E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 14-Oct-2009
Day Change Summary
Previous Current
13-Oct-2009 14-Oct-2009 Change Change % Previous Week
Open 1,071.00 1,072.75 1.75 0.2% 1,021.75
High 1,074.25 1,089.75 15.50 1.4% 1,068.50
Low 1,063.00 1,072.75 9.75 0.9% 1,019.50
Close 1,068.75 1,087.75 19.00 1.8% 1,068.00
Range 11.25 17.00 5.75 51.1% 49.00
ATR 15.92 16.28 0.36 2.3% 0.00
Volume 1,060,806 1,519,381 458,575 43.2% 9,967,555
Daily Pivots for day following 14-Oct-2009
Classic Woodie Camarilla DeMark
R4 1,134.50 1,128.00 1,097.00
R3 1,117.50 1,111.00 1,092.50
R2 1,100.50 1,100.50 1,090.75
R1 1,094.00 1,094.00 1,089.25 1,097.25
PP 1,083.50 1,083.50 1,083.50 1,085.00
S1 1,077.00 1,077.00 1,086.25 1,080.25
S2 1,066.50 1,066.50 1,084.75
S3 1,049.50 1,060.00 1,083.00
S4 1,032.50 1,043.00 1,078.50
Weekly Pivots for week ending 09-Oct-2009
Classic Woodie Camarilla DeMark
R4 1,199.00 1,182.50 1,095.00
R3 1,150.00 1,133.50 1,081.50
R2 1,101.00 1,101.00 1,077.00
R1 1,084.50 1,084.50 1,072.50 1,092.75
PP 1,052.00 1,052.00 1,052.00 1,056.00
S1 1,035.50 1,035.50 1,063.50 1,043.75
S2 1,003.00 1,003.00 1,059.00
S3 954.00 986.50 1,054.50
S4 905.00 937.50 1,041.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,089.75 1,053.25 36.50 3.4% 12.50 1.1% 95% True False 1,494,709
10 1,089.75 1,012.00 77.75 7.1% 16.00 1.5% 97% True False 1,948,871
20 1,089.75 1,012.00 77.75 7.1% 16.25 1.5% 97% True False 1,946,487
40 1,089.75 972.50 117.25 10.8% 16.50 1.5% 98% True False 1,186,494
60 1,089.75 939.50 150.25 13.8% 17.00 1.6% 99% True False 791,828
80 1,089.75 861.25 228.50 21.0% 17.00 1.6% 99% True False 594,321
100 1,089.75 861.25 228.50 21.0% 16.75 1.6% 99% True False 475,522
120 1,089.75 833.50 256.25 23.6% 17.25 1.6% 99% True False 396,274
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 1.88
Widest range in 6 trading days
Fibonacci Retracements and Extensions
4.250 1,162.00
2.618 1,134.25
1.618 1,117.25
1.000 1,106.75
0.618 1,100.25
HIGH 1,089.75
0.618 1,083.25
0.500 1,081.25
0.382 1,079.25
LOW 1,072.75
0.618 1,062.25
1.000 1,055.75
1.618 1,045.25
2.618 1,028.25
4.250 1,000.50
Fisher Pivots for day following 14-Oct-2009
Pivot 1 day 3 day
R1 1,085.50 1,084.00
PP 1,083.50 1,080.25
S1 1,081.25 1,076.50

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

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