E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 10-Aug-2009
Day Change Summary
Previous Current
07-Aug-2009 10-Aug-2009 Change Change % Previous Week
Open 994.75 1,005.75 11.00 1.1% 982.75
High 1,016.00 1,007.75 -8.25 -0.8% 1,016.00
Low 990.00 998.25 8.25 0.8% 982.00
Close 1,006.50 1,007.50 1.00 0.1% 1,006.50
Range 26.00 9.50 -16.50 -63.5% 34.00
ATR 17.84 17.25 -0.60 -3.3% 0.00
Volume 1,731,836 1,979,123 247,287 14.3% 9,305,830
Daily Pivots for day following 10-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,033.00 1,029.75 1,012.75
R3 1,023.50 1,020.25 1,010.00
R2 1,014.00 1,014.00 1,009.25
R1 1,010.75 1,010.75 1,008.25 1,012.50
PP 1,004.50 1,004.50 1,004.50 1,005.25
S1 1,001.25 1,001.25 1,006.75 1,003.00
S2 995.00 995.00 1,005.75
S3 985.50 991.75 1,005.00
S4 976.00 982.25 1,002.25
Weekly Pivots for week ending 07-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,103.50 1,089.00 1,025.25
R3 1,069.50 1,055.00 1,015.75
R2 1,035.50 1,035.50 1,012.75
R1 1,021.00 1,021.00 1,009.50 1,028.25
PP 1,001.50 1,001.50 1,001.50 1,005.00
S1 987.00 987.00 1,003.50 994.25
S2 967.50 967.50 1,000.25
S3 933.50 953.00 997.25
S4 899.50 919.00 987.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,016.00 989.75 26.25 2.6% 16.25 1.6% 68% False False 1,840,412
10 1,016.00 964.00 52.00 5.2% 16.00 1.6% 84% False False 1,881,019
20 1,016.00 892.50 123.50 12.3% 16.50 1.6% 93% False False 1,913,897
40 1,016.00 865.25 150.75 15.0% 17.50 1.7% 94% False False 1,903,462
60 1,016.00 865.25 150.75 15.0% 18.75 1.9% 94% False False 1,316,321
80 1,016.00 819.75 196.25 19.5% 19.75 2.0% 96% False False 988,617
100 1,016.00 758.25 257.75 25.6% 21.00 2.1% 97% False False 791,167
120 1,016.00 662.00 354.00 35.1% 22.25 2.2% 98% False False 659,321
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.00
Narrowest range in 132 trading days
Fibonacci Retracements and Extensions
4.250 1,048.00
2.618 1,032.50
1.618 1,023.00
1.000 1,017.25
0.618 1,013.50
HIGH 1,007.75
0.618 1,004.00
0.500 1,003.00
0.382 1,002.00
LOW 998.25
0.618 992.50
1.000 988.75
1.618 983.00
2.618 973.50
4.250 958.00
Fisher Pivots for day following 10-Aug-2009
Pivot 1 day 3 day
R1 1,006.00 1,006.00
PP 1,004.50 1,004.50
S1 1,003.00 1,003.00

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

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