E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 23-Sep-2009
Day Change Summary
Previous Current
22-Sep-2009 23-Sep-2009 Change Change % Previous Week
Open 1,060.00 1,067.25 7.25 0.7% 1,036.00
High 1,069.25 1,075.75 6.50 0.6% 1,071.50
Low 1,059.50 1,055.25 -4.25 -0.4% 1,025.50
Close 1,067.25 1,059.00 -8.25 -0.8% 1,061.00
Range 9.75 20.50 10.75 110.3% 46.00
ATR 15.68 16.02 0.34 2.2% 0.00
Volume 1,698,615 1,414,027 -284,588 -16.8% 11,275,951
Daily Pivots for day following 23-Sep-2009
Classic Woodie Camarilla DeMark
R4 1,124.75 1,112.50 1,070.25
R3 1,104.25 1,092.00 1,064.75
R2 1,083.75 1,083.75 1,062.75
R1 1,071.50 1,071.50 1,061.00 1,067.50
PP 1,063.25 1,063.25 1,063.25 1,061.25
S1 1,051.00 1,051.00 1,057.00 1,047.00
S2 1,042.75 1,042.75 1,055.25
S3 1,022.25 1,030.50 1,053.25
S4 1,001.75 1,010.00 1,047.75
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 1,075.75 1,051.50 24.25 2.3% 13.75 1.3% 31% True False 1,989,646
10 1,075.75 1,023.00 52.75 5.0% 14.75 1.4% 68% True False 1,812,997
20 1,075.75 986.50 89.25 8.4% 15.50 1.5% 81% True False 922,746
40 1,075.75 960.00 115.75 10.9% 17.00 1.6% 86% True False 462,948
60 1,075.75 861.25 214.50 20.3% 17.00 1.6% 92% True False 309,253
80 1,075.75 861.25 214.50 20.3% 16.75 1.6% 92% True False 232,133
100 1,075.75 861.25 214.50 20.3% 17.50 1.6% 92% True False 185,713
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 4.83
Widest range in 15 trading days
Fibonacci Retracements and Extensions
4.250 1,163.00
2.618 1,129.50
1.618 1,109.00
1.000 1,096.25
0.618 1,088.50
HIGH 1,075.75
0.618 1,068.00
0.500 1,065.50
0.382 1,063.00
LOW 1,055.25
0.618 1,042.50
1.000 1,034.75
1.618 1,022.00
2.618 1,001.50
4.250 968.00
Fisher Pivots for day following 23-Sep-2009
Pivot 1 day 3 day
R1 1,065.50 1,063.50
PP 1,063.25 1,062.00
S1 1,061.25 1,060.50

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

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