E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 14-Sep-2009
Day Change Summary
Previous Current
11-Sep-2009 14-Sep-2009 Change Change % Previous Week
Open 1,037.00 1,036.00 -1.00 -0.1% 1,010.25
High 1,043.75 1,045.25 1.50 0.1% 1,043.75
Low 1,033.50 1,025.50 -8.00 -0.8% 1,008.25
Close 1,037.25 1,043.50 6.25 0.6% 1,037.25
Range 10.25 19.75 9.50 92.7% 35.50
ATR 16.84 17.05 0.21 1.2% 0.00
Volume 1,510,627 1,760,936 250,309 16.6% 2,029,370
Daily Pivots for day following 14-Sep-2009
Classic Woodie Camarilla DeMark
R4 1,097.25 1,090.25 1,054.25
R3 1,077.50 1,070.50 1,049.00
R2 1,057.75 1,057.75 1,047.00
R1 1,050.75 1,050.75 1,045.25 1,054.25
PP 1,038.00 1,038.00 1,038.00 1,040.00
S1 1,031.00 1,031.00 1,041.75 1,034.50
S2 1,018.25 1,018.25 1,040.00
S3 998.50 1,011.25 1,038.00
S4 978.75 991.50 1,032.75
Weekly Pivots for week ending 11-Sep-2009
Classic Woodie Camarilla DeMark
R4 1,136.25 1,122.25 1,056.75
R3 1,100.75 1,086.75 1,047.00
R2 1,065.25 1,065.25 1,043.75
R1 1,051.25 1,051.25 1,040.50 1,058.25
PP 1,029.75 1,029.75 1,029.75 1,033.25
S1 1,015.75 1,015.75 1,034.00 1,022.75
S2 994.25 994.25 1,030.75
S3 958.75 980.25 1,027.50
S4 923.25 944.75 1,017.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,045.25 1,008.25 37.00 3.5% 15.50 1.5% 95% True False 758,061
10 1,045.25 986.50 58.75 5.6% 16.50 1.6% 97% True False 392,161
20 1,045.25 971.25 74.00 7.1% 17.50 1.7% 98% True False 199,353
40 1,045.25 929.75 115.50 11.1% 17.50 1.7% 98% True False 100,761
60 1,045.25 861.25 184.00 17.6% 17.50 1.7% 99% True False 67,800
80 1,045.25 861.25 184.00 17.6% 17.25 1.6% 99% True False 50,880
100 1,045.25 833.50 211.75 20.3% 17.50 1.7% 99% True False 40,711
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.40
Widest range in 8 trading days
Fibonacci Retracements and Extensions
4.250 1,129.25
2.618 1,097.00
1.618 1,077.25
1.000 1,065.00
0.618 1,057.50
HIGH 1,045.25
0.618 1,037.75
0.500 1,035.50
0.382 1,033.00
LOW 1,025.50
0.618 1,013.25
1.000 1,005.75
1.618 993.50
2.618 973.75
4.250 941.50
Fisher Pivots for day following 14-Sep-2009
Pivot 1 day 3 day
R1 1,040.75 1,040.50
PP 1,038.00 1,037.25
S1 1,035.50 1,034.00

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

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