E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 09-Sep-2009
Day Change Summary
Previous Current
08-Sep-2009 09-Sep-2009 Change Change % Previous Week
Open 1,013.50 1,024.50 11.00 1.1% 1,026.50
High 1,027.00 1,036.25 9.25 0.9% 1,031.00
Low 1,012.25 1,018.75 6.50 0.6% 991.00
Close 1,025.00 1,032.50 7.50 0.7% 1,014.00
Range 14.75 17.50 2.75 18.6% 40.00
ATR 17.93 17.90 -0.03 -0.2% 0.00
Volume 1,625,973 1,527,757 -98,216 -6.0% 9,742,653
Daily Pivots for day following 09-Sep-2009
Classic Woodie Camarilla DeMark
R4 1,081.75 1,074.50 1,042.00
R3 1,064.25 1,057.00 1,037.25
R2 1,046.75 1,046.75 1,035.75
R1 1,039.50 1,039.50 1,034.00 1,043.00
PP 1,029.25 1,029.25 1,029.25 1,031.00
S1 1,022.00 1,022.00 1,031.00 1,025.50
S2 1,011.75 1,011.75 1,029.25
S3 994.25 1,004.50 1,027.75
S4 976.75 987.00 1,023.00
Weekly Pivots for week ending 04-Sep-2009
Classic Woodie Camarilla DeMark
R4 1,132.00 1,113.00 1,036.00
R3 1,092.00 1,073.00 1,025.00
R2 1,052.00 1,052.00 1,021.25
R1 1,033.00 1,033.00 1,017.75 1,022.50
PP 1,012.00 1,012.00 1,012.00 1,006.75
S1 993.00 993.00 1,010.25 982.50
S2 972.00 972.00 1,006.75
S3 932.00 953.00 1,003.00
S4 892.00 913.00 992.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,036.25 991.00 45.25 4.4% 14.25 1.4% 92% True False 1,935,802
10 1,038.75 991.00 47.75 4.6% 16.75 1.6% 87% False False 1,891,921
20 1,038.75 975.50 63.25 6.1% 18.75 1.8% 90% False False 1,880,891
40 1,038.75 906.50 132.25 12.8% 18.00 1.7% 95% False False 1,875,777
60 1,038.75 865.25 173.50 16.8% 18.00 1.7% 96% False False 1,887,589
80 1,038.75 865.25 173.50 16.8% 18.75 1.8% 96% False False 1,472,198
100 1,038.75 819.75 219.00 21.2% 19.50 1.9% 97% False False 1,178,934
120 1,038.75 758.25 280.50 27.2% 20.75 2.0% 98% False False 982,697
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.65
Widest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1,110.50
2.618 1,082.00
1.618 1,064.50
1.000 1,053.75
0.618 1,047.00
HIGH 1,036.25
0.618 1,029.50
0.500 1,027.50
0.382 1,025.50
LOW 1,018.75
0.618 1,008.00
1.000 1,001.25
1.618 990.50
2.618 973.00
4.250 944.50
Fisher Pivots for day following 09-Sep-2009
Pivot 1 day 3 day
R1 1,030.75 1,027.75
PP 1,029.25 1,023.00
S1 1,027.50 1,018.00

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

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