E-mini S&P 500 Future September 2010


Trading Metrics calculated at close of trading on 07-Jul-2010
Day Change Summary
Previous Current
06-Jul-2010 07-Jul-2010 Change Change % Previous Week
Open 1,015.00 1,024.00 9.00 0.9% 1,074.25
High 1,038.50 1,059.75 21.25 2.0% 1,079.75
Low 1,002.75 1,016.25 13.50 1.3% 1,006.00
Close 1,024.25 1,059.25 35.00 3.4% 1,014.25
Range 35.75 43.50 7.75 21.7% 73.75
ATR 25.19 26.50 1.31 5.2% 0.00
Volume 2,135,335 2,431,642 296,307 13.9% 13,227,980
Daily Pivots for day following 07-Jul-2010
Classic Woodie Camarilla DeMark
R4 1,175.50 1,161.00 1,083.25
R3 1,132.00 1,117.50 1,071.25
R2 1,088.50 1,088.50 1,067.25
R1 1,074.00 1,074.00 1,063.25 1,081.25
PP 1,045.00 1,045.00 1,045.00 1,048.75
S1 1,030.50 1,030.50 1,055.25 1,037.75
S2 1,001.50 1,001.50 1,051.25
S3 958.00 987.00 1,047.25
S4 914.50 943.50 1,035.25
Weekly Pivots for week ending 02-Jul-2010
Classic Woodie Camarilla DeMark
R4 1,254.50 1,208.25 1,054.75
R3 1,180.75 1,134.50 1,034.50
R2 1,107.00 1,107.00 1,027.75
R1 1,060.75 1,060.75 1,021.00 1,047.00
PP 1,033.25 1,033.25 1,033.25 1,026.50
S1 987.00 987.00 1,007.50 973.25
S2 959.50 959.50 1,000.75
S3 885.75 913.25 994.00
S4 812.00 839.50 973.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,059.75 1,002.75 57.00 5.4% 29.25 2.8% 99% True False 2,730,677
10 1,097.75 1,002.75 95.00 9.0% 26.25 2.5% 59% False False 2,486,901
20 1,129.50 1,002.75 126.75 12.0% 24.00 2.3% 45% False False 2,183,687
40 1,170.00 1,002.75 167.25 15.8% 27.25 2.6% 34% False False 1,103,170
60 1,211.50 1,002.75 208.75 19.7% 26.50 2.5% 27% False False 736,448
80 1,211.50 1,002.75 208.75 19.7% 22.50 2.1% 27% False False 552,629
100 1,211.50 1,002.75 208.75 19.7% 20.25 1.9% 27% False False 442,117
120 1,211.50 1,002.75 208.75 19.7% 19.00 1.8% 27% False False 368,435
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 7.35
Widest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1,244.50
2.618 1,173.75
1.618 1,130.25
1.000 1,103.25
0.618 1,086.75
HIGH 1,059.75
0.618 1,043.25
0.500 1,038.00
0.382 1,032.75
LOW 1,016.25
0.618 989.25
1.000 972.75
1.618 945.75
2.618 902.25
4.250 831.50
Fisher Pivots for day following 07-Jul-2010
Pivot 1 day 3 day
R1 1,052.25 1,050.00
PP 1,045.00 1,040.50
S1 1,038.00 1,031.25

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

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