E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 18-Nov-2009
Day Change Summary
Previous Current
17-Nov-2009 18-Nov-2009 Change Change % Previous Week
Open 1,106.25 1,107.50 1.25 0.1% 1,065.75
High 1,109.00 1,110.75 1.75 0.2% 1,103.25
Low 1,100.00 1,100.75 0.75 0.1% 1,065.00
Close 1,107.50 1,108.50 1.00 0.1% 1,091.50
Range 9.00 10.00 1.00 11.1% 38.25
ATR 18.26 17.67 -0.59 -3.2% 0.00
Volume 1,992,105 1,517,083 -475,022 -23.8% 9,546,959
Daily Pivots for day following 18-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,136.75 1,132.50 1,114.00
R3 1,126.75 1,122.50 1,111.25
R2 1,116.75 1,116.75 1,110.25
R1 1,112.50 1,112.50 1,109.50 1,114.50
PP 1,106.75 1,106.75 1,106.75 1,107.75
S1 1,102.50 1,102.50 1,107.50 1,104.50
S2 1,096.75 1,096.75 1,106.75
S3 1,086.75 1,092.50 1,105.75
S4 1,076.75 1,082.50 1,103.00
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% 14.50 1.3% 87% False False 1,761,665
10 1,112.25 1,039.00 73.25 6.6% 16.25 1.5% 95% False False 1,884,419
20 1,112.25 1,026.00 86.25 7.8% 19.50 1.8% 96% False False 2,210,622
40 1,112.25 1,012.00 100.25 9.0% 18.50 1.7% 96% False False 2,064,244
60 1,112.25 986.50 125.75 11.3% 17.50 1.6% 97% False False 1,683,745
80 1,112.25 960.00 152.25 13.7% 17.75 1.6% 98% False False 1,263,596
100 1,112.25 861.25 251.00 22.6% 17.50 1.6% 99% False False 1,011,250
120 1,112.25 861.25 251.00 22.6% 17.25 1.6% 99% False False 842,837
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.50
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,153.25
2.618 1,137.00
1.618 1,127.00
1.000 1,120.75
0.618 1,117.00
HIGH 1,110.75
0.618 1,107.00
0.500 1,105.75
0.382 1,104.50
LOW 1,100.75
0.618 1,094.50
1.000 1,090.75
1.618 1,084.50
2.618 1,074.50
4.250 1,058.25
Fisher Pivots for day following 18-Nov-2009
Pivot 1 day 3 day
R1 1,107.50 1,106.25
PP 1,106.75 1,104.00
S1 1,105.75 1,101.50

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

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