E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 12-Aug-2009
Day Change Summary
Previous Current
11-Aug-2009 12-Aug-2009 Change Change % Previous Week
Open 1,007.00 992.50 -14.50 -1.4% 982.75
High 1,010.75 1,011.25 0.50 0.0% 1,016.00
Low 990.00 985.75 -4.25 -0.4% 982.00
Close 993.00 1,002.25 9.25 0.9% 1,006.50
Range 20.75 25.50 4.75 22.9% 34.00
ATR 17.50 18.07 0.57 3.3% 0.00
Volume 1,189,129 1,612,512 423,383 35.6% 9,305,830
Daily Pivots for day following 12-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,076.25 1,064.75 1,016.25
R3 1,050.75 1,039.25 1,009.25
R2 1,025.25 1,025.25 1,007.00
R1 1,013.75 1,013.75 1,004.50 1,019.50
PP 999.75 999.75 999.75 1,002.50
S1 988.25 988.25 1,000.00 994.00
S2 974.25 974.25 997.50
S3 948.75 962.75 995.25
S4 923.25 937.25 988.25
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 1,016.00 985.75 30.25 3.0% 20.00 2.0% 55% False True 1,675,025
10 1,016.00 973.50 42.50 4.2% 18.00 1.8% 68% False False 1,815,808
20 1,016.00 921.00 95.00 9.5% 17.25 1.7% 86% False False 1,850,795
40 1,016.00 865.25 150.75 15.0% 17.50 1.8% 91% False False 1,877,583
60 1,016.00 865.25 150.75 15.0% 18.75 1.9% 91% False False 1,362,727
80 1,016.00 819.75 196.25 19.6% 19.75 2.0% 93% False False 1,023,501
100 1,016.00 772.25 243.75 24.3% 21.00 2.1% 94% False False 819,181
120 1,016.00 662.00 354.00 35.3% 22.25 2.2% 96% False False 682,668
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 False
4BNR False
8BNR True
Bear Hook False
Bull Hook False
Stretch 3.68
Widest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,119.50
2.618 1,078.00
1.618 1,052.50
1.000 1,036.75
0.618 1,027.00
HIGH 1,011.25
0.618 1,001.50
0.500 998.50
0.382 995.50
LOW 985.75
0.618 970.00
1.000 960.25
1.618 944.50
2.618 919.00
4.250 877.50
Fisher Pivots for day following 12-Aug-2009
Pivot 1 day 3 day
R1 1,001.00 1,001.00
PP 999.75 999.75
S1 998.50 998.50

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

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