E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 19-Aug-2009
Day Change Summary
Previous Current
18-Aug-2009 19-Aug-2009 Change Change % Previous Week
Open 978.25 989.50 11.25 1.2% 1,005.75
High 990.00 998.75 8.75 0.9% 1,015.75
Low 976.25 976.75 0.50 0.1% 985.75
Close 989.50 997.00 7.50 0.8% 1,005.75
Range 13.75 22.00 8.25 60.0% 30.00
ATR 18.86 19.08 0.22 1.2% 0.00
Volume 2,201,445 1,753,397 -448,048 -20.4% 8,649,822
Daily Pivots for day following 19-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,056.75 1,049.00 1,009.00
R3 1,034.75 1,027.00 1,003.00
R2 1,012.75 1,012.75 1,001.00
R1 1,005.00 1,005.00 999.00 1,009.00
PP 990.75 990.75 990.75 992.75
S1 983.00 983.00 995.00 987.00
S2 968.75 968.75 993.00
S3 946.75 961.00 991.00
S4 924.75 939.00 985.00
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 4.0% 21.00 2.1% 53% False False 1,932,075
10 1,016.00 975.50 40.50 4.1% 20.50 2.1% 53% False False 1,803,550
20 1,016.00 948.75 67.25 6.7% 18.50 1.9% 72% False False 1,865,172
40 1,016.00 865.25 150.75 15.1% 18.25 1.8% 87% False False 1,864,450
60 1,016.00 865.25 150.75 15.1% 18.75 1.9% 87% False False 1,523,016
80 1,016.00 835.25 180.75 18.1% 19.50 2.0% 89% False False 1,143,899
100 1,016.00 772.25 243.75 24.4% 20.75 2.1% 92% False False 915,698
120 1,016.00 662.00 354.00 35.5% 22.00 2.2% 95% False False 763,167
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.30
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,092.25
2.618 1,056.25
1.618 1,034.25
1.000 1,020.75
0.618 1,012.25
HIGH 998.75
0.618 990.25
0.500 987.75
0.382 985.25
LOW 976.75
0.618 963.25
1.000 954.75
1.618 941.25
2.618 919.25
4.250 883.25
Fisher Pivots for day following 19-Aug-2009
Pivot 1 day 3 day
R1 994.00 994.50
PP 990.75 992.25
S1 987.75 990.00

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

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