E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 06-Aug-2009
Day Change Summary
Previous Current
05-Aug-2009 06-Aug-2009 Change Change % Previous Week
Open 1,004.50 1,000.25 -4.25 -0.4% 977.00
High 1,006.50 1,007.75 1.25 0.1% 994.00
Low 991.25 989.75 -1.50 -0.2% 964.00
Close 1,000.75 995.00 -5.75 -0.6% 984.50
Range 15.25 18.00 2.75 18.0% 30.00
ATR 17.15 17.22 0.06 0.4% 0.00
Volume 1,874,293 1,862,527 -11,766 -0.6% 9,207,471
Daily Pivots for day following 06-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,051.50 1,041.25 1,005.00
R3 1,033.50 1,023.25 1,000.00
R2 1,015.50 1,015.50 998.25
R1 1,005.25 1,005.25 996.75 1,001.50
PP 997.50 997.50 997.50 995.50
S1 987.25 987.25 993.25 983.50
S2 979.50 979.50 991.75
S3 961.50 969.25 990.00
S4 943.50 951.25 985.00
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 1,007.75 978.25 29.50 3.0% 15.50 1.6% 57% True False 1,955,249
10 1,007.75 962.50 45.25 4.5% 15.75 1.6% 72% True False 1,908,143
20 1,007.75 865.50 142.25 14.3% 17.00 1.7% 91% True False 1,908,594
40 1,007.75 865.25 142.50 14.3% 17.50 1.7% 91% True False 1,867,549
60 1,007.75 865.25 142.50 14.3% 19.00 1.9% 91% True False 1,254,587
80 1,007.75 819.75 188.00 18.9% 19.75 2.0% 93% True False 942,260
100 1,007.75 745.25 262.50 26.4% 21.50 2.2% 95% True False 754,064
120 1,007.75 662.00 345.75 34.7% 22.25 2.2% 96% True False 628,397
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 False
3BNR True
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.28
Widest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,084.25
2.618 1,054.75
1.618 1,036.75
1.000 1,025.75
0.618 1,018.75
HIGH 1,007.75
0.618 1,000.75
0.500 998.75
0.382 996.75
LOW 989.75
0.618 978.75
1.000 971.75
1.618 960.75
2.618 942.75
4.250 913.25
Fisher Pivots for day following 06-Aug-2009
Pivot 1 day 3 day
R1 998.75 998.75
PP 997.50 997.50
S1 996.25 996.25

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

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