E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 07-Oct-2009
Day Change Summary
Previous Current
06-Oct-2009 07-Oct-2009 Change Change % Previous Week
Open 1,036.75 1,048.25 11.50 1.1% 1,042.25
High 1,056.75 1,054.75 -2.00 -0.2% 1,065.75
Low 1,035.50 1,045.25 9.75 0.9% 1,012.00
Close 1,048.50 1,053.50 5.00 0.5% 1,021.75
Range 21.25 9.50 -11.75 -55.3% 53.75
ATR 18.17 17.55 -0.62 -3.4% 0.00
Volume 1,675,761 2,160,838 485,077 28.9% 10,661,630
Daily Pivots for day following 07-Oct-2009
Classic Woodie Camarilla DeMark
R4 1,079.75 1,076.00 1,058.75
R3 1,070.25 1,066.50 1,056.00
R2 1,060.75 1,060.75 1,055.25
R1 1,057.00 1,057.00 1,054.25 1,059.00
PP 1,051.25 1,051.25 1,051.25 1,052.00
S1 1,047.50 1,047.50 1,052.75 1,049.50
S2 1,041.75 1,041.75 1,051.75
S3 1,032.25 1,038.00 1,051.00
S4 1,022.75 1,028.50 1,048.25
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 1,056.75 1,012.00 44.75 4.2% 19.50 1.8% 93% False False 2,403,033
10 1,065.75 1,012.00 53.75 5.1% 19.25 1.8% 77% False False 2,150,797
20 1,075.75 1,012.00 63.75 6.1% 17.00 1.6% 65% False False 1,981,897
40 1,075.75 971.25 104.50 9.9% 17.75 1.7% 79% False False 1,000,185
60 1,075.75 899.75 176.00 16.7% 17.50 1.7% 87% False False 667,370
80 1,075.75 861.25 214.50 20.4% 17.25 1.6% 90% False False 500,957
100 1,075.75 861.25 214.50 20.4% 17.25 1.6% 90% False False 400,791
120 1,075.75 816.50 259.25 24.6% 17.50 1.7% 91% False False 333,995
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.18
Narrowest range in 24 trading days
Fibonacci Retracements and Extensions
4.250 1,095.00
2.618 1,079.50
1.618 1,070.00
1.000 1,064.25
0.618 1,060.50
HIGH 1,054.75
0.618 1,051.00
0.500 1,050.00
0.382 1,049.00
LOW 1,045.25
0.618 1,039.50
1.000 1,035.75
1.618 1,030.00
2.618 1,020.50
4.250 1,005.00
Fisher Pivots for day following 07-Oct-2009
Pivot 1 day 3 day
R1 1,052.25 1,048.50
PP 1,051.25 1,043.25
S1 1,050.00 1,038.00

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

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