E-mini S&P 500 Future March 2009


Trading Metrics calculated at close of trading on 05-Jan-2009
Day Change Summary
Previous Current
02-Jan-2009 05-Jan-2009 Change Change % Previous Week
Open 900.00 924.75 24.75 2.8% 869.00
High 932.75 934.25 1.50 0.2% 932.75
Low 896.50 916.50 20.00 2.2% 853.25
Close 925.50 927.50 2.00 0.2% 925.50
Range 36.25 17.75 -18.50 -51.0% 79.50
ATR 35.90 34.60 -1.30 -3.6% 0.00
Volume 920,263 1,095,813 175,550 19.1% 2,513,607
Daily Pivots for day following 05-Jan-2009
Classic Woodie Camarilla DeMark
R4 979.25 971.25 937.25
R3 961.50 953.50 932.50
R2 943.75 943.75 930.75
R1 935.75 935.75 929.25 939.75
PP 926.00 926.00 926.00 928.00
S1 918.00 918.00 925.75 922.00
S2 908.25 908.25 924.25
S3 890.50 900.25 922.50
S4 872.75 882.50 917.75
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
5 934.25 853.25 81.00 8.7% 23.25 2.5% 92% True False 721,884
10 934.25 852.75 81.50 8.8% 22.50 2.4% 92% True False 995,526
20 934.25 816.25 118.00 12.7% 32.00 3.5% 94% True False 1,141,611
40 960.25 737.25 223.00 24.0% 43.50 4.7% 85% False False 576,426
60 1,066.50 737.25 329.25 35.5% 53.75 5.8% 58% False False 385,785
80 1,281.75 737.25 544.50 58.7% 53.75 5.8% 35% False False 290,377
100 1,303.75 737.25 566.50 61.1% 45.50 4.9% 34% False False 232,303
Crabel Price Patterns
NR True
NR4 True
NR5 True
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 5.28
Narrowest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1,009.75
2.618 980.75
1.618 963.00
1.000 952.00
0.618 945.25
HIGH 934.25
0.618 927.50
0.500 925.50
0.382 923.25
LOW 916.50
0.618 905.50
1.000 898.75
1.618 887.75
2.618 870.00
4.250 841.00
Fisher Pivots for day following 05-Jan-2009
Pivot 1 day 3 day
R1 926.75 921.75
PP 926.00 916.00
S1 925.50 910.50

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

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