E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 01-Dec-2009
Day Change Summary
Previous Current
30-Nov-2009 01-Dec-2009 Change Change % Previous Week
Open 1,091.50 1,092.75 1.25 0.1% 1,089.75
High 1,098.00 1,111.75 13.75 1.3% 1,111.50
Low 1,084.50 1,092.25 7.75 0.7% 1,067.00
Close 1,094.75 1,108.50 13.75 1.3% 1,089.50
Range 13.50 19.50 6.00 44.4% 44.50
ATR 18.32 18.41 0.08 0.5% 0.00
Volume 1,704,981 2,016,591 311,610 18.3% 5,659,304
Daily Pivots for day following 01-Dec-2009
Classic Woodie Camarilla DeMark
R4 1,162.75 1,155.00 1,119.25
R3 1,143.25 1,135.50 1,113.75
R2 1,123.75 1,123.75 1,112.00
R1 1,116.00 1,116.00 1,110.25 1,120.00
PP 1,104.25 1,104.25 1,104.25 1,106.00
S1 1,096.50 1,096.50 1,106.75 1,100.50
S2 1,084.75 1,084.75 1,105.00
S3 1,065.25 1,077.00 1,103.25
S4 1,045.75 1,057.50 1,097.75
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 1,111.75 1,067.00 44.75 4.0% 18.50 1.7% 93% True False 1,585,813
10 1,111.75 1,067.00 44.75 4.0% 16.75 1.5% 93% True False 1,641,712
20 1,112.25 1,026.50 85.75 7.7% 17.25 1.6% 96% False False 1,842,581
40 1,112.25 1,026.00 86.25 7.8% 18.25 1.6% 96% False False 1,945,158
60 1,112.25 1,008.25 104.00 9.4% 17.75 1.6% 96% False False 1,896,139
80 1,112.25 971.25 141.00 12.7% 18.00 1.6% 97% False False 1,424,762
100 1,112.25 861.50 250.75 22.6% 17.75 1.6% 99% False False 1,140,183
120 1,112.25 861.25 251.00 22.6% 17.50 1.6% 99% False False 950,390
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 2.13
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,194.50
2.618 1,162.75
1.618 1,143.25
1.000 1,131.25
0.618 1,123.75
HIGH 1,111.75
0.618 1,104.25
0.500 1,102.00
0.382 1,099.75
LOW 1,092.25
0.618 1,080.25
1.000 1,072.75
1.618 1,060.75
2.618 1,041.25
4.250 1,009.50
Fisher Pivots for day following 01-Dec-2009
Pivot 1 day 3 day
R1 1,106.25 1,102.00
PP 1,104.25 1,095.75
S1 1,102.00 1,089.50

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

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