E-mini S&P 500 Future September 2010


Trading Metrics calculated at close of trading on 08-Jul-2010
Day Change Summary
Previous Current
07-Jul-2010 08-Jul-2010 Change Change % Previous Week
Open 1,024.00 1,058.75 34.75 3.4% 1,074.25
High 1,059.75 1,068.50 8.75 0.8% 1,079.75
Low 1,016.25 1,054.00 37.75 3.7% 1,006.00
Close 1,059.25 1,067.00 7.75 0.7% 1,014.25
Range 43.50 14.50 -29.00 -66.7% 73.75
ATR 26.50 25.64 -0.86 -3.2% 0.00
Volume 2,431,642 2,556,140 124,498 5.1% 13,227,980
Daily Pivots for day following 08-Jul-2010
Classic Woodie Camarilla DeMark
R4 1,106.75 1,101.25 1,075.00
R3 1,092.25 1,086.75 1,071.00
R2 1,077.75 1,077.75 1,069.75
R1 1,072.25 1,072.25 1,068.25 1,075.00
PP 1,063.25 1,063.25 1,063.25 1,064.50
S1 1,057.75 1,057.75 1,065.75 1,060.50
S2 1,048.75 1,048.75 1,064.25
S3 1,034.25 1,043.25 1,063.00
S4 1,019.75 1,028.75 1,059.00
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 1,068.50 1,002.75 65.75 6.2% 27.75 2.6% 98% True False 2,620,015
10 1,091.00 1,002.75 88.25 8.3% 26.00 2.4% 73% False False 2,513,858
20 1,129.50 1,002.75 126.75 11.9% 23.50 2.2% 51% False False 2,304,523
40 1,170.00 1,002.75 167.25 15.7% 27.00 2.5% 38% False False 1,166,907
60 1,211.50 1,002.75 208.75 19.6% 26.50 2.5% 31% False False 779,042
80 1,211.50 1,002.75 208.75 19.6% 22.50 2.1% 31% False False 584,580
100 1,211.50 1,002.75 208.75 19.6% 20.25 1.9% 31% False False 467,679
120 1,211.50 1,002.75 208.75 19.6% 19.00 1.8% 31% False False 389,734
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
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 7.13
Narrowest range in 7 trading days
Fibonacci Retracements and Extensions
4.250 1,130.00
2.618 1,106.50
1.618 1,092.00
1.000 1,083.00
0.618 1,077.50
HIGH 1,068.50
0.618 1,063.00
0.500 1,061.25
0.382 1,059.50
LOW 1,054.00
0.618 1,045.00
1.000 1,039.50
1.618 1,030.50
2.618 1,016.00
4.250 992.50
Fisher Pivots for day following 08-Jul-2010
Pivot 1 day 3 day
R1 1,065.00 1,056.50
PP 1,063.25 1,046.00
S1 1,061.25 1,035.50

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

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