E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 24-Aug-2009
Day Change Summary
Previous Current
21-Aug-2009 24-Aug-2009 Change Change % Previous Week
Open 1,004.50 1,025.00 20.50 2.0% 1,004.25
High 1,027.00 1,035.00 8.00 0.8% 1,027.00
Low 996.50 1,021.25 24.75 2.5% 975.50
Close 1,025.25 1,024.50 -0.75 -0.1% 1,025.25
Range 30.50 13.75 -16.75 -54.9% 51.50
ATR 19.53 19.11 -0.41 -2.1% 0.00
Volume 1,639,885 1,932,725 292,840 17.9% 9,558,712
Daily Pivots for day following 24-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,068.25 1,060.00 1,032.00
R3 1,054.50 1,046.25 1,028.25
R2 1,040.75 1,040.75 1,027.00
R1 1,032.50 1,032.50 1,025.75 1,029.75
PP 1,027.00 1,027.00 1,027.00 1,025.50
S1 1,018.75 1,018.75 1,023.25 1,016.00
S2 1,013.25 1,013.25 1,022.00
S3 999.50 1,005.00 1,020.75
S4 985.75 991.25 1,017.00
Weekly Pivots for week ending 21-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,163.75 1,146.00 1,053.50
R3 1,112.25 1,094.50 1,039.50
R2 1,060.75 1,060.75 1,034.75
R1 1,043.00 1,043.00 1,030.00 1,052.00
PP 1,009.25 1,009.25 1,009.25 1,013.75
S1 991.50 991.50 1,020.50 1,000.50
S2 957.75 957.75 1,015.75
S3 906.25 940.00 1,011.00
S4 854.75 888.50 997.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,035.00 976.25 58.75 5.7% 18.75 1.8% 82% True False 1,930,991
10 1,035.00 975.50 59.50 5.8% 21.00 2.0% 82% True False 1,816,213
20 1,035.00 964.00 71.00 6.9% 18.50 1.8% 85% True False 1,848,616
40 1,035.00 865.25 169.75 16.6% 18.25 1.8% 94% True False 1,860,384
60 1,035.00 865.25 169.75 16.6% 18.50 1.8% 94% True False 1,617,306
80 1,035.00 859.00 176.00 17.2% 19.50 1.9% 94% True False 1,214,916
100 1,035.00 799.25 235.75 23.0% 20.25 2.0% 96% True False 972,659
120 1,035.00 662.00 373.00 36.4% 21.75 2.1% 97% True False 810,666
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
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
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,093.50
2.618 1,071.00
1.618 1,057.25
1.000 1,048.75
0.618 1,043.50
HIGH 1,035.00
0.618 1,029.75
0.500 1,028.00
0.382 1,026.50
LOW 1,021.25
0.618 1,012.75
1.000 1,007.50
1.618 999.00
2.618 985.25
4.250 962.75
Fisher Pivots for day following 24-Aug-2009
Pivot 1 day 3 day
R1 1,028.00 1,021.25
PP 1,027.00 1,018.00
S1 1,025.75 1,014.50

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

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