ES Futures and the Floor Trader Pivots 01/15/12

Playing around with some numbers on this slow weekend.

I looked over the last 2 years of ES futures data, and calculated the Floor Trader Pivots for each day using the time frame of 0930 to 1615 ET. I then looked at the % of time that the market closed between two Pivot lines versus when the market opened between two Pivot lines. The results are in the table above. The blue shaded cells are the percentage of time when the market opened and closed between the same two pivot lines.

Interestingly, when the market opens either between R2 and R1 or S1 and S2, the market closes in that same range only 18% of the time. In contrast, when the market opens either above R3 or between R3 and R2, the market closes in those same ranges 67 and 64% of the time, respectively. The other ranges vary from 32 to 38% of the time that the market opens and closes in the same range.

When the market opens above R3, it hasn't closed below the pivot. When it opens below S3, it hasn't closed above the pivot.

When the market opens between R3 and R2, it hasn't closed below S1. When the market opens between S2 and S3, it hasn't closed above R1.

For all data over the last two years, the market has closed in each range with the following percentage of the time:

Above R3 - 2%
Between R3 and R2 - 12%
Between R2 and R1 - 15%
Between R1 and Pivot - 28%
Between Pivot and S1 - 22%
Between S1 and S2 - 10%
Between S2 and S3 - 8%
Below S3 - 3%

Charles