E-mini S&P 500 Future March 2009


Trading Metrics calculated at close of trading on 06-Jan-2009
Day Change Summary
Previous Current
05-Jan-2009 06-Jan-2009 Change Change % Previous Week
Open 924.75 927.25 2.50 0.3% 869.00
High 934.25 942.75 8.50 0.9% 932.75
Low 916.50 923.50 7.00 0.8% 853.25
Close 927.50 930.50 3.00 0.3% 925.50
Range 17.75 19.25 1.50 8.5% 79.50
ATR 34.60 33.51 -1.10 -3.2% 0.00
Volume 1,095,813 1,606,235 510,422 46.6% 2,513,607
Daily Pivots for day following 06-Jan-2009
Classic Woodie Camarilla DeMark
R4 990.00 979.50 941.00
R3 970.75 960.25 935.75
R2 951.50 951.50 934.00
R1 941.00 941.00 932.25 946.25
PP 932.25 932.25 932.25 935.00
S1 921.75 921.75 928.75 927.00
S2 913.00 913.00 927.00
S3 893.75 902.50 925.25
S4 874.50 883.25 920.00
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
5 942.75 868.75 74.00 8.0% 23.00 2.5% 83% True False 1,002,801
10 942.75 852.75 90.00 9.7% 21.50 2.3% 86% True False 947,366
20 942.75 828.75 114.00 12.3% 30.00 3.2% 89% True False 1,219,453
40 960.25 737.25 223.00 24.0% 42.50 4.6% 87% False False 616,539
60 1,066.50 737.25 329.25 35.4% 52.25 5.6% 59% False False 412,470
80 1,281.75 737.25 544.50 58.5% 53.50 5.8% 35% False False 310,455
100 1,303.75 737.25 566.50 60.9% 45.75 4.9% 34% False False 248,366
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
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 4.40
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,024.50
2.618 993.25
1.618 974.00
1.000 962.00
0.618 954.75
HIGH 942.75
0.618 935.50
0.500 933.00
0.382 930.75
LOW 923.50
0.618 911.50
1.000 904.25
1.618 892.25
2.618 873.00
4.250 841.75
Fisher Pivots for day following 06-Jan-2009
Pivot 1 day 3 day
R1 933.00 927.00
PP 932.25 923.25
S1 931.50 919.50

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

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