E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 29-Jul-2009
Day Change Summary
Previous Current
28-Jul-2009 29-Jul-2009 Change Change % Previous Week
Open 978.50 975.25 -3.25 -0.3% 937.00
High 981.50 976.00 -5.50 -0.6% 979.00
Low 966.00 964.00 -2.00 -0.2% 933.75
Close 976.00 975.00 -1.00 -0.1% 977.75
Range 15.50 12.00 -3.50 -22.6% 45.25
ATR 18.15 17.71 -0.44 -2.4% 0.00
Volume 1,521,546 1,932,201 410,655 27.0% 9,342,150
Daily Pivots for day following 29-Jul-2009
Classic Woodie Camarilla DeMark
R4 1,007.75 1,003.25 981.50
R3 995.75 991.25 978.25
R2 983.75 983.75 977.25
R1 979.25 979.25 976.00 975.50
PP 971.75 971.75 971.75 969.75
S1 967.25 967.25 974.00 963.50
S2 959.75 959.75 972.75
S3 947.75 955.25 971.75
S4 935.75 943.25 968.50
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
5 984.00 948.75 35.25 3.6% 17.25 1.8% 74% False False 1,896,996
10 984.00 921.00 63.00 6.5% 16.25 1.7% 86% False False 1,885,782
20 984.00 865.25 118.75 12.2% 17.50 1.8% 92% False False 1,907,005
40 984.00 865.25 118.75 12.2% 18.00 1.8% 92% False False 1,587,150
60 984.00 865.25 118.75 12.2% 19.50 2.0% 92% False False 1,061,183
80 984.00 799.25 184.75 18.9% 20.50 2.1% 95% False False 796,810
100 984.00 665.50 318.50 32.7% 22.00 2.3% 97% False False 637,612
120 984.00 662.00 322.00 33.0% 22.50 2.3% 97% False False 531,352
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
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 3.95
Narrowest range in 8 trading days
Fibonacci Retracements and Extensions
4.250 1,027.00
2.618 1,007.50
1.618 995.50
1.000 988.00
0.618 983.50
HIGH 976.00
0.618 971.50
0.500 970.00
0.382 968.50
LOW 964.00
0.618 956.50
1.000 952.00
1.618 944.50
2.618 932.50
4.250 913.00
Fisher Pivots for day following 29-Jul-2009
Pivot 1 day 3 day
R1 973.25 974.75
PP 971.75 974.25
S1 970.00 974.00

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

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