E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 29-Jun-2009
Day Change Summary
Previous Current
26-Jun-2009 29-Jun-2009 Change Change % Previous Week
Open 917.00 913.00 -4.00 -0.4% 914.50
High 919.00 924.00 5.00 0.5% 919.25
Low 908.50 907.25 -1.25 -0.1% 884.25
Close 914.00 921.25 7.25 0.8% 914.00
Range 10.50 16.75 6.25 59.5% 35.00
ATR 19.59 19.39 -0.20 -1.0% 0.00
Volume 2,278,262 1,410,004 -868,258 -38.1% 9,530,440
Daily Pivots for day following 29-Jun-2009
Classic Woodie Camarilla DeMark
R4 967.75 961.25 930.50
R3 951.00 944.50 925.75
R2 934.25 934.25 924.25
R1 927.75 927.75 922.75 931.00
PP 917.50 917.50 917.50 919.00
S1 911.00 911.00 919.75 914.25
S2 900.75 900.75 918.25
S3 884.00 894.25 916.75
S4 867.25 877.50 912.00
Weekly Pivots for week ending 26-Jun-2009
Classic Woodie Camarilla DeMark
R4 1,010.75 997.50 933.25
R3 975.75 962.50 923.50
R2 940.75 940.75 920.50
R1 927.50 927.50 917.25 916.50
PP 905.75 905.75 905.75 900.50
S1 892.50 892.50 910.75 881.50
S2 870.75 870.75 907.50
S3 835.75 857.50 904.50
S4 800.75 822.50 894.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 924.00 884.25 39.75 4.3% 16.50 1.8% 93% True False 1,863,309
10 924.75 884.25 40.50 4.4% 17.50 1.9% 91% False False 1,960,513
20 953.00 884.25 68.75 7.5% 18.25 2.0% 54% False False 1,200,985
40 953.00 871.00 82.00 8.9% 20.75 2.2% 61% False False 604,641
60 953.00 799.25 153.75 16.7% 21.50 2.3% 79% False False 404,324
80 953.00 662.00 291.00 31.6% 23.25 2.5% 89% False False 303,432
100 953.00 662.00 291.00 31.6% 23.50 2.6% 89% False False 242,754
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD True
IDnr4 False
2BNR True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.15
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 995.25
2.618 967.75
1.618 951.00
1.000 940.75
0.618 934.25
HIGH 924.00
0.618 917.50
0.500 915.50
0.382 913.75
LOW 907.25
0.618 897.00
1.000 890.50
1.618 880.25
2.618 863.50
4.250 836.00
Fisher Pivots for day following 29-Jun-2009
Pivot 1 day 3 day
R1 919.50 916.75
PP 917.50 912.00
S1 915.50 907.50

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

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