E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 29-Sep-2009
Day Change Summary
Previous Current
28-Sep-2009 29-Sep-2009 Change Change % Previous Week
Open 1,042.25 1,059.25 17.00 1.6% 1,059.25
High 1,061.00 1,065.75 4.75 0.4% 1,075.75
Low 1,035.75 1,053.25 17.50 1.7% 1,036.25
Close 1,059.00 1,054.75 -4.25 -0.4% 1,041.00
Range 25.25 12.50 -12.75 -50.5% 39.50
ATR 16.93 16.61 -0.32 -1.9% 0.00
Volume 1,885,166 1,516,970 -368,196 -19.5% 9,430,458
Daily Pivots for day following 29-Sep-2009
Classic Woodie Camarilla DeMark
R4 1,095.50 1,087.50 1,061.50
R3 1,083.00 1,075.00 1,058.25
R2 1,070.50 1,070.50 1,057.00
R1 1,062.50 1,062.50 1,056.00 1,060.25
PP 1,058.00 1,058.00 1,058.00 1,056.75
S1 1,050.00 1,050.00 1,053.50 1,047.75
S2 1,045.50 1,045.50 1,052.50
S3 1,033.00 1,037.50 1,051.25
S4 1,020.50 1,025.00 1,048.00
Weekly Pivots for week ending 25-Sep-2009
Classic Woodie Camarilla DeMark
R4 1,169.50 1,144.75 1,062.75
R3 1,130.00 1,105.25 1,051.75
R2 1,090.50 1,090.50 1,048.25
R1 1,065.75 1,065.75 1,044.50 1,058.50
PP 1,051.00 1,051.00 1,051.00 1,047.25
S1 1,026.25 1,026.25 1,037.50 1,019.00
S2 1,011.50 1,011.50 1,033.75
S3 972.00 986.75 1,030.25
S4 932.50 947.25 1,019.25
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 1,035.75 40.00 3.8% 19.00 1.8% 48% False False 1,852,260
10 1,075.75 1,035.75 40.00 3.8% 16.25 1.5% 48% False False 2,040,085
20 1,075.75 986.50 89.25 8.5% 16.25 1.5% 76% False False 1,312,801
40 1,075.75 971.25 104.50 9.9% 17.25 1.6% 80% False False 658,957
60 1,075.75 861.25 214.50 20.3% 17.25 1.6% 90% False False 439,941
80 1,075.75 861.25 214.50 20.3% 17.00 1.6% 90% False False 330,214
100 1,075.75 861.25 214.50 20.3% 17.25 1.6% 90% False False 264,185
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.90
Narrowest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1,119.00
2.618 1,098.50
1.618 1,086.00
1.000 1,078.25
0.618 1,073.50
HIGH 1,065.75
0.618 1,061.00
0.500 1,059.50
0.382 1,058.00
LOW 1,053.25
0.618 1,045.50
1.000 1,040.75
1.618 1,033.00
2.618 1,020.50
4.250 1,000.00
Fisher Pivots for day following 29-Sep-2009
Pivot 1 day 3 day
R1 1,059.50 1,053.50
PP 1,058.00 1,052.00
S1 1,056.25 1,050.75

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

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