E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 27-Aug-2009
Day Change Summary
Previous Current
26-Aug-2009 27-Aug-2009 Change Change % Previous Week
Open 1,025.75 1,026.25 0.50 0.0% 1,004.25
High 1,032.00 1,032.75 0.75 0.1% 1,027.00
Low 1,020.25 1,014.75 -5.50 -0.5% 975.50
Close 1,026.75 1,029.25 2.50 0.2% 1,025.25
Range 11.75 18.00 6.25 53.2% 51.50
ATR 18.63 18.58 -0.04 -0.2% 0.00
Volume 2,067,951 1,886,346 -181,605 -8.8% 9,558,712
Daily Pivots for day following 27-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,079.50 1,072.50 1,039.25
R3 1,061.50 1,054.50 1,034.25
R2 1,043.50 1,043.50 1,032.50
R1 1,036.50 1,036.50 1,031.00 1,040.00
PP 1,025.50 1,025.50 1,025.50 1,027.50
S1 1,018.50 1,018.50 1,027.50 1,022.00
S2 1,007.50 1,007.50 1,026.00
S3 989.50 1,000.50 1,024.25
S4 971.50 982.50 1,019.25
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 1,038.00 996.50 41.50 4.0% 18.75 1.8% 79% False False 1,850,503
10 1,038.00 975.50 62.50 6.1% 19.50 1.9% 86% False False 1,899,952
20 1,038.00 975.50 62.50 6.1% 18.50 1.8% 86% False False 1,866,462
40 1,038.00 865.25 172.75 16.8% 18.25 1.8% 95% False False 1,881,892
60 1,038.00 865.25 172.75 16.8% 18.25 1.8% 95% False False 1,710,879
80 1,038.00 865.25 172.75 16.8% 19.50 1.9% 95% False False 1,285,829
100 1,038.00 799.25 238.75 23.2% 20.00 1.9% 96% False False 1,029,417
120 1,038.00 665.50 372.50 36.2% 21.50 2.1% 98% False False 857,997
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 False
Bear Hook False
Bull Hook False
Stretch 4.63
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,109.25
2.618 1,079.75
1.618 1,061.75
1.000 1,050.75
0.618 1,043.75
HIGH 1,032.75
0.618 1,025.75
0.500 1,023.75
0.382 1,021.75
LOW 1,014.75
0.618 1,003.75
1.000 996.75
1.618 985.75
2.618 967.75
4.250 938.25
Fisher Pivots for day following 27-Aug-2009
Pivot 1 day 3 day
R1 1,027.50 1,028.25
PP 1,025.50 1,027.25
S1 1,023.75 1,026.50

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

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