E-mini S&P 500 Future March 2010


Trading Metrics calculated at close of trading on 29-Dec-2009
Day Change Summary
Previous Current
28-Dec-2009 29-Dec-2009 Change Change % Previous Week
Open 1,120.50 1,122.75 2.25 0.2% 1,098.75
High 1,126.25 1,128.50 2.25 0.2% 1,122.50
Low 1,117.50 1,120.50 3.00 0.3% 1,096.50
Close 1,123.00 1,121.75 -1.25 -0.1% 1,122.00
Range 8.75 8.00 -0.75 -8.6% 26.00
ATR 13.66 13.25 -0.40 -3.0% 0.00
Volume 248,984 474,293 225,309 90.5% 4,555,220
Daily Pivots for day following 29-Dec-2009
Classic Woodie Camarilla DeMark
R4 1,147.50 1,142.75 1,126.25
R3 1,139.50 1,134.75 1,124.00
R2 1,131.50 1,131.50 1,123.25
R1 1,126.75 1,126.75 1,122.50 1,125.00
PP 1,123.50 1,123.50 1,123.50 1,122.75
S1 1,118.75 1,118.75 1,121.00 1,117.00
S2 1,115.50 1,115.50 1,120.25
S3 1,107.50 1,110.75 1,119.50
S4 1,099.50 1,102.75 1,117.25
Weekly Pivots for week ending 25-Dec-2009
Classic Woodie Camarilla DeMark
R4 1,191.75 1,182.75 1,136.25
R3 1,165.75 1,156.75 1,129.25
R2 1,139.75 1,139.75 1,126.75
R1 1,130.75 1,130.75 1,124.50 1,135.25
PP 1,113.75 1,113.75 1,113.75 1,116.00
S1 1,104.75 1,104.75 1,119.50 1,109.25
S2 1,087.75 1,087.75 1,117.25
S3 1,061.75 1,078.75 1,114.75
S4 1,035.75 1,052.75 1,107.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,128.50 1,107.25 21.25 1.9% 8.25 0.7% 68% True False 709,147
10 1,128.50 1,088.50 40.00 3.6% 10.75 1.0% 83% True False 1,248,480
20 1,128.50 1,080.50 48.00 4.3% 13.00 1.2% 86% True False 798,912
40 1,128.50 1,021.00 107.50 9.6% 15.25 1.4% 94% True False 401,941
60 1,128.50 1,015.50 113.00 10.1% 16.25 1.4% 94% True False 268,970
80 1,128.50 991.75 136.75 12.2% 16.00 1.4% 95% True False 201,860
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 2.15
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,162.50
2.618 1,149.50
1.618 1,141.50
1.000 1,136.50
0.618 1,133.50
HIGH 1,128.50
0.618 1,125.50
0.500 1,124.50
0.382 1,123.50
LOW 1,120.50
0.618 1,115.50
1.000 1,112.50
1.618 1,107.50
2.618 1,099.50
4.250 1,086.50
Fisher Pivots for day following 29-Dec-2009
Pivot 1 day 3 day
R1 1,124.50 1,121.75
PP 1,123.50 1,121.75
S1 1,122.75 1,121.50

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

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