E-mini S&P 500 Future March 2009


Trading Metrics calculated at close of trading on 02-Jan-2009
Day Change Summary
Previous Current
31-Dec-2008 02-Jan-2009 Change Change % Previous Week
Open 888.00 900.00 12.00 1.4% 869.00
High 908.00 932.75 24.75 2.7% 932.75
Low 886.50 896.50 10.00 1.1% 853.25
Close 900.00 925.50 25.50 2.8% 925.50
Range 21.50 36.25 14.75 68.6% 79.50
ATR 35.87 35.90 0.03 0.1% 0.00
Volume 777,046 920,263 143,217 18.4% 2,513,607
Daily Pivots for day following 02-Jan-2009
Classic Woodie Camarilla DeMark
R4 1,027.00 1,012.50 945.50
R3 990.75 976.25 935.50
R2 954.50 954.50 932.25
R1 940.00 940.00 928.75 947.25
PP 918.25 918.25 918.25 922.00
S1 903.75 903.75 922.25 911.00
S2 882.00 882.00 918.75
S3 845.75 867.50 915.50
S4 809.50 831.25 905.50
Weekly Pivots for week ending 02-Jan-2009
Classic Woodie Camarilla DeMark
R4 1,142.25 1,113.50 969.25
R3 1,062.75 1,034.00 947.25
R2 983.25 983.25 940.00
R1 954.50 954.50 932.75 969.00
PP 903.75 903.75 903.75 911.00
S1 875.00 875.00 918.25 889.50
S2 824.25 824.25 911.00
S3 744.75 795.50 903.75
S4 665.25 716.00 881.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 932.75 853.25 79.50 8.6% 21.50 2.3% 91% True False 550,541
10 932.75 852.75 80.00 8.6% 24.50 2.6% 91% True False 1,119,168
20 932.75 816.25 116.50 12.6% 33.25 3.6% 94% True False 1,088,750
40 1,006.50 737.25 269.25 29.1% 44.75 4.8% 70% False False 549,123
60 1,066.50 737.25 329.25 35.6% 54.75 5.9% 57% False False 367,664
80 1,281.75 737.25 544.50 58.8% 53.75 5.8% 35% False False 276,680
100 1,309.75 737.25 572.50 61.9% 45.50 4.9% 33% False False 221,346
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.90
Widest range in 7 trading days
Fibonacci Retracements and Extensions
4.250 1,086.75
2.618 1,027.75
1.618 991.50
1.000 969.00
0.618 955.25
HIGH 932.75
0.618 919.00
0.500 914.50
0.382 910.25
LOW 896.50
0.618 874.00
1.000 860.25
1.618 837.75
2.618 801.50
4.250 742.50
Fisher Pivots for day following 02-Jan-2009
Pivot 1 day 3 day
R1 922.00 917.25
PP 918.25 909.00
S1 914.50 900.75

These figures are updated between 7pm and 10pm EST after a trading day.

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