E-mini S&P 500 Future September 2011
Trading Metrics calculated at close of trading on 03-Aug-2011
Technical Consensus
Composite multi-indicator directional consensus and volatility profile
SELL(-0.17)
Moving Averages
Strong Sell
-1.00
Oscillators
Buy
+0.22
Price Levels
Neutral
0.00
Trend
Neutral
0.00
Relative Volume (20d): 1.63x
ATR(14) %: 1.8%
20-Day Historical Volatility: 0.2%
Day Change Summary (OHLC)
| Previous | Current | ||||
|---|---|---|---|---|---|
| Metric | 02-Aug-2011 | 03-Aug-2011 | Change | Change % | Previous Week |
| Open | 1,279.75 | 1,248.25 | -31.50 | -2.5% | 1,330.00 |
| High | 1,285.00 | 1,258.00 | -27.00 | -2.1% | 1,340.25 |
| Low | 1,246.75 | 1,230.25 | -16.50 | -1.3% | 1,278.75 |
| Close | 1,247.25 | 1,254.50 | 7.25 | 0.6% | 1,288.50 |
| Range | 38.25 | 27.75 | -10.50 | -27.5% | 61.50 |
| ATR(14) | 22.74 | 23.09 | 0.36 | 1.6% | 20.16 |
| Volume | 3,293,753 | 3,814,875 | 521,122 | 15.8% | 11,095,327 |
Multi-Period Performance
1-Month (21d)
-6.2%
3-Month (63d)
-6.2%
6-Month (126d)
-2.8%
1-Year (252d)
—
Year-To-Date (YTD)
-0.1%
52-Week Range
52W Low: 1,162.00 (8.0%)
Position (45%)
52W High: 1,367.50 (8.3%)
Daily Pivots for day following 03-Aug-2011
Weekly Pivots for week ending 29-Jul-2011
Fibonacci Retracements and Extensions
Single-day high/low extensions and retracements
| Level | Price Level |
|---|---|
| 4.250 | 1,376.00 |
| 2.618 | 1,330.75 |
| 1.618 | 1,303.00 |
| 1.000 | 1,285.75 |
| 0.618 | 1,275.25 |
| HIGH | 1,258.00 |
| 0.618 | 1,247.50 |
| 0.500 | 1,244.25 |
| 0.382 | 1,240.75 |
| LOW | 1,230.25 |
| 0.618 | 1,213.00 |
| 1.000 | 1,202.50 |
| 1.618 | 1,185.25 |
| 2.618 | 1,157.50 |
| 4.250 | 1,112.25 |
20-Day Swing Fibonacci Retracements
| Swing Level | Price Level |
|---|---|
| 23.6% | 1,319.00 |
| 38.2% | 1,289.00 |
| 50.0% | 1,264.75 |
| 61.8% | 1,240.50 |
| 78.6% | 1,206.00 |
Moving Averages & Trend
Simple Moving Averages, Bollinger Bands, and Ichimoku Kinko Hyo
| Period | SMA Value | Distance (Pts) | Distance (%) | Signal |
|---|---|---|---|---|
| 5-Day SMA | 1,273.25 | -18.75 | -1.5% | Below |
| 10-Day SMA | 1,301.00 | -46.50 | -3.6% | Below |
| 20-Day SMA | 1,310.50 | -56.00 | -4.3% | Below |
| 50-Day SMA | 1,300.25 | -45.75 | -3.5% | Below |
| 100-Day SMA | 1,308.25 | -53.75 | -4.1% | Below |
| 200-Day SMA | Insufficient data | |||
Bollinger Bands (20, 2):
Upper: 1,364.75
Middle: 1,310.50
Lower: 1,256.25
Bandwidth: 8.3%
Ichimoku Kinko Hyo:
Tenkan-sen: 1,289.00
Kijun-sen: 1,292.50
Span A: 1,290.75
Span B: 1,292.50
Chikou Span: 1,276.25
Technical Oscillators & Momentum
Multi-indicator status across trend, momentum, and volume
RSI (14)
Neutral34.17
Neutral 30–70MACD (12, 26, 9)
Bearish Cross-9.75
Signal: -0.81 · Hist: -8.93Stochastic (14, 3)
Neutral%K: 20.64
%D: 11.13StochRSI (14)
Bullish%K: 3.50
%D: 1.17ADX (14) & Trend
Neutral17.62
+DI: 14.27 · -DI: 32.91CCI (20)
Overbought-226.14
Range -100 to +100Williams %R (14)
Neutral-79.36
Range -100 to 0Ultimate Oscillator
Neutral33.85
Periods: 7, 14, 28ROC (12)
Bullish-3.54%
12-period Rate of ChangeElder Bull/Bear (13)
Neutral-35.04
Bull: -35.04 · Bear: -62.79High/Low/Range Statistics
| Trading Days | High | Low | Range | Range % | Average Range | Average Range % | Close % | New High | New Low | Average Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 5 | 1,313.00 | 1,230.25 | 82.75 | 6.6% | 29.00 | 2.3% | 29% | False | True | 3,070,519 |
| 10 | 1,347.75 | 1,230.25 | 117.50 | 9.4% | 25.25 | 2.0% | 21% | False | True | 2,465,623 |
| 20 | 1,354.50 | 1,230.25 | 124.25 | 9.9% | 23.25 | 1.9% | 20% | False | True | 2,346,641 |
| 40 | 1,354.50 | 1,230.25 | 124.25 | 9.9% | 21.00 | 1.7% | 20% | False | True | 2,243,487 |
| 60 | 1,354.50 | 1,230.25 | 124.25 | 9.9% | 19.75 | 1.6% | 20% | False | True | 1,500,001 |
| 80 | 1,367.50 | 1,230.25 | 137.25 | 10.9% | 18.50 | 1.5% | 18% | False | True | 1,125,477 |
| 100 | 1,367.50 | 1,230.25 | 137.25 | 10.9% | 18.25 | 1.5% | 18% | False | True | 900,552 |
| 120 | 1,367.50 | 1,230.25 | 137.25 | 10.9% | 18.00 | 1.4% | 18% | False | True | 750,471 |