E-mini S&P 500 Future September 2007


Trading Metrics calculated at close of trading on 20-Aug-2007
Day Change Summary
Previous Current
17-Aug-2007 20-Aug-2007 Change Change % Previous Week
Open 1,424.75 1,448.75 24.00 1.7% 1,454.50
High 1,471.50 1,457.00 -14.50 -1.0% 1,472.50
Low 1,399.50 1,434.50 35.00 2.5% 1,374.50
Close 1,450.00 1,449.00 -1.00 -0.1% 1,450.00
Range 72.00 22.50 -49.50 -68.8% 98.00
ATR 34.85 33.97 -0.88 -2.5% 0.00
Volume 4,817,982 3,323,512 -1,494,470 -31.0% 15,808,906
Daily Pivots for day following 20-Aug-2007
Classic Woodie Camarilla DeMark
R4 1,514.25 1,504.25 1,461.50
R3 1,491.75 1,481.75 1,455.25
R2 1,469.25 1,469.25 1,453.00
R1 1,459.25 1,459.25 1,451.00 1,464.25
PP 1,446.75 1,446.75 1,446.75 1,449.50
S1 1,436.75 1,436.75 1,447.00 1,441.75
S2 1,424.25 1,424.25 1,445.00
S3 1,401.75 1,414.25 1,442.75
S4 1,379.25 1,391.75 1,436.50
Weekly Pivots for week ending 17-Aug-2007
Classic Woodie Camarilla DeMark
R4 1,726.25 1,686.25 1,504.00
R3 1,628.25 1,588.25 1,477.00
R2 1,530.25 1,530.25 1,468.00
R1 1,490.25 1,490.25 1,459.00 1,461.25
PP 1,432.25 1,432.25 1,432.25 1,418.00
S1 1,392.25 1,392.25 1,441.00 1,363.25
S2 1,334.25 1,334.25 1,432.00
S3 1,236.25 1,294.25 1,423.00
S4 1,138.25 1,196.25 1,396.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,471.50 1,374.50 97.00 6.7% 44.75 3.1% 77% False False 3,100,466
10 1,510.50 1,374.50 136.00 9.4% 39.00 2.7% 55% False False 3,053,037
20 1,551.75 1,374.50 177.25 12.2% 37.75 2.6% 42% False False 2,797,743
40 1,566.25 1,374.50 191.75 13.2% 27.50 1.9% 39% False False 2,113,114
60 1,566.25 1,374.50 191.75 13.2% 24.00 1.7% 39% False False 1,728,474
80 1,566.25 1,374.50 191.75 13.2% 21.00 1.5% 39% False False 1,296,821
100 1,566.25 1,374.50 191.75 13.2% 19.00 1.3% 39% False False 1,037,622
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 9.63
Narrowest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1,552.50
2.618 1,516.00
1.618 1,493.50
1.000 1,479.50
0.618 1,471.00
HIGH 1,457.00
0.618 1,448.50
0.500 1,445.75
0.382 1,443.00
LOW 1,434.50
0.618 1,420.50
1.000 1,412.00
1.618 1,398.00
2.618 1,375.50
4.250 1,339.00
Fisher Pivots for day following 20-Aug-2007
Pivot 1 day 3 day
R1 1,448.00 1,440.25
PP 1,446.75 1,431.75
S1 1,445.75 1,423.00

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

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