E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 30-Oct-2009
Day Change Summary
Previous Current
29-Oct-2009 30-Oct-2009 Change Change % Previous Week
Open 1,038.75 1,061.25 22.50 2.2% 1,076.50
High 1,064.00 1,062.75 -1.25 -0.1% 1,088.50
Low 1,037.25 1,029.50 -7.75 -0.7% 1,029.50
Close 1,061.50 1,033.00 -28.50 -2.7% 1,033.00
Range 26.75 33.25 6.50 24.3% 59.00
ATR 19.28 20.28 1.00 5.2% 0.00
Volume 2,843,071 2,298,367 -544,704 -19.2% 12,289,622
Daily Pivots for day following 30-Oct-2009
Classic Woodie Camarilla DeMark
R4 1,141.50 1,120.50 1,051.25
R3 1,108.25 1,087.25 1,042.25
R2 1,075.00 1,075.00 1,039.00
R1 1,054.00 1,054.00 1,036.00 1,048.00
PP 1,041.75 1,041.75 1,041.75 1,038.75
S1 1,020.75 1,020.75 1,030.00 1,014.50
S2 1,008.50 1,008.50 1,027.00
S3 975.25 987.50 1,023.75
S4 942.00 954.25 1,014.75
Weekly Pivots for week ending 30-Oct-2009
Classic Woodie Camarilla DeMark
R4 1,227.25 1,189.25 1,065.50
R3 1,168.25 1,130.25 1,049.25
R2 1,109.25 1,109.25 1,043.75
R1 1,071.25 1,071.25 1,038.50 1,060.75
PP 1,050.25 1,050.25 1,050.25 1,045.00
S1 1,012.25 1,012.25 1,027.50 1,001.75
S2 991.25 991.25 1,022.25
S3 932.25 953.25 1,016.75
S4 873.25 894.25 1,000.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,088.50 1,029.50 59.00 5.7% 25.00 2.4% 6% False True 2,457,924
10 1,099.00 1,029.50 69.50 6.7% 23.50 2.3% 5% False True 2,246,082
20 1,099.00 1,019.50 79.50 7.7% 18.75 1.8% 17% False False 2,007,135
40 1,099.00 995.50 103.50 10.0% 18.00 1.7% 36% False False 1,839,068
60 1,099.00 971.25 127.75 12.4% 18.25 1.8% 48% False False 1,229,240
80 1,099.00 861.50 237.50 23.0% 17.75 1.7% 72% False False 922,416
100 1,099.00 861.25 237.75 23.0% 17.50 1.7% 72% False False 738,191
120 1,099.00 861.25 237.75 23.0% 17.50 1.7% 72% False False 615,172
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.28
Widest range in 140 trading days
Fibonacci Retracements and Extensions
4.250 1,204.00
2.618 1,149.75
1.618 1,116.50
1.000 1,096.00
0.618 1,083.25
HIGH 1,062.75
0.618 1,050.00
0.500 1,046.00
0.382 1,042.25
LOW 1,029.50
0.618 1,009.00
1.000 996.25
1.618 975.75
2.618 942.50
4.250 888.25
Fisher Pivots for day following 30-Oct-2009
Pivot 1 day 3 day
R1 1,046.00 1,046.75
PP 1,041.75 1,042.25
S1 1,037.50 1,037.50

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

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