E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 21-Jul-2009
Day Change Summary
Previous Current
20-Jul-2009 21-Jul-2009 Change Change % Previous Week
Open 937.00 947.75 10.75 1.1% 874.75
High 949.25 956.25 7.00 0.7% 940.75
Low 933.75 939.50 5.75 0.6% 865.50
Close 949.00 953.50 4.50 0.5% 937.00
Range 15.50 16.75 1.25 8.1% 75.25
ATR 18.59 18.46 -0.13 -0.7% 0.00
Volume 1,525,903 1,574,716 48,813 3.2% 10,269,087
Daily Pivots for day following 21-Jul-2009
Classic Woodie Camarilla DeMark
R4 1,000.00 993.50 962.75
R3 983.25 976.75 958.00
R2 966.50 966.50 956.50
R1 960.00 960.00 955.00 963.25
PP 949.75 949.75 949.75 951.50
S1 943.25 943.25 952.00 946.50
S2 933.00 933.00 950.50
S3 916.25 926.50 949.00
S4 899.50 909.75 944.25
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
5 956.25 906.50 49.75 5.2% 17.50 1.8% 94% True False 1,898,034
10 956.25 865.25 91.00 9.5% 17.00 1.8% 97% True False 1,957,839
20 956.25 865.25 91.00 9.5% 17.50 1.8% 97% True False 1,871,292
40 956.25 865.25 91.00 9.5% 19.25 2.0% 97% True False 1,304,836
60 956.25 835.25 121.00 12.7% 20.00 2.1% 98% True False 871,985
80 956.25 772.25 184.00 19.3% 21.25 2.2% 99% True False 654,718
100 956.25 662.00 294.25 30.9% 22.75 2.4% 99% True False 523,841
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 3.80
Widest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,027.50
2.618 1,000.00
1.618 983.25
1.000 973.00
0.618 966.50
HIGH 956.25
0.618 949.75
0.500 948.00
0.382 946.00
LOW 939.50
0.618 929.25
1.000 922.75
1.618 912.50
2.618 895.75
4.250 868.25
Fisher Pivots for day following 21-Jul-2009
Pivot 1 day 3 day
R1 951.50 949.75
PP 949.75 946.00
S1 948.00 942.00

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

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