E-mini S&P 500 Future September 2010


Trading Metrics calculated at close of trading on 27-Aug-2010
Day Change Summary
Previous Current
26-Aug-2010 27-Aug-2010 Change Change % Previous Week
Open 1,055.25 1,043.75 -11.50 -1.1% 1,070.00
High 1,061.75 1,064.50 2.75 0.3% 1,080.25
Low 1,043.00 1,037.25 -5.75 -0.6% 1,037.00
Close 1,044.75 1,063.75 19.00 1.8% 1,063.75
Range 18.75 27.25 8.50 45.3% 43.25
ATR 19.72 20.25 0.54 2.7% 0.00
Volume 1,990,651 2,540,909 550,258 27.6% 11,017,029
Daily Pivots for day following 27-Aug-2010
Classic Woodie Camarilla DeMark
R4 1,137.00 1,127.50 1,078.75
R3 1,109.75 1,100.25 1,071.25
R2 1,082.50 1,082.50 1,068.75
R1 1,073.00 1,073.00 1,066.25 1,077.75
PP 1,055.25 1,055.25 1,055.25 1,057.50
S1 1,045.75 1,045.75 1,061.25 1,050.50
S2 1,028.00 1,028.00 1,058.75
S3 1,000.75 1,018.50 1,056.25
S4 973.50 991.25 1,048.75
Weekly Pivots for week ending 27-Aug-2010
Classic Woodie Camarilla DeMark
R4 1,190.00 1,170.25 1,087.50
R3 1,146.75 1,127.00 1,075.75
R2 1,103.50 1,103.50 1,071.75
R1 1,083.75 1,083.75 1,067.75 1,072.00
PP 1,060.25 1,060.25 1,060.25 1,054.50
S1 1,040.50 1,040.50 1,059.75 1,028.75
S2 1,017.00 1,017.00 1,055.75
S3 973.75 997.25 1,051.75
S4 930.50 954.00 1,040.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,080.25 1,037.00 43.25 4.1% 21.00 2.0% 62% False False 2,203,405
10 1,098.50 1,037.00 61.50 5.8% 20.00 1.9% 43% False False 2,045,694
20 1,127.75 1,037.00 90.75 8.5% 18.75 1.8% 29% False False 1,925,603
40 1,127.75 1,002.75 125.00 11.8% 20.50 1.9% 49% False False 2,019,352
60 1,129.50 1,002.75 126.75 11.9% 21.50 2.0% 48% False False 1,945,869
80 1,170.00 1,002.75 167.25 15.7% 25.00 2.4% 36% False False 1,462,539
100 1,211.50 1,002.75 208.75 19.6% 23.50 2.2% 29% False False 1,170,460
120 1,211.50 1,002.75 208.75 19.6% 21.25 2.0% 29% False False 975,524
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.20
Widest range in 12 trading days
Fibonacci Retracements and Extensions
4.250 1,180.25
2.618 1,135.75
1.618 1,108.50
1.000 1,091.75
0.618 1,081.25
HIGH 1,064.50
0.618 1,054.00
0.500 1,051.00
0.382 1,047.75
LOW 1,037.25
0.618 1,020.50
1.000 1,010.00
1.618 993.25
2.618 966.00
4.250 921.50
Fisher Pivots for day following 27-Aug-2010
Pivot 1 day 3 day
R1 1,059.50 1,059.50
PP 1,055.25 1,055.00
S1 1,051.00 1,050.75

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

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