E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 04-Nov-2009
Day Change Summary
Previous Current
03-Nov-2009 04-Nov-2009 Change Change % Previous Week
Open 1,039.25 1,041.75 2.50 0.2% 1,076.50
High 1,044.00 1,058.50 14.50 1.4% 1,088.50
Low 1,026.50 1,040.75 14.25 1.4% 1,029.50
Close 1,041.75 1,047.00 5.25 0.5% 1,033.00
Range 17.50 17.75 0.25 1.4% 59.00
ATR 20.29 20.11 -0.18 -0.9% 0.00
Volume 2,783,823 2,315,679 -468,144 -16.8% 12,289,622
Daily Pivots for day following 04-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,102.00 1,092.25 1,056.75
R3 1,084.25 1,074.50 1,052.00
R2 1,066.50 1,066.50 1,050.25
R1 1,056.75 1,056.75 1,048.75 1,061.50
PP 1,048.75 1,048.75 1,048.75 1,051.25
S1 1,039.00 1,039.00 1,045.25 1,044.00
S2 1,031.00 1,031.00 1,043.75
S3 1,013.25 1,021.25 1,042.00
S4 995.50 1,003.50 1,037.25
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% 23.75 2.3% 55% False False 2,723,510
10 1,095.25 1,026.00 69.25 6.6% 23.00 2.2% 30% False False 2,536,825
20 1,099.00 1,026.00 73.00 7.0% 19.25 1.8% 29% False False 2,110,881
40 1,099.00 1,012.00 87.00 8.3% 18.25 1.7% 40% False False 2,046,389
60 1,099.00 971.25 127.75 12.2% 18.25 1.7% 59% False False 1,370,417
80 1,099.00 899.75 199.25 19.0% 18.00 1.7% 74% False False 1,028,247
100 1,099.00 861.25 237.75 22.7% 17.75 1.7% 78% False False 822,942
120 1,099.00 861.25 237.75 22.7% 17.50 1.7% 78% False False 685,806
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
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 4.25
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,134.00
2.618 1,105.00
1.618 1,087.25
1.000 1,076.25
0.618 1,069.50
HIGH 1,058.50
0.618 1,051.75
0.500 1,049.50
0.382 1,047.50
LOW 1,040.75
0.618 1,029.75
1.000 1,023.00
1.618 1,012.00
2.618 994.25
4.250 965.25
Fisher Pivots for day following 04-Nov-2009
Pivot 1 day 3 day
R1 1,049.50 1,045.50
PP 1,048.75 1,043.75
S1 1,048.00 1,042.25

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

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