E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 20-Jul-2009
Day Change Summary
Previous Current
17-Jul-2009 20-Jul-2009 Change Change % Previous Week
Open 935.25 937.00 1.75 0.2% 874.75
High 938.75 949.25 10.50 1.1% 940.75
Low 928.00 933.75 5.75 0.6% 865.50
Close 937.00 949.00 12.00 1.3% 937.00
Range 10.75 15.50 4.75 44.2% 75.25
ATR 18.83 18.59 -0.24 -1.3% 0.00
Volume 2,191,367 1,525,903 -665,464 -30.4% 10,269,087
Daily Pivots for day following 20-Jul-2009
Classic Woodie Camarilla DeMark
R4 990.50 985.25 957.50
R3 975.00 969.75 953.25
R2 959.50 959.50 951.75
R1 954.25 954.25 950.50 957.00
PP 944.00 944.00 944.00 945.25
S1 938.75 938.75 947.50 941.50
S2 928.50 928.50 946.25
S3 913.00 923.25 944.75
S4 897.50 907.75 940.50
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
5 949.25 892.50 56.75 6.0% 16.25 1.7% 100% True False 1,993,855
10 949.25 865.25 84.00 8.9% 17.75 1.9% 100% True False 1,974,000
20 949.25 865.25 84.00 8.9% 18.25 1.9% 100% True False 1,873,751
40 953.00 865.25 87.75 9.2% 19.00 2.0% 95% False False 1,265,702
60 953.00 835.25 117.75 12.4% 20.25 2.1% 97% False False 845,826
80 953.00 772.25 180.75 19.0% 21.25 2.3% 98% False False 635,066
100 953.00 662.00 291.00 30.7% 22.75 2.4% 99% False False 508,094
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 3.23
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,015.00
2.618 989.75
1.618 974.25
1.000 964.75
0.618 958.75
HIGH 949.25
0.618 943.25
0.500 941.50
0.382 939.75
LOW 933.75
0.618 924.25
1.000 918.25
1.618 908.75
2.618 893.25
4.250 868.00
Fisher Pivots for day following 20-Jul-2009
Pivot 1 day 3 day
R1 946.50 944.50
PP 944.00 939.75
S1 941.50 935.00

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

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