E-mini S&P 500 Future June 2009


Trading Metrics calculated at close of trading on 01-Jun-2009
Day Change Summary
Previous Current
29-May-2009 01-Jun-2009 Change Change % Previous Week
Open 905.00 920.25 15.25 1.7% 885.00
High 927.75 947.25 19.50 2.1% 927.75
Low 902.25 916.50 14.25 1.6% 876.75
Close 918.00 939.00 21.00 2.3% 918.00
Range 25.50 30.75 5.25 20.6% 51.00
ATR 23.87 24.36 0.49 2.1% 0.00
Volume 2,694,863 2,009,771 -685,092 -25.4% 9,336,887
Daily Pivots for day following 01-Jun-2009
Classic Woodie Camarilla DeMark
R4 1,026.50 1,013.50 956.00
R3 995.75 982.75 947.50
R2 965.00 965.00 944.75
R1 952.00 952.00 941.75 958.50
PP 934.25 934.25 934.25 937.50
S1 921.25 921.25 936.25 927.75
S2 903.50 903.50 933.25
S3 872.75 890.50 930.50
S4 842.00 859.75 922.00
Weekly Pivots for week ending 29-May-2009
Classic Woodie Camarilla DeMark
R4 1,060.50 1,040.25 946.00
R3 1,009.50 989.25 932.00
R2 958.50 958.50 927.25
R1 938.25 938.25 922.75 948.50
PP 907.50 907.50 907.50 912.50
S1 887.25 887.25 913.25 897.50
S2 856.50 856.50 908.75
S3 805.50 836.25 904.00
S4 754.50 785.25 890.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 947.25 876.75 70.50 7.5% 27.25 2.9% 88% True False 2,269,331
10 947.25 875.25 72.00 7.7% 24.50 2.6% 89% True False 2,263,176
20 947.25 875.25 72.00 7.7% 23.75 2.5% 89% True False 2,294,670
40 947.25 802.25 145.00 15.4% 23.75 2.5% 94% True False 2,312,415
60 947.25 662.75 284.50 30.3% 26.00 2.8% 97% True False 2,227,940
80 947.25 662.75 284.50 30.3% 26.75 2.8% 97% True False 1,674,459
100 947.25 662.75 284.50 30.3% 27.75 2.9% 97% True False 1,340,835
120 947.25 662.75 284.50 30.3% 27.25 2.9% 97% True False 1,117,509
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
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 5.23
Widest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1,078.00
2.618 1,027.75
1.618 997.00
1.000 978.00
0.618 966.25
HIGH 947.25
0.618 935.50
0.500 932.00
0.382 928.25
LOW 916.50
0.618 897.50
1.000 885.75
1.618 866.75
2.618 836.00
4.250 785.75
Fisher Pivots for day following 01-Jun-2009
Pivot 1 day 3 day
R1 936.50 931.50
PP 934.25 924.25
S1 932.00 916.75

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

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