E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 03-Nov-2009
Day Change Summary
Previous Current
02-Nov-2009 03-Nov-2009 Change Change % Previous Week
Open 1,031.25 1,039.25 8.00 0.8% 1,076.50
High 1,049.50 1,044.00 -5.50 -0.5% 1,088.50
Low 1,026.00 1,026.50 0.50 0.0% 1,029.50
Close 1,039.00 1,041.75 2.75 0.3% 1,033.00
Range 23.50 17.50 -6.00 -25.5% 59.00
ATR 20.51 20.29 -0.21 -1.0% 0.00
Volume 3,376,612 2,783,823 -592,789 -17.6% 12,289,622
Daily Pivots for day following 03-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,090.00 1,083.25 1,051.50
R3 1,072.50 1,065.75 1,046.50
R2 1,055.00 1,055.00 1,045.00
R1 1,048.25 1,048.25 1,043.25 1,051.50
PP 1,037.50 1,037.50 1,037.50 1,039.00
S1 1,030.75 1,030.75 1,040.25 1,034.00
S2 1,020.00 1,020.00 1,038.50
S3 1,002.50 1,013.25 1,037.00
S4 985.00 995.75 1,032.00
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 1,064.00 1,026.00 38.00 3.6% 25.25 2.4% 41% False False 2,752,480
10 1,098.50 1,026.00 72.50 7.0% 23.75 2.3% 22% False False 2,504,424
20 1,099.00 1,026.00 73.00 7.0% 19.00 1.8% 22% False False 2,103,139
40 1,099.00 1,012.00 87.00 8.4% 18.25 1.7% 34% False False 1,991,355
60 1,099.00 971.25 127.75 12.3% 18.25 1.8% 55% False False 1,331,841
80 1,099.00 888.50 210.50 20.2% 17.75 1.7% 73% False False 999,354
100 1,099.00 861.25 237.75 22.8% 17.75 1.7% 76% False False 799,786
120 1,099.00 861.25 237.75 22.8% 17.75 1.7% 76% False False 666,509
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 False
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 5.10
Narrowest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1,118.50
2.618 1,089.75
1.618 1,072.25
1.000 1,061.50
0.618 1,054.75
HIGH 1,044.00
0.618 1,037.25
0.500 1,035.25
0.382 1,033.25
LOW 1,026.50
0.618 1,015.75
1.000 1,009.00
1.618 998.25
2.618 980.75
4.250 952.00
Fisher Pivots for day following 03-Nov-2009
Pivot 1 day 3 day
R1 1,039.50 1,044.50
PP 1,037.50 1,043.50
S1 1,035.25 1,042.50

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

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