E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 22-Jul-2009
Day Change Summary
Previous Current
21-Jul-2009 22-Jul-2009 Change Change % Previous Week
Open 947.75 951.75 4.00 0.4% 874.75
High 956.25 956.75 0.50 0.1% 940.75
Low 939.50 943.50 4.00 0.4% 865.50
Close 953.50 949.50 -4.00 -0.4% 937.00
Range 16.75 13.25 -3.50 -20.9% 75.25
ATR 18.46 18.09 -0.37 -2.0% 0.00
Volume 1,574,716 1,892,527 317,811 20.2% 10,269,087
Daily Pivots for day following 22-Jul-2009
Classic Woodie Camarilla DeMark
R4 989.75 982.75 956.75
R3 976.50 969.50 953.25
R2 963.25 963.25 952.00
R1 956.25 956.25 950.75 953.00
PP 950.00 950.00 950.00 948.25
S1 943.00 943.00 948.25 940.00
S2 936.75 936.75 947.00
S3 923.50 929.75 945.75
S4 910.25 916.50 942.25
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
5 956.75 921.00 35.75 3.8% 15.25 1.6% 80% True False 1,874,568
10 956.75 865.50 91.25 9.6% 16.50 1.8% 92% True False 1,954,037
20 956.75 865.25 91.50 9.6% 17.75 1.9% 92% True False 1,863,729
40 956.75 865.25 91.50 9.6% 18.75 2.0% 92% True False 1,351,938
60 956.75 835.25 121.50 12.8% 20.00 2.1% 94% True False 903,474
80 956.75 772.25 184.50 19.4% 21.25 2.2% 96% True False 678,330
100 956.75 662.00 294.75 31.0% 22.50 2.4% 98% True False 542,766
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
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 3.90
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,013.00
2.618 991.50
1.618 978.25
1.000 970.00
0.618 965.00
HIGH 956.75
0.618 951.75
0.500 950.00
0.382 948.50
LOW 943.50
0.618 935.25
1.000 930.25
1.618 922.00
2.618 908.75
4.250 887.25
Fisher Pivots for day following 22-Jul-2009
Pivot 1 day 3 day
R1 950.00 948.00
PP 950.00 946.75
S1 949.75 945.25

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

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