E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 28-Jul-2009
Day Change Summary
Previous Current
27-Jul-2009 28-Jul-2009 Change Change % Previous Week
Open 977.00 978.50 1.50 0.2% 937.00
High 984.00 981.50 -2.50 -0.3% 979.00
Low 969.00 966.00 -3.00 -0.3% 933.75
Close 980.00 976.00 -4.00 -0.4% 977.75
Range 15.00 15.50 0.50 3.3% 45.25
ATR 18.36 18.15 -0.20 -1.1% 0.00
Volume 1,682,233 1,521,546 -160,687 -9.6% 9,342,150
Daily Pivots for day following 28-Jul-2009
Classic Woodie Camarilla DeMark
R4 1,021.00 1,014.00 984.50
R3 1,005.50 998.50 980.25
R2 990.00 990.00 978.75
R1 983.00 983.00 977.50 978.75
PP 974.50 974.50 974.50 972.50
S1 967.50 967.50 974.50 963.25
S2 959.00 959.00 973.25
S3 943.50 952.00 971.75
S4 928.00 936.50 967.50
Weekly Pivots for week ending 24-Jul-2009
Classic Woodie Camarilla DeMark
R4 1,099.25 1,083.75 1,002.75
R3 1,054.00 1,038.50 990.25
R2 1,008.75 1,008.75 986.00
R1 993.25 993.25 982.00 1,001.00
PP 963.50 963.50 963.50 967.50
S1 948.00 948.00 973.50 955.75
S2 918.25 918.25 969.50
S3 873.00 902.75 965.25
S4 827.75 857.50 952.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 984.00 943.50 40.50 4.1% 17.50 1.8% 80% False False 1,889,062
10 984.00 906.50 77.50 7.9% 17.50 1.8% 90% False False 1,893,548
20 984.00 865.25 118.75 12.2% 17.75 1.8% 93% False False 1,877,730
40 984.00 865.25 118.75 12.2% 18.00 1.9% 93% False False 1,539,358
60 984.00 865.25 118.75 12.2% 19.75 2.0% 93% False False 1,029,004
80 984.00 799.25 184.75 18.9% 20.50 2.1% 96% False False 772,676
100 984.00 662.00 322.00 33.0% 22.25 2.3% 98% False False 618,291
120 984.00 662.00 322.00 33.0% 22.50 2.3% 98% False False 515,250
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 3.90
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,047.50
2.618 1,022.00
1.618 1,006.50
1.000 997.00
0.618 991.00
HIGH 981.50
0.618 975.50
0.500 973.75
0.382 972.00
LOW 966.00
0.618 956.50
1.000 950.50
1.618 941.00
2.618 925.50
4.250 900.00
Fisher Pivots for day following 28-Jul-2009
Pivot 1 day 3 day
R1 975.25 975.00
PP 974.50 974.25
S1 973.75 973.25

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

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