E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 09-Jul-2009
Day Change Summary
Previous Current
08-Jul-2009 09-Jul-2009 Change Change % Previous Week
Open 879.50 874.00 -5.50 -0.6% 913.00
High 883.50 884.50 1.00 0.1% 928.25
Low 865.25 873.75 8.50 1.0% 892.75
Close 873.75 879.00 5.25 0.6% 893.25
Range 18.25 10.75 -7.50 -41.1% 35.50
ATR 19.35 18.74 -0.61 -3.2% 0.00
Volume 1,930,544 2,498,962 568,418 29.4% 6,354,139
Daily Pivots for day following 09-Jul-2009
Classic Woodie Camarilla DeMark
R4 911.25 906.00 885.00
R3 900.50 895.25 882.00
R2 889.75 889.75 881.00
R1 884.50 884.50 880.00 887.00
PP 879.00 879.00 879.00 880.50
S1 873.75 873.75 878.00 876.50
S2 868.25 868.25 877.00
S3 857.50 863.00 876.00
S4 846.75 852.25 873.00
Weekly Pivots for week ending 03-Jul-2009
Classic Woodie Camarilla DeMark
R4 1,011.25 987.75 912.75
R3 975.75 952.25 903.00
R2 940.25 940.25 899.75
R1 916.75 916.75 896.50 910.75
PP 904.75 904.75 904.75 901.75
S1 881.25 881.25 890.00 875.25
S2 869.25 869.25 886.75
S3 833.75 845.75 883.50
S4 798.25 810.25 873.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 919.75 865.25 54.50 6.2% 18.75 2.1% 25% False False 1,910,165
10 928.25 865.25 63.00 7.2% 18.00 2.0% 22% False False 1,839,851
20 952.75 865.25 87.50 10.0% 17.75 2.0% 16% False False 1,826,504
40 953.00 865.25 87.75 10.0% 20.00 2.3% 16% False False 927,583
60 953.00 819.75 133.25 15.2% 20.75 2.4% 44% False False 620,149
80 953.00 745.25 207.75 23.6% 22.50 2.6% 64% False False 465,432
100 953.00 662.00 291.00 33.1% 23.25 2.6% 75% False False 372,358
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
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 3.33
Narrowest range in 8 trading days
Fibonacci Retracements and Extensions
4.250 930.25
2.618 912.75
1.618 902.00
1.000 895.25
0.618 891.25
HIGH 884.50
0.618 880.50
0.500 879.00
0.382 877.75
LOW 873.75
0.618 867.00
1.000 863.00
1.618 856.25
2.618 845.50
4.250 828.00
Fisher Pivots for day following 09-Jul-2009
Pivot 1 day 3 day
R1 879.00 881.75
PP 879.00 880.75
S1 879.00 880.00

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

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