E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 01-Jun-2009
Day Change Summary
Previous Current
29-May-2009 01-Jun-2009 Change Change % Previous Week
Open 899.75 916.50 16.75 1.9% 883.00
High 921.75 942.75 21.00 2.3% 921.75
Low 898.00 912.25 14.25 1.6% 872.75
Close 913.50 934.50 21.00 2.3% 913.50
Range 23.75 30.50 6.75 28.4% 49.00
ATR 23.16 23.69 0.52 2.3% 0.00
Volume 14,550 13,309 -1,241 -8.5% 51,131
Daily Pivots for day following 01-Jun-2009
Classic Woodie Camarilla DeMark
R4 1,021.25 1,008.50 951.25
R3 990.75 978.00 943.00
R2 960.25 960.25 940.00
R1 947.50 947.50 937.25 954.00
PP 929.75 929.75 929.75 933.00
S1 917.00 917.00 931.75 923.50
S2 899.25 899.25 929.00
S3 868.75 886.50 926.00
S4 838.25 856.00 917.75
Weekly Pivots for week ending 29-May-2009
Classic Woodie Camarilla DeMark
R4 1,049.75 1,030.50 940.50
R3 1,000.75 981.50 927.00
R2 951.75 951.75 922.50
R1 932.50 932.50 918.00 942.00
PP 902.75 902.75 902.75 907.50
S1 883.50 883.50 909.00 893.00
S2 853.75 853.75 904.50
S3 804.75 834.50 900.00
S4 755.75 785.50 886.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 942.75 872.75 70.00 7.5% 26.50 2.8% 88% True False 12,888
10 942.75 871.00 71.75 7.7% 23.75 2.5% 89% True False 10,598
20 942.75 871.00 71.75 7.7% 23.00 2.5% 89% True False 8,298
40 942.75 799.25 143.50 15.4% 23.00 2.5% 94% True False 5,994
60 942.75 662.00 280.75 30.0% 25.00 2.7% 97% True False 4,247
80 942.75 662.00 280.75 30.0% 24.75 2.7% 97% True False 3,197
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.85
Widest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1,072.50
2.618 1,022.50
1.618 992.00
1.000 973.25
0.618 961.50
HIGH 942.75
0.618 931.00
0.500 927.50
0.382 924.00
LOW 912.25
0.618 893.50
1.000 881.75
1.618 863.00
2.618 832.50
4.250 782.50
Fisher Pivots for day following 01-Jun-2009
Pivot 1 day 3 day
R1 932.25 927.00
PP 929.75 919.50
S1 927.50 912.00

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

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