E-mini S&P 500 Future September 2010


Trading Metrics calculated at close of trading on 02-Sep-2010
Day Change Summary
Previous Current
01-Sep-2010 02-Sep-2010 Change Change % Previous Week
Open 1,051.75 1,081.50 29.75 2.8% 1,070.00
High 1,082.50 1,090.50 8.00 0.7% 1,080.25
Low 1,050.75 1,076.50 25.75 2.5% 1,037.00
Close 1,081.75 1,089.50 7.75 0.7% 1,063.75
Range 31.75 14.00 -17.75 -55.9% 43.25
ATR 21.51 20.98 -0.54 -2.5% 0.00
Volume 2,356,116 1,601,762 -754,354 -32.0% 11,017,029
Daily Pivots for day following 02-Sep-2010
Classic Woodie Camarilla DeMark
R4 1,127.50 1,122.50 1,097.25
R3 1,113.50 1,108.50 1,093.25
R2 1,099.50 1,099.50 1,092.00
R1 1,094.50 1,094.50 1,090.75 1,097.00
PP 1,085.50 1,085.50 1,085.50 1,086.75
S1 1,080.50 1,080.50 1,088.25 1,083.00
S2 1,071.50 1,071.50 1,087.00
S3 1,057.50 1,066.50 1,085.75
S4 1,043.50 1,052.50 1,081.75
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 1,090.50 1,037.25 53.25 4.9% 23.50 2.2% 98% True False 2,100,262
10 1,090.50 1,037.00 53.50 4.9% 21.00 1.9% 98% True False 2,078,391
20 1,127.00 1,037.00 90.00 8.3% 20.50 1.9% 58% False False 1,996,114
40 1,127.75 1,037.00 90.75 8.3% 20.00 1.8% 58% False False 1,956,411
60 1,129.50 1,002.75 126.75 11.6% 21.25 1.9% 68% False False 2,072,448
80 1,170.00 1,002.75 167.25 15.4% 23.50 2.2% 52% False False 1,561,659
100 1,211.50 1,002.75 208.75 19.2% 24.00 2.2% 42% False False 1,249,990
120 1,211.50 1,002.75 208.75 19.2% 21.75 2.0% 42% False False 1,041,857
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 5.38
Narrowest range in 18 trading days
Fibonacci Retracements and Extensions
4.250 1,150.00
2.618 1,127.25
1.618 1,113.25
1.000 1,104.50
0.618 1,099.25
HIGH 1,090.50
0.618 1,085.25
0.500 1,083.50
0.382 1,081.75
LOW 1,076.50
0.618 1,067.75
1.000 1,062.50
1.618 1,053.75
2.618 1,039.75
4.250 1,017.00
Fisher Pivots for day following 02-Sep-2010
Pivot 1 day 3 day
R1 1,087.50 1,081.00
PP 1,085.50 1,072.50
S1 1,083.50 1,064.00

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

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