E-mini S&P 500 Future June 2009


Trading Metrics calculated at close of trading on 31-Mar-2009
Day Change Summary
Previous Current
30-Mar-2009 31-Mar-2009 Change Change % Previous Week
Open 812.50 784.50 -28.00 -3.4% 766.75
High 815.25 807.00 -8.25 -1.0% 830.50
Low 775.50 784.00 8.50 1.1% 765.50
Close 784.25 794.75 10.50 1.3% 816.00
Range 39.75 23.00 -16.75 -42.1% 65.00
ATR 30.58 30.04 -0.54 -1.8% 0.00
Volume 2,210,455 2,261,920 51,465 2.3% 13,586,304
Daily Pivots for day following 31-Mar-2009
Classic Woodie Camarilla DeMark
R4 864.25 852.50 807.50
R3 841.25 829.50 801.00
R2 818.25 818.25 799.00
R1 806.50 806.50 796.75 812.50
PP 795.25 795.25 795.25 798.25
S1 783.50 783.50 792.75 789.50
S2 772.25 772.25 790.50
S3 749.25 760.50 788.50
S4 726.25 737.50 782.00
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
5 830.50 775.50 55.00 6.9% 28.50 3.6% 35% False False 2,551,500
10 830.50 761.50 69.00 8.7% 30.50 3.8% 48% False False 2,694,908
20 830.50 662.75 167.75 21.1% 31.25 3.9% 79% False False 1,797,918
40 869.75 662.75 207.00 26.0% 29.25 3.7% 64% False False 904,243
60 929.50 662.75 266.75 33.6% 30.00 3.8% 49% False False 604,843
80 939.25 662.75 276.50 34.8% 28.75 3.6% 48% False False 453,770
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 False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.68
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 904.75
2.618 867.25
1.618 844.25
1.000 830.00
0.618 821.25
HIGH 807.00
0.618 798.25
0.500 795.50
0.382 792.75
LOW 784.00
0.618 769.75
1.000 761.00
1.618 746.75
2.618 723.75
4.250 686.25
Fisher Pivots for day following 31-Mar-2009
Pivot 1 day 3 day
R1 795.50 802.75
PP 795.25 800.00
S1 795.00 797.50

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

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