E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 22-Sep-2009
Day Change Summary
Previous Current
21-Sep-2009 22-Sep-2009 Change Change % Previous Week
Open 1,059.25 1,060.00 0.75 0.1% 1,036.00
High 1,062.75 1,069.25 6.50 0.6% 1,071.50
Low 1,051.50 1,059.50 8.00 0.8% 1,025.50
Close 1,060.50 1,067.25 6.75 0.6% 1,061.00
Range 11.25 9.75 -1.50 -13.3% 46.00
ATR 16.14 15.68 -0.46 -2.8% 0.00
Volume 1,872,677 1,698,615 -174,062 -9.3% 11,275,951
Daily Pivots for day following 22-Sep-2009
Classic Woodie Camarilla DeMark
R4 1,094.50 1,090.75 1,072.50
R3 1,084.75 1,081.00 1,070.00
R2 1,075.00 1,075.00 1,069.00
R1 1,071.25 1,071.25 1,068.25 1,073.00
PP 1,065.25 1,065.25 1,065.25 1,066.25
S1 1,061.50 1,061.50 1,066.25 1,063.50
S2 1,055.50 1,055.50 1,065.50
S3 1,045.75 1,051.75 1,064.50
S4 1,036.00 1,042.00 1,062.00
Weekly Pivots for week ending 18-Sep-2009
Classic Woodie Camarilla DeMark
R4 1,190.75 1,171.75 1,086.25
R3 1,144.75 1,125.75 1,073.75
R2 1,098.75 1,098.75 1,069.50
R1 1,079.75 1,079.75 1,065.25 1,089.25
PP 1,052.75 1,052.75 1,052.75 1,057.50
S1 1,033.75 1,033.75 1,056.75 1,043.25
S2 1,006.75 1,006.75 1,052.50
S3 960.75 987.75 1,048.25
S4 914.75 941.75 1,035.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,071.50 1,044.50 27.00 2.5% 13.50 1.3% 84% False False 2,227,909
10 1,071.50 1,014.75 56.75 5.3% 14.50 1.4% 93% False False 1,683,028
20 1,071.50 986.50 85.00 8.0% 15.50 1.5% 95% False False 852,425
40 1,071.50 960.00 111.50 10.4% 17.00 1.6% 96% False False 427,631
60 1,071.50 861.25 210.25 19.7% 17.00 1.6% 98% False False 285,702
80 1,071.50 861.25 210.25 19.7% 16.50 1.6% 98% False False 214,458
100 1,071.50 861.25 210.25 19.7% 17.50 1.6% 98% False False 171,573
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR True
4BNR True
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.48
Narrowest range in 13 trading days
Fibonacci Retracements and Extensions
4.250 1,110.75
2.618 1,094.75
1.618 1,085.00
1.000 1,079.00
0.618 1,075.25
HIGH 1,069.25
0.618 1,065.50
0.500 1,064.50
0.382 1,063.25
LOW 1,059.50
0.618 1,053.50
1.000 1,049.75
1.618 1,043.75
2.618 1,034.00
4.250 1,018.00
Fisher Pivots for day following 22-Sep-2009
Pivot 1 day 3 day
R1 1,066.25 1,065.00
PP 1,065.25 1,062.75
S1 1,064.50 1,060.50

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

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