E-mini S&P 500 Future June 2009


Trading Metrics calculated at close of trading on 27-Mar-2009
Day Change Summary
Previous Current
26-Mar-2009 27-Mar-2009 Change Change % Previous Week
Open 807.50 826.75 19.25 2.4% 766.75
High 830.50 830.00 -0.50 -0.1% 830.50
Low 807.25 809.50 2.25 0.3% 765.50
Close 827.25 816.00 -11.25 -1.4% 816.00
Range 23.25 20.50 -2.75 -11.8% 65.00
ATR 30.54 29.82 -0.72 -2.3% 0.00
Volume 3,118,269 2,733,189 -385,080 -12.3% 13,586,304
Daily Pivots for day following 27-Mar-2009
Classic Woodie Camarilla DeMark
R4 880.00 868.50 827.25
R3 859.50 848.00 821.75
R2 839.00 839.00 819.75
R1 827.50 827.50 818.00 823.00
PP 818.50 818.50 818.50 816.25
S1 807.00 807.00 814.00 802.50
S2 798.00 798.00 812.25
S3 777.50 786.50 810.25
S4 757.00 766.00 804.75
Weekly Pivots for week ending 27-Mar-2009
Classic Woodie Camarilla DeMark
R4 999.00 972.50 851.75
R3 934.00 907.50 834.00
R2 869.00 869.00 828.00
R1 842.50 842.50 822.00 855.75
PP 804.00 804.00 804.00 810.50
S1 777.50 777.50 810.00 790.75
S2 739.00 739.00 804.00
S3 674.00 712.50 798.00
S4 609.00 647.50 780.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 830.50 765.50 65.00 8.0% 31.00 3.8% 78% False False 2,717,260
10 830.50 746.00 84.50 10.4% 29.75 3.6% 83% False False 2,804,028
20 830.50 662.75 167.75 20.6% 31.00 3.8% 91% False False 1,576,175
40 869.75 662.75 207.00 25.4% 28.75 3.5% 74% False False 792,986
60 939.25 662.75 276.50 33.9% 29.50 3.6% 55% False False 530,366
80 939.25 662.75 276.50 33.9% 29.00 3.6% 55% False False 397,867
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 False
2BNR True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 6.55
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 917.00
2.618 883.75
1.618 863.25
1.000 850.50
0.618 842.75
HIGH 830.00
0.618 822.25
0.500 819.75
0.382 817.25
LOW 809.50
0.618 796.75
1.000 789.00
1.618 776.25
2.618 755.75
4.250 722.50
Fisher Pivots for day following 27-Mar-2009
Pivot 1 day 3 day
R1 819.75 813.50
PP 818.50 811.25
S1 817.25 808.75

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

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