E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 17-Jul-2009
Day Change Summary
Previous Current
16-Jul-2009 17-Jul-2009 Change Change % Previous Week
Open 925.75 935.25 9.50 1.0% 874.75
High 940.75 938.75 -2.00 -0.2% 940.75
Low 921.00 928.00 7.00 0.8% 865.50
Close 935.75 937.00 1.25 0.1% 937.00
Range 19.75 10.75 -9.00 -45.6% 75.25
ATR 19.45 18.83 -0.62 -3.2% 0.00
Volume 2,188,329 2,191,367 3,038 0.1% 10,269,087
Daily Pivots for day following 17-Jul-2009
Classic Woodie Camarilla DeMark
R4 966.75 962.75 943.00
R3 956.00 952.00 940.00
R2 945.25 945.25 939.00
R1 941.25 941.25 938.00 943.25
PP 934.50 934.50 934.50 935.50
S1 930.50 930.50 936.00 932.50
S2 923.75 923.75 935.00
S3 913.00 919.75 934.00
S4 902.25 909.00 931.00
Weekly Pivots for week ending 17-Jul-2009
Classic Woodie Camarilla DeMark
R4 1,140.25 1,113.75 978.50
R3 1,065.00 1,038.50 957.75
R2 989.75 989.75 950.75
R1 963.25 963.25 944.00 976.50
PP 914.50 914.50 914.50 921.00
S1 888.00 888.00 930.00 901.25
S2 839.25 839.25 923.25
S3 764.00 812.75 916.25
S4 688.75 737.50 895.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 940.75 865.50 75.25 8.0% 19.75 2.1% 95% False False 2,053,817
10 940.75 865.25 75.50 8.1% 17.50 1.9% 95% False False 2,006,454
20 940.75 865.25 75.50 8.1% 18.00 1.9% 95% False False 1,891,870
40 953.00 865.25 87.75 9.4% 19.25 2.1% 82% False False 1,227,752
60 953.00 827.75 125.25 13.4% 20.25 2.2% 87% False False 820,561
80 953.00 772.25 180.75 19.3% 21.50 2.3% 91% False False 616,009
100 953.00 662.00 291.00 31.1% 22.75 2.4% 95% False False 492,839
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.33
Narrowest range in 6 trading days
Fibonacci Retracements and Extensions
4.250 984.50
2.618 967.00
1.618 956.25
1.000 949.50
0.618 945.50
HIGH 938.75
0.618 934.75
0.500 933.50
0.382 932.00
LOW 928.00
0.618 921.25
1.000 917.25
1.618 910.50
2.618 899.75
4.250 882.25
Fisher Pivots for day following 17-Jul-2009
Pivot 1 day 3 day
R1 935.75 932.50
PP 934.50 928.00
S1 933.50 923.50

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

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