E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 27-Nov-2009
Day Change Summary
Previous Current
25-Nov-2009 27-Nov-2009 Change Change % Previous Week
Open 1,103.25 1,104.00 0.75 0.1% 1,089.75
High 1,111.25 1,105.00 -6.25 -0.6% 1,111.50
Low 1,102.25 1,067.00 -35.25 -3.2% 1,067.00
Close 1,109.00 1,089.50 -19.50 -1.8% 1,089.50
Range 9.00 38.00 29.00 322.2% 44.50
ATR 16.90 18.69 1.79 10.6% 0.00
Volume 1,584,089 1,078,340 -505,749 -31.9% 5,659,304
Daily Pivots for day following 27-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,201.25 1,183.25 1,110.50
R3 1,163.25 1,145.25 1,100.00
R2 1,125.25 1,125.25 1,096.50
R1 1,107.25 1,107.25 1,093.00 1,097.25
PP 1,087.25 1,087.25 1,087.25 1,082.00
S1 1,069.25 1,069.25 1,086.00 1,059.25
S2 1,049.25 1,049.25 1,082.50
S3 1,011.25 1,031.25 1,079.00
S4 973.25 993.25 1,068.50
Weekly Pivots for week ending 27-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,222.75 1,200.75 1,114.00
R3 1,178.25 1,156.25 1,101.75
R2 1,133.75 1,133.75 1,097.75
R1 1,111.75 1,111.75 1,093.50 1,100.50
PP 1,089.25 1,089.25 1,089.25 1,083.75
S1 1,067.25 1,067.25 1,085.50 1,056.00
S2 1,044.75 1,044.75 1,081.25
S3 1,000.25 1,022.75 1,077.25
S4 955.75 978.25 1,065.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,111.50 1,067.00 44.50 4.1% 18.50 1.7% 51% False True 1,541,272
10 1,112.25 1,067.00 45.25 4.2% 17.00 1.6% 50% False True 1,619,399
20 1,112.25 1,026.00 86.25 7.9% 18.50 1.7% 74% False False 1,940,251
40 1,112.25 1,012.00 100.25 9.2% 18.25 1.7% 77% False False 1,985,261
60 1,112.25 987.00 125.25 11.5% 17.75 1.6% 82% False False 1,835,116
80 1,112.25 971.25 141.00 12.9% 18.00 1.7% 84% False False 1,378,286
100 1,112.25 861.50 250.75 23.0% 17.75 1.6% 91% False False 1,103,019
120 1,112.25 861.25 251.00 23.0% 17.50 1.6% 91% False False 919,383
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 False
Bear Hook False
Bull Hook False
Stretch 2.00
Widest range in 159 trading days
Fibonacci Retracements and Extensions
4.250 1,266.50
2.618 1,204.50
1.618 1,166.50
1.000 1,143.00
0.618 1,128.50
HIGH 1,105.00
0.618 1,090.50
0.500 1,086.00
0.382 1,081.50
LOW 1,067.00
0.618 1,043.50
1.000 1,029.00
1.618 1,005.50
2.618 967.50
4.250 905.50
Fisher Pivots for day following 27-Nov-2009
Pivot 1 day 3 day
R1 1,088.25 1,089.50
PP 1,087.25 1,089.25
S1 1,086.00 1,089.00

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

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