E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 02-Nov-2009
Day Change Summary
Previous Current
30-Oct-2009 02-Nov-2009 Change Change % Previous Week
Open 1,061.25 1,031.25 -30.00 -2.8% 1,076.50
High 1,062.75 1,049.50 -13.25 -1.2% 1,088.50
Low 1,029.50 1,026.00 -3.50 -0.3% 1,029.50
Close 1,033.00 1,039.00 6.00 0.6% 1,033.00
Range 33.25 23.50 -9.75 -29.3% 59.00
ATR 20.28 20.51 0.23 1.1% 0.00
Volume 2,298,367 3,376,612 1,078,245 46.9% 12,289,622
Daily Pivots for day following 02-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,108.75 1,097.25 1,052.00
R3 1,085.25 1,073.75 1,045.50
R2 1,061.75 1,061.75 1,043.25
R1 1,050.25 1,050.25 1,041.25 1,056.00
PP 1,038.25 1,038.25 1,038.25 1,041.00
S1 1,026.75 1,026.75 1,036.75 1,032.50
S2 1,014.75 1,014.75 1,034.75
S3 991.25 1,003.25 1,032.50
S4 967.75 979.75 1,026.00
Weekly Pivots for week ending 30-Oct-2009
Classic Woodie Camarilla DeMark
R4 1,227.25 1,189.25 1,065.50
R3 1,168.25 1,130.25 1,049.25
R2 1,109.25 1,109.25 1,043.75
R1 1,071.25 1,071.25 1,038.50 1,060.75
PP 1,050.25 1,050.25 1,050.25 1,045.00
S1 1,012.25 1,012.25 1,027.50 1,001.75
S2 991.25 991.25 1,022.25
S3 932.25 953.25 1,016.75
S4 873.25 894.25 1,000.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,069.75 1,026.00 43.75 4.2% 24.25 2.3% 30% False True 2,663,616
10 1,099.00 1,026.00 73.00 7.0% 23.75 2.3% 18% False True 2,381,980
20 1,099.00 1,026.00 73.00 7.0% 19.00 1.8% 18% False True 2,047,736
40 1,099.00 1,008.25 90.75 8.7% 18.00 1.7% 34% False False 1,922,918
60 1,099.00 971.25 127.75 12.3% 18.25 1.7% 53% False False 1,285,490
80 1,099.00 861.50 237.50 22.9% 18.00 1.7% 75% False False 964,584
100 1,099.00 861.25 237.75 22.9% 17.75 1.7% 75% False False 771,952
120 1,099.00 861.25 237.75 22.9% 17.75 1.7% 75% False False 643,310
Crabel Price Patterns
NR True
NR4 True
NR5 False
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 5.40
Narrowest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1,149.50
2.618 1,111.00
1.618 1,087.50
1.000 1,073.00
0.618 1,064.00
HIGH 1,049.50
0.618 1,040.50
0.500 1,037.75
0.382 1,035.00
LOW 1,026.00
0.618 1,011.50
1.000 1,002.50
1.618 988.00
2.618 964.50
4.250 926.00
Fisher Pivots for day following 02-Nov-2009
Pivot 1 day 3 day
R1 1,038.50 1,045.00
PP 1,038.25 1,043.00
S1 1,037.75 1,041.00

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

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