E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 30-Jul-2009
Day Change Summary
Previous Current
29-Jul-2009 30-Jul-2009 Change Change % Previous Week
Open 975.25 974.00 -1.25 -0.1% 937.00
High 976.00 994.00 18.00 1.8% 979.00
Low 964.00 973.50 9.50 1.0% 933.75
Close 975.00 982.25 7.25 0.7% 977.75
Range 12.00 20.50 8.50 70.8% 45.25
ATR 17.71 17.91 0.20 1.1% 0.00
Volume 1,932,201 1,869,236 -62,965 -3.3% 9,342,150
Daily Pivots for day following 30-Jul-2009
Classic Woodie Camarilla DeMark
R4 1,044.75 1,034.00 993.50
R3 1,024.25 1,013.50 988.00
R2 1,003.75 1,003.75 986.00
R1 993.00 993.00 984.25 998.50
PP 983.25 983.25 983.25 986.00
S1 972.50 972.50 980.25 978.00
S2 962.75 962.75 978.50
S3 942.25 952.00 976.50
S4 921.75 931.50 971.00
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
5 994.00 962.50 31.50 3.2% 16.00 1.6% 63% True False 1,861,037
10 994.00 928.00 66.00 6.7% 16.25 1.7% 82% True False 1,853,873
20 994.00 865.25 128.75 13.1% 17.75 1.8% 91% True False 1,897,323
40 994.00 865.25 128.75 13.1% 18.00 1.8% 91% True False 1,633,088
60 994.00 865.25 128.75 13.1% 19.75 2.0% 91% True False 1,092,285
80 994.00 799.25 194.75 19.8% 20.25 2.1% 94% True False 820,156
100 994.00 665.50 328.50 33.4% 22.00 2.2% 96% True False 656,304
120 994.00 662.00 332.00 33.8% 22.50 2.3% 96% True False 546,929
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.53
Widest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1,081.00
2.618 1,047.75
1.618 1,027.25
1.000 1,014.50
0.618 1,006.75
HIGH 994.00
0.618 986.25
0.500 983.75
0.382 981.25
LOW 973.50
0.618 960.75
1.000 953.00
1.618 940.25
2.618 919.75
4.250 886.50
Fisher Pivots for day following 30-Jul-2009
Pivot 1 day 3 day
R1 983.75 981.25
PP 983.25 980.00
S1 982.75 979.00

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

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