E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 21-Oct-2009
Day Change Summary
Previous Current
20-Oct-2009 21-Oct-2009 Change Change % Previous Week
Open 1,089.75 1,089.00 -0.75 -0.1% 1,067.75
High 1,099.00 1,098.50 -0.50 0.0% 1,095.50
Low 1,082.00 1,072.50 -9.50 -0.9% 1,063.00
Close 1,089.50 1,078.00 -11.50 -1.1% 1,082.00
Range 17.00 26.00 9.00 52.9% 32.50
ATR 16.52 17.19 0.68 4.1% 0.00
Volume 1,559,384 1,991,669 432,285 27.7% 7,714,338
Daily Pivots for day following 21-Oct-2009
Classic Woodie Camarilla DeMark
R4 1,161.00 1,145.50 1,092.25
R3 1,135.00 1,119.50 1,085.25
R2 1,109.00 1,109.00 1,082.75
R1 1,093.50 1,093.50 1,080.50 1,088.25
PP 1,083.00 1,083.00 1,083.00 1,080.50
S1 1,067.50 1,067.50 1,075.50 1,062.25
S2 1,057.00 1,057.00 1,073.25
S3 1,031.00 1,041.50 1,070.75
S4 1,005.00 1,015.50 1,063.75
Weekly Pivots for week ending 16-Oct-2009
Classic Woodie Camarilla DeMark
R4 1,177.75 1,162.25 1,100.00
R3 1,145.25 1,129.75 1,091.00
R2 1,112.75 1,112.75 1,088.00
R1 1,097.25 1,097.25 1,085.00 1,105.00
PP 1,080.25 1,080.25 1,080.25 1,084.00
S1 1,064.75 1,064.75 1,079.00 1,072.50
S2 1,047.75 1,047.75 1,076.00
S3 1,015.25 1,032.25 1,073.00
S4 982.75 999.75 1,064.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,099.00 1,072.50 26.50 2.5% 18.75 1.7% 21% False True 1,875,165
10 1,099.00 1,053.25 45.75 4.2% 15.50 1.4% 54% False False 1,684,937
20 1,099.00 1,012.00 87.00 8.1% 17.50 1.6% 76% False False 1,917,867
40 1,099.00 986.50 112.50 10.4% 16.50 1.5% 81% False False 1,420,307
60 1,099.00 960.00 139.00 12.9% 17.25 1.6% 85% False False 947,921
80 1,099.00 861.25 237.75 22.1% 17.00 1.6% 91% False False 711,407
100 1,099.00 861.25 237.75 22.1% 17.00 1.6% 91% False False 569,280
120 1,099.00 861.25 237.75 22.1% 17.50 1.6% 91% False False 474,406
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR True
Bear Hook False
Bull Hook False
Stretch 4.13
Widest range in 14 trading days
Fibonacci Retracements and Extensions
4.250 1,209.00
2.618 1,166.50
1.618 1,140.50
1.000 1,124.50
0.618 1,114.50
HIGH 1,098.50
0.618 1,088.50
0.500 1,085.50
0.382 1,082.50
LOW 1,072.50
0.618 1,056.50
1.000 1,046.50
1.618 1,030.50
2.618 1,004.50
4.250 962.00
Fisher Pivots for day following 21-Oct-2009
Pivot 1 day 3 day
R1 1,085.50 1,085.75
PP 1,083.00 1,083.25
S1 1,080.50 1,080.50

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

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