E-mini S&P 500 Future March 2010


Trading Metrics calculated at close of trading on 05-Feb-2010
Day Change Summary
Previous Current
04-Feb-2010 05-Feb-2010 Change Change % Previous Week
Open 1,096.25 1,061.75 -34.50 -3.1% 1,070.00
High 1,098.25 1,065.00 -33.25 -3.0% 1,101.50
Low 1,059.25 1,040.75 -18.50 -1.7% 1,040.75
Close 1,061.75 1,059.75 -2.00 -0.2% 1,059.75
Range 39.00 24.25 -14.75 -37.8% 60.75
ATR 19.02 19.39 0.37 2.0% 0.00
Volume 1,883,815 3,302,110 1,418,295 75.3% 12,254,413
Daily Pivots for day following 05-Feb-2010
Classic Woodie Camarilla DeMark
R4 1,128.00 1,118.00 1,073.00
R3 1,103.75 1,093.75 1,066.50
R2 1,079.50 1,079.50 1,064.25
R1 1,069.50 1,069.50 1,062.00 1,062.50
PP 1,055.25 1,055.25 1,055.25 1,051.50
S1 1,045.25 1,045.25 1,057.50 1,038.00
S2 1,031.00 1,031.00 1,055.25
S3 1,006.75 1,021.00 1,053.00
S4 982.50 996.75 1,046.50
Weekly Pivots for week ending 05-Feb-2010
Classic Woodie Camarilla DeMark
R4 1,249.50 1,215.50 1,093.25
R3 1,188.75 1,154.75 1,076.50
R2 1,128.00 1,128.00 1,071.00
R1 1,094.00 1,094.00 1,065.25 1,080.50
PP 1,067.25 1,067.25 1,067.25 1,060.75
S1 1,033.25 1,033.25 1,054.25 1,020.00
S2 1,006.50 1,006.50 1,048.50
S3 945.75 972.50 1,043.00
S4 885.00 911.75 1,026.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,101.50 1,040.75 60.75 5.7% 22.25 2.1% 31% False True 2,450,882
10 1,103.50 1,040.75 62.75 5.9% 21.75 2.0% 30% False True 2,601,510
20 1,148.00 1,040.75 107.25 10.1% 20.00 1.9% 18% False True 2,299,446
40 1,148.00 1,040.75 107.25 10.1% 15.50 1.5% 18% False True 1,688,974
60 1,148.00 1,040.75 107.25 10.1% 15.75 1.5% 18% False True 1,129,637
80 1,148.00 1,021.00 127.00 12.0% 17.00 1.6% 31% False False 848,280
100 1,148.00 1,007.25 140.75 13.3% 16.75 1.6% 37% False False 678,823
120 1,148.00 970.00 178.00 16.8% 16.00 1.5% 50% False False 565,689
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 False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.48
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,168.00
2.618 1,128.50
1.618 1,104.25
1.000 1,089.25
0.618 1,080.00
HIGH 1,065.00
0.618 1,055.75
0.500 1,053.00
0.382 1,050.00
LOW 1,040.75
0.618 1,025.75
1.000 1,016.50
1.618 1,001.50
2.618 977.25
4.250 937.75
Fisher Pivots for day following 05-Feb-2010
Pivot 1 day 3 day
R1 1,057.50 1,070.50
PP 1,055.25 1,067.00
S1 1,053.00 1,063.25

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

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