E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 03-Aug-2009
Day Change Summary
Previous Current
31-Jul-2009 03-Aug-2009 Change Change % Previous Week
Open 982.25 982.75 0.50 0.1% 977.00
High 990.50 1,001.25 10.75 1.1% 994.00
Low 978.25 982.00 3.75 0.4% 964.00
Close 984.50 1,000.75 16.25 1.7% 984.50
Range 12.25 19.25 7.00 57.1% 30.00
ATR 17.51 17.63 0.12 0.7% 0.00
Volume 2,202,255 2,082,892 -119,363 -5.4% 9,207,471
Daily Pivots for day following 03-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,052.50 1,045.75 1,011.25
R3 1,033.25 1,026.50 1,006.00
R2 1,014.00 1,014.00 1,004.25
R1 1,007.25 1,007.25 1,002.50 1,010.50
PP 994.75 994.75 994.75 996.25
S1 988.00 988.00 999.00 991.50
S2 975.50 975.50 997.25
S3 956.25 968.75 995.50
S4 937.00 949.50 990.25
Weekly Pivots for week ending 31-Jul-2009
Classic Woodie Camarilla DeMark
R4 1,070.75 1,057.75 1,001.00
R3 1,040.75 1,027.75 992.75
R2 1,010.75 1,010.75 990.00
R1 997.75 997.75 987.25 1,004.25
PP 980.75 980.75 980.75 984.00
S1 967.75 967.75 981.75 974.25
S2 950.75 950.75 979.00
S3 920.75 937.75 976.25
S4 890.75 907.75 968.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,001.25 964.00 37.25 3.7% 16.00 1.6% 99% True False 1,921,626
10 1,001.25 939.50 61.75 6.2% 17.00 1.7% 99% True False 1,910,661
20 1,001.25 865.25 136.00 13.6% 17.25 1.7% 100% True False 1,942,330
40 1,001.25 865.25 136.00 13.6% 17.75 1.8% 100% True False 1,738,085
60 1,001.25 865.25 136.00 13.6% 19.25 1.9% 100% True False 1,163,415
80 1,001.25 818.50 182.75 18.3% 20.25 2.0% 100% True False 873,681
100 1,001.25 711.00 290.25 29.0% 21.75 2.2% 100% True False 699,155
120 1,001.25 662.00 339.25 33.9% 22.25 2.2% 100% True False 582,638
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 3.33
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,083.00
2.618 1,051.75
1.618 1,032.50
1.000 1,020.50
0.618 1,013.25
HIGH 1,001.25
0.618 994.00
0.500 991.50
0.382 989.25
LOW 982.00
0.618 970.00
1.000 962.75
1.618 950.75
2.618 931.50
4.250 900.25
Fisher Pivots for day following 03-Aug-2009
Pivot 1 day 3 day
R1 997.75 996.25
PP 994.75 991.75
S1 991.50 987.50

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

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