E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 15-Oct-2009
Day Change Summary
Previous Current
14-Oct-2009 15-Oct-2009 Change Change % Previous Week
Open 1,072.75 1,087.50 14.75 1.4% 1,021.75
High 1,089.75 1,093.25 3.50 0.3% 1,068.50
Low 1,072.75 1,080.50 7.75 0.7% 1,019.50
Close 1,087.75 1,089.75 2.00 0.2% 1,068.00
Range 17.00 12.75 -4.25 -25.0% 49.00
ATR 16.28 16.03 -0.25 -1.5% 0.00
Volume 1,519,381 1,968,023 448,642 29.5% 9,967,555
Daily Pivots for day following 15-Oct-2009
Classic Woodie Camarilla DeMark
R4 1,126.00 1,120.75 1,096.75
R3 1,113.25 1,108.00 1,093.25
R2 1,100.50 1,100.50 1,092.00
R1 1,095.25 1,095.25 1,091.00 1,098.00
PP 1,087.75 1,087.75 1,087.75 1,089.25
S1 1,082.50 1,082.50 1,088.50 1,085.00
S2 1,075.00 1,075.00 1,087.50
S3 1,062.25 1,069.75 1,086.25
S4 1,049.50 1,057.00 1,082.75
Weekly Pivots for week ending 09-Oct-2009
Classic Woodie Camarilla DeMark
R4 1,199.00 1,182.50 1,095.00
R3 1,150.00 1,133.50 1,081.50
R2 1,101.00 1,101.00 1,077.00
R1 1,084.50 1,084.50 1,072.50 1,092.75
PP 1,052.00 1,052.00 1,052.00 1,056.00
S1 1,035.50 1,035.50 1,063.50 1,043.75
S2 1,003.00 1,003.00 1,059.00
S3 954.00 986.50 1,054.50
S4 905.00 937.50 1,041.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,093.25 1,058.50 34.75 3.2% 12.25 1.1% 90% True False 1,549,902
10 1,093.25 1,012.00 81.25 7.5% 14.00 1.3% 96% True False 1,860,382
20 1,093.25 1,012.00 81.25 7.5% 16.00 1.5% 96% True False 1,920,607
40 1,093.25 986.50 106.75 9.8% 16.50 1.5% 97% True False 1,235,634
60 1,093.25 944.75 148.50 13.6% 17.00 1.6% 98% True False 824,602
80 1,093.25 861.25 232.00 21.3% 17.00 1.6% 98% True False 618,907
100 1,093.25 861.25 232.00 21.3% 16.75 1.5% 98% True False 495,203
120 1,093.25 857.00 236.25 21.7% 17.25 1.6% 99% True False 412,674
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
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 2.20
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,147.50
2.618 1,126.75
1.618 1,114.00
1.000 1,106.00
0.618 1,101.25
HIGH 1,093.25
0.618 1,088.50
0.500 1,087.00
0.382 1,085.25
LOW 1,080.50
0.618 1,072.50
1.000 1,067.75
1.618 1,059.75
2.618 1,047.00
4.250 1,026.25
Fisher Pivots for day following 15-Oct-2009
Pivot 1 day 3 day
R1 1,088.75 1,086.00
PP 1,087.75 1,082.00
S1 1,087.00 1,078.00

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

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