	12.5%	67

Multi-Period Performance

1-Month (21d)

2.8%

3-Month (63d)

7.8%

6-Month (126d)

—

1-Year (252d)

—

Year-To-Date (YTD)

3.3%

52-Week Range

52W Low: 1,162.00 (11.7%)

Position (100%)

52W High: 1,298.00 (0.0%)

Daily Pivots for day following 04-Feb-2011

Level	Classic	Woodie	Camarilla	DeMark
R4	1,323.75	1,320.50	1,302.75
R3	1,314.00	1,310.75	1,300.25
R2	1,304.25	1,304.25	1,299.25
R1	1,301.00	1,301.00	1,298.50	1,302.75
PP	1,294.50	1,294.50	1,294.50	1,295.50
S1	1,291.25	1,291.25	1,296.50	1,293.00
S2	1,284.75	1,284.75	1,295.75
S3	1,275.00	1,281.50	1,294.75
S4	1,265.25	1,271.75	1,292.25

Weekly Pivots for week ending 04-Feb-2011

Level	Classic	Woodie	Camarilla	DeMark
R4	1,417.75	1,402.75	1,322.25
R3	1,372.75	1,357.75	1,310.00
R2	1,327.75	1,327.75	1,305.75
R1	1,312.75	1,312.75	1,301.75	1,320.25
PP	1,282.75	1,282.75	1,282.75	1,286.75
S1	1,267.75	1,267.75	1,293.50	1,275.25
S2	1,237.75	1,237.75	1,289.25
S3	1,192.75	1,222.75	1,285.25
S4	1,147.75	1,177.75	1,272.75

Fisher Pivots for day following 04-Feb-2011

Pivot	1 Day	3 Day
R1	1,296.00	1,295.00
PP	1,294.50	1,292.50
S1	1,293.25	1,290.25

Fibonacci Retracements and Extensions

Single-day high/low extensions and retracements

Level	Price Level
4.250	1,339.50
2.618	1,323.50
1.618	1,313.75
1.000	1,307.75
0.618	1,304.00
HIGH	1,298.00
0.618	1,294.25
0.500	1,293.25
0.382	1,292.00
LOW	1,288.25
0.618	1,282.25
1.000	1,278.50
1.618	1,272.50
2.618	1,262.75
4.250	1,246.75

20-Day Swing Fibonacci Retracements

Swing Level	Price Level
23.6%	1,266.00
38.2%	1,246.00
50.0%	1,230.00
61.8%	1,214.00
78.6%	1,191.00

Moving Averages & Trend

Simple Moving Averages, Bollinger Bands, and Ichimoku Kinko Hyo

Period	SMA Value	Distance (Pts)	Distance (%)	Signal
5-Day SMA	1,289.25	8.25	0.6%	Above
10-Day SMA	1,283.50	14.00	1.1%	Above
20-Day SMA	1,276.25	21.50	1.7%	Above
50-Day SMA	1,244.75	52.75	4.2%	Above
100-Day SMA	Insufficient data
200-Day SMA	Insufficient data

Bollinger Bands (20, 2):

Upper: 1,300.25

Middle: 1,276.25

Lower: 1,252.00

Bandwidth: 3.8%

Technical Oscillators & Momentum

Multi-indicator status across trend, momentum, and volume

RSI (14)

Neutral

66.19

Neutral 30–70

MACD (12, 26, 9)

Bullish Cross

12.84

Signal: 12.58 · Hist: 0.27

Stochastic (14, 3)

Neutral

%K: 98.89

%D: 93.94

StochRSI (14)

Neutral

%K: 46.37

%D: 42.68

ADX (14) & Trend

Neutral

32.93

+DI: 29.17 · -DI: 21.28

CCI (20)

Neutral

147.71

Range -100 to +100

Williams %R (14)

Neutral

-1.11

Range -100 to 0

Ultimate Oscillator

Neutral

63.53

Periods: 7, 14, 28

ROC (12)

Bullish

2.29%

12-period Rate of Change

Elder Bull/Bear (13)

Bears Control

16.18

Bull: 16.18 · Bear: 6.43

Crabel Price Patterns

Pattern	Signal / Value
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	3.25
Narrowest range in 2 trading days

High/Low/Range Statistics

Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,298.00	1,253.00	45.00	3.5%	14.75	1.1%	99%	True	False	13
10	1,298.00	1,253.00	45.00	3.5%	14.25	1.1%	99%	True	False	9
20	1,298.00	1,248.25	49.75	3.8%	13.50	1.0%	99%	True	False	78
40	1,298.00	1,218.00	80.00	6.2%	8.75	0.7%	99%	True	False	44
60	1,298.00	1,162.75	135.25	10.4%	6.25	0.5%	100%	True	False	30

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