E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 05-Oct-2009
Day Change Summary
Previous Current
02-Oct-2009 05-Oct-2009 Change Change % Previous Week
Open 1,027.00 1,021.75 -5.25 -0.5% 1,042.25
High 1,027.75 1,038.50 10.75 1.0% 1,065.75
Low 1,012.00 1,019.50 7.50 0.7% 1,012.00
Close 1,021.75 1,036.50 14.75 1.4% 1,021.75
Range 15.75 19.00 3.25 20.6% 53.75
ATR 17.85 17.94 0.08 0.5% 0.00
Volume 2,761,051 2,564,606 -196,445 -7.1% 10,661,630
Daily Pivots for day following 05-Oct-2009
Classic Woodie Camarilla DeMark
R4 1,088.50 1,081.50 1,047.00
R3 1,069.50 1,062.50 1,041.75
R2 1,050.50 1,050.50 1,040.00
R1 1,043.50 1,043.50 1,038.25 1,047.00
PP 1,031.50 1,031.50 1,031.50 1,033.25
S1 1,024.50 1,024.50 1,034.75 1,028.00
S2 1,012.50 1,012.50 1,033.00
S3 993.50 1,005.50 1,031.25
S4 974.50 986.50 1,026.00
Weekly Pivots for week ending 02-Oct-2009
Classic Woodie Camarilla DeMark
R4 1,194.50 1,161.75 1,051.25
R3 1,140.75 1,108.00 1,036.50
R2 1,087.00 1,087.00 1,031.50
R1 1,054.25 1,054.25 1,026.75 1,043.75
PP 1,033.25 1,033.25 1,033.25 1,028.00
S1 1,000.50 1,000.50 1,016.75 990.00
S2 979.50 979.50 1,012.00
S3 925.75 946.75 1,007.00
S4 872.00 893.00 992.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,065.75 1,012.00 53.75 5.2% 20.00 1.9% 46% False False 2,268,214
10 1,075.75 1,012.00 63.75 6.2% 19.25 1.9% 38% False False 2,078,401
20 1,075.75 1,008.25 67.50 6.5% 17.00 1.6% 42% False False 1,798,100
40 1,075.75 971.25 104.50 10.1% 17.75 1.7% 62% False False 904,367
60 1,075.75 861.50 214.25 20.7% 17.50 1.7% 82% False False 603,533
80 1,075.75 861.25 214.50 20.7% 17.25 1.7% 82% False False 453,007
100 1,075.75 861.25 214.50 20.7% 17.50 1.7% 82% False False 362,425
120 1,075.75 816.50 259.25 25.0% 17.50 1.7% 85% False False 302,023
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
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 4.65
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,119.25
2.618 1,088.25
1.618 1,069.25
1.000 1,057.50
0.618 1,050.25
HIGH 1,038.50
0.618 1,031.25
0.500 1,029.00
0.382 1,026.75
LOW 1,019.50
0.618 1,007.75
1.000 1,000.50
1.618 988.75
2.618 969.75
4.250 938.75
Fisher Pivots for day following 05-Oct-2009
Pivot 1 day 3 day
R1 1,034.00 1,035.75
PP 1,031.50 1,034.75
S1 1,029.00 1,034.00

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

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