Pivot Points

Below are the calculations for the floor trader pivots that are sometimes used in the broadcast and are listed daily in the ShadowTrader Pro Swing Trader. The high, low and close used in the calculation is from the prior day’s values. Generally these values are derived from the E-mini S&P futures, also known as “ES”. The pivots can be calculated using 24hour data or only trading hours only data. Although experimentation has proven both to be valid, we have found using trading hours only data to be more relevant as large gaps often put the pivot points too far outside of the market to be of any use. The “special sauce” is that we take the high and low in the futures that traded during equity trading hours only. So 9:30 to 4pm, even though each day’s futures session actually ends at 4:15pm EST. For the closing value we take the settlement value from the CME as opposed to just the Last price at 4:15pm. The settlement value does NOT have to be exactly the same as whatever the 4:15pm LAST was. It usually is, but can be different by a couple of ticks or more. When at the site, refresh the page if necessary to make sure you have the correct day’s data on the screen. Write down the figure from that site and plug it and your high and low (from your intraday ES chart) into a simple Xcel with the formulas below. “R” means Resistance and “S” means Support.
PIVOT = (High + Close + Low)/3
R3 = High + 2(Pivot – Low)
R2 = Pivot + (R1 – S1)
R1 = (2*Pivot) – Low
S1 = (2*Pivot) – High
S2 = Pivot – (R1 – S1)
S3 = Low – 2(Hi – Pivot)