E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 05-Aug-2009
Day Change Summary
Previous Current
04-Aug-2009 05-Aug-2009 Change Change % Previous Week
Open 1,000.25 1,004.50 4.25 0.4% 977.00
High 1,005.00 1,006.50 1.50 0.1% 994.00
Low 992.00 991.25 -0.75 -0.1% 964.00
Close 1,004.75 1,000.75 -4.00 -0.4% 984.50
Range 13.00 15.25 2.25 17.3% 30.00
ATR 17.30 17.15 -0.15 -0.8% 0.00
Volume 1,754,282 1,874,293 120,011 6.8% 9,207,471
Daily Pivots for day following 05-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,045.25 1,038.25 1,009.25
R3 1,030.00 1,023.00 1,005.00
R2 1,014.75 1,014.75 1,003.50
R1 1,007.75 1,007.75 1,002.25 1,003.50
PP 999.50 999.50 999.50 997.50
S1 992.50 992.50 999.25 988.50
S2 984.25 984.25 998.00
S3 969.00 977.25 996.50
S4 953.75 962.00 992.25
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 1,006.50 973.50 33.00 3.3% 16.00 1.6% 83% True False 1,956,591
10 1,006.50 948.75 57.75 5.8% 16.75 1.7% 90% True False 1,926,794
20 1,006.50 865.50 141.00 14.1% 16.75 1.7% 96% True False 1,940,415
40 1,006.50 865.25 141.25 14.1% 17.75 1.8% 96% True False 1,825,433
60 1,006.50 865.25 141.25 14.1% 19.00 1.9% 96% True False 1,223,663
80 1,006.50 819.75 186.75 18.7% 20.00 2.0% 97% True False 918,996
100 1,006.50 745.25 261.25 26.1% 21.50 2.1% 98% True False 735,440
120 1,006.50 662.00 344.50 34.4% 22.25 2.2% 98% True False 612,876
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD True
IDnr4 False
2BNR True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 2.68
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,071.25
2.618 1,046.50
1.618 1,031.25
1.000 1,021.75
0.618 1,016.00
HIGH 1,006.50
0.618 1,000.75
0.500 999.00
0.382 997.00
LOW 991.25
0.618 981.75
1.000 976.00
1.618 966.50
2.618 951.25
4.250 926.50
Fisher Pivots for day following 05-Aug-2009
Pivot 1 day 3 day
R1 1,000.00 998.50
PP 999.50 996.50
S1 999.00 994.25

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

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