E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 16-Nov-2009
Day Change Summary
Previous Current
13-Nov-2009 16-Nov-2009 Change Change % Previous Week
Open 1,087.50 1,092.00 4.50 0.4% 1,065.75
High 1,096.00 1,112.25 16.25 1.5% 1,103.25
Low 1,082.75 1,091.00 8.25 0.8% 1,065.00
Close 1,091.50 1,106.25 14.75 1.4% 1,091.50
Range 13.25 21.25 8.00 60.4% 38.25
ATR 18.80 18.97 0.18 0.9% 0.00
Volume 2,020,189 1,478,254 -541,935 -26.8% 9,546,959
Daily Pivots for day following 16-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,167.00 1,157.75 1,118.00
R3 1,145.75 1,136.50 1,112.00
R2 1,124.50 1,124.50 1,110.25
R1 1,115.25 1,115.25 1,108.25 1,120.00
PP 1,103.25 1,103.25 1,103.25 1,105.50
S1 1,094.00 1,094.00 1,104.25 1,098.50
S2 1,082.00 1,082.00 1,102.25
S3 1,060.75 1,072.75 1,100.50
S4 1,039.50 1,051.50 1,094.50
Weekly Pivots for week ending 13-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,201.25 1,184.75 1,112.50
R3 1,163.00 1,146.50 1,102.00
R2 1,124.75 1,124.75 1,098.50
R1 1,108.25 1,108.25 1,095.00 1,116.50
PP 1,086.50 1,086.50 1,086.50 1,090.75
S1 1,070.00 1,070.00 1,088.00 1,078.25
S2 1,048.25 1,048.25 1,084.50
S3 1,010.00 1,031.75 1,081.00
S4 971.75 993.50 1,070.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,112.25 1,082.50 29.75 2.7% 15.00 1.3% 80% True False 1,788,631
10 1,112.25 1,026.50 85.75 7.8% 17.75 1.6% 93% True False 2,043,451
20 1,112.25 1,026.00 86.25 7.8% 20.75 1.9% 93% True False 2,212,715
40 1,112.25 1,012.00 100.25 9.1% 18.75 1.7% 94% True False 2,054,331
60 1,112.25 986.50 125.75 11.4% 17.75 1.6% 95% True False 1,625,457
80 1,112.25 960.00 152.25 13.8% 18.00 1.6% 96% True False 1,219,765
100 1,112.25 861.25 251.00 22.7% 17.75 1.6% 98% True False 976,179
120 1,112.25 861.25 251.00 22.7% 17.50 1.6% 98% True False 813,594
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.48
Widest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1,202.50
2.618 1,168.00
1.618 1,146.75
1.000 1,133.50
0.618 1,125.50
HIGH 1,112.25
0.618 1,104.25
0.500 1,101.50
0.382 1,099.00
LOW 1,091.00
0.618 1,077.75
1.000 1,069.75
1.618 1,056.50
2.618 1,035.25
4.250 1,000.75
Fisher Pivots for day following 16-Nov-2009
Pivot 1 day 3 day
R1 1,104.75 1,103.25
PP 1,103.25 1,100.25
S1 1,101.50 1,097.50

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

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