E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 23-Jul-2009
Day Change Summary
Previous Current
22-Jul-2009 23-Jul-2009 Change Change % Previous Week
Open 951.75 950.25 -1.50 -0.2% 874.75
High 956.75 976.50 19.75 2.1% 940.75
Low 943.50 948.75 5.25 0.6% 865.50
Close 949.50 969.00 19.50 2.1% 937.00
Range 13.25 27.75 14.50 109.4% 75.25
ATR 18.09 18.78 0.69 3.8% 0.00
Volume 1,892,527 2,049,033 156,506 8.3% 10,269,087
Daily Pivots for day following 23-Jul-2009
Classic Woodie Camarilla DeMark
R4 1,048.00 1,036.25 984.25
R3 1,020.25 1,008.50 976.75
R2 992.50 992.50 974.00
R1 980.75 980.75 971.50 986.50
PP 964.75 964.75 964.75 967.75
S1 953.00 953.00 966.50 959.00
S2 937.00 937.00 964.00
S3 909.25 925.25 961.25
S4 881.50 897.50 953.75
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
5 976.50 928.00 48.50 5.0% 16.75 1.7% 85% True False 1,846,709
10 976.50 865.50 111.00 11.5% 18.25 1.9% 93% True False 1,909,044
20 976.50 865.25 111.25 11.5% 18.25 1.9% 93% True False 1,874,447
40 976.50 865.25 111.25 11.5% 18.75 1.9% 93% True False 1,402,753
60 976.50 846.00 130.50 13.5% 20.00 2.1% 94% True False 937,544
80 976.50 776.00 200.50 20.7% 21.00 2.2% 96% True False 703,931
100 976.50 662.00 314.50 32.5% 22.50 2.3% 98% True False 563,256
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.03
Widest range in 8 trading days
Fibonacci Retracements and Extensions
4.250 1,094.50
2.618 1,049.25
1.618 1,021.50
1.000 1,004.25
0.618 993.75
HIGH 976.50
0.618 966.00
0.500 962.50
0.382 959.25
LOW 948.75
0.618 931.50
1.000 921.00
1.618 903.75
2.618 876.00
4.250 830.75
Fisher Pivots for day following 23-Jul-2009
Pivot 1 day 3 day
R1 967.00 965.25
PP 964.75 961.75
S1 962.50 958.00

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

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