E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 30-Nov-2009
Day Change Summary
Previous Current
27-Nov-2009 30-Nov-2009 Change Change % Previous Week
Open 1,104.00 1,091.50 -12.50 -1.1% 1,089.75
High 1,105.00 1,098.00 -7.00 -0.6% 1,111.50
Low 1,067.00 1,084.50 17.50 1.6% 1,067.00
Close 1,089.50 1,094.75 5.25 0.5% 1,089.50
Range 38.00 13.50 -24.50 -64.5% 44.50
ATR 18.69 18.32 -0.37 -2.0% 0.00
Volume 1,078,340 1,704,981 626,641 58.1% 5,659,304
Daily Pivots for day following 30-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,133.00 1,127.25 1,102.25
R3 1,119.50 1,113.75 1,098.50
R2 1,106.00 1,106.00 1,097.25
R1 1,100.25 1,100.25 1,096.00 1,103.00
PP 1,092.50 1,092.50 1,092.50 1,093.75
S1 1,086.75 1,086.75 1,093.50 1,089.50
S2 1,079.00 1,079.00 1,092.25
S3 1,065.50 1,073.25 1,091.00
S4 1,052.00 1,059.75 1,087.25
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% 19.00 1.7% 62% False False 1,472,857
10 1,112.25 1,067.00 45.25 4.1% 17.00 1.6% 61% False False 1,587,878
20 1,112.25 1,026.00 86.25 7.9% 17.50 1.6% 80% False False 1,910,582
40 1,112.25 1,019.50 92.75 8.5% 18.25 1.7% 81% False False 1,958,859
60 1,112.25 995.50 116.75 10.7% 17.75 1.6% 85% False False 1,862,906
80 1,112.25 971.25 141.00 12.9% 18.00 1.6% 88% False False 1,399,576
100 1,112.25 861.50 250.75 22.9% 17.75 1.6% 93% False False 1,120,050
120 1,112.25 861.25 251.00 22.9% 17.50 1.6% 93% False False 933,589
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 2.18
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,155.50
2.618 1,133.25
1.618 1,119.75
1.000 1,111.50
0.618 1,106.25
HIGH 1,098.00
0.618 1,092.75
0.500 1,091.25
0.382 1,089.75
LOW 1,084.50
0.618 1,076.25
1.000 1,071.00
1.618 1,062.75
2.618 1,049.25
4.250 1,027.00
Fisher Pivots for day following 30-Nov-2009
Pivot 1 day 3 day
R1 1,093.50 1,093.00
PP 1,092.50 1,091.00
S1 1,091.25 1,089.00

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

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