E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 17-Aug-2009
Day Change Summary
Previous Current
14-Aug-2009 17-Aug-2009 Change Change % Previous Week
Open 1,013.00 1,004.25 -8.75 -0.9% 1,005.75
High 1,015.75 1,004.25 -11.50 -1.1% 1,015.75
Low 992.25 975.50 -16.75 -1.7% 985.75
Close 1,005.75 978.25 -27.50 -2.7% 1,005.75
Range 23.50 28.75 5.25 22.3% 30.00
ATR 18.40 19.25 0.85 4.6% 0.00
Volume 1,828,176 1,836,478 8,302 0.5% 8,649,822
Daily Pivots for day following 17-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,072.25 1,054.00 994.00
R3 1,043.50 1,025.25 986.25
R2 1,014.75 1,014.75 983.50
R1 996.50 996.50 981.00 991.25
PP 986.00 986.00 986.00 983.50
S1 967.75 967.75 975.50 962.50
S2 957.25 957.25 973.00
S3 928.50 939.00 970.25
S4 899.75 910.25 962.50
Weekly Pivots for week ending 14-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,092.50 1,079.00 1,022.25
R3 1,062.50 1,049.00 1,014.00
R2 1,032.50 1,032.50 1,011.25
R1 1,019.00 1,019.00 1,008.50 1,020.75
PP 1,002.50 1,002.50 1,002.50 1,003.25
S1 989.00 989.00 1,003.00 990.75
S2 972.50 972.50 1,000.25
S3 942.50 959.00 997.50
S4 912.50 929.00 989.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,015.75 975.50 40.25 4.1% 23.25 2.4% 7% False True 1,701,435
10 1,016.00 975.50 40.50 4.1% 19.75 2.0% 7% False True 1,770,923
20 1,016.00 939.50 76.50 7.8% 18.25 1.9% 51% False False 1,840,792
40 1,016.00 865.25 150.75 15.4% 18.25 1.9% 75% False False 1,857,271
60 1,016.00 865.25 150.75 15.4% 18.75 1.9% 75% False False 1,457,398
80 1,016.00 835.25 180.75 18.5% 19.75 2.0% 79% False False 1,094,567
100 1,016.00 772.25 243.75 24.9% 20.75 2.1% 85% False False 876,211
120 1,016.00 662.00 354.00 36.2% 22.00 2.3% 89% False False 730,210
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.85
Widest range in 25 trading days
Fibonacci Retracements and Extensions
4.250 1,126.50
2.618 1,079.50
1.618 1,050.75
1.000 1,033.00
0.618 1,022.00
HIGH 1,004.25
0.618 993.25
0.500 990.00
0.382 986.50
LOW 975.50
0.618 957.75
1.000 946.75
1.618 929.00
2.618 900.25
4.250 853.25
Fisher Pivots for day following 17-Aug-2009
Pivot 1 day 3 day
R1 990.00 995.50
PP 986.00 989.75
S1 982.00 984.00

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

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