E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 26-Aug-2009
Day Change Summary
Previous Current
25-Aug-2009 26-Aug-2009 Change Change % Previous Week
Open 1,024.25 1,025.75 1.50 0.1% 1,004.25
High 1,038.00 1,032.00 -6.00 -0.6% 1,027.00
Low 1,018.25 1,020.25 2.00 0.2% 975.50
Close 1,026.00 1,026.75 0.75 0.1% 1,025.25
Range 19.75 11.75 -8.00 -40.5% 51.50
ATR 19.16 18.63 -0.53 -2.8% 0.00
Volume 1,725,611 2,067,951 342,340 19.8% 9,558,712
Daily Pivots for day following 26-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,061.50 1,056.00 1,033.25
R3 1,049.75 1,044.25 1,030.00
R2 1,038.00 1,038.00 1,029.00
R1 1,032.50 1,032.50 1,027.75 1,035.25
PP 1,026.25 1,026.25 1,026.25 1,027.75
S1 1,020.75 1,020.75 1,025.75 1,023.50
S2 1,014.50 1,014.50 1,024.50
S3 1,002.75 1,009.00 1,023.50
S4 991.00 997.25 1,020.25
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 1,038.00 994.25 43.75 4.3% 17.75 1.7% 74% False False 1,898,735
10 1,038.00 975.50 62.50 6.1% 19.50 1.9% 82% False False 1,915,405
20 1,038.00 973.50 64.50 6.3% 18.75 1.8% 83% False False 1,865,607
40 1,038.00 865.25 172.75 16.8% 18.00 1.8% 93% False False 1,886,306
60 1,038.00 865.25 172.75 16.8% 18.25 1.8% 93% False False 1,679,969
80 1,038.00 865.25 172.75 16.8% 19.25 1.9% 93% False False 1,262,289
100 1,038.00 799.25 238.75 23.3% 20.00 2.0% 95% False False 1,010,570
120 1,038.00 665.50 372.50 36.3% 21.50 2.1% 97% False False 842,278
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 4.40
Narrowest range in 12 trading days
Fibonacci Retracements and Extensions
4.250 1,082.00
2.618 1,062.75
1.618 1,051.00
1.000 1,043.75
0.618 1,039.25
HIGH 1,032.00
0.618 1,027.50
0.500 1,026.00
0.382 1,024.75
LOW 1,020.25
0.618 1,013.00
1.000 1,008.50
1.618 1,001.25
2.618 989.50
4.250 970.25
Fisher Pivots for day following 26-Aug-2009
Pivot 1 day 3 day
R1 1,026.50 1,028.00
PP 1,026.25 1,027.75
S1 1,026.00 1,027.25

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

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