E-mini S&P 500 Future September 2009

Trading Metrics calculated at close of trading on 21-Jul-2009

Day Change Summary
	Previous	Current
	20-Jul-2009	21-Jul-2009	Change	Change %	Previous Week
Open	937.00	947.75	10.75	1.1%	874.75
High	949.25	956.25	7.00	0.7%	940.75
Low	933.75	939.50	5.75	0.6%	865.50
Close	949.00	953.50	4.50	0.5%	937.00
Range	15.50	16.75	1.25	8.1%	75.25
ATR	18.59	18.46	-0.13	-0.7%	0.00
Volume	1,525,903	1,574,716	48,813	3.2%	10,269,087

Daily Pivots for day following 21-Jul-2009
	Classic	Woodie	Camarilla	DeMark
R4	1,000.00	993.50	962.75
R3	983.25	976.75	958.00
R2	966.50	966.50	956.50
R1	960.00	960.00	955.00	963.25
PP	949.75	949.75	949.75	951.50
S1	943.25	943.25	952.00	946.50
S2	933.00	933.00	950.50
S3	916.25	926.50	949.00
S4	899.50	909.75	944.25

Weekly Pivots for week ending 17-Jul-2009
	Classic	Woodie	Camarilla	DeMark
R4	1,140.25	1,113.75	978.50
R3	1,065.00	1,038.50	957.75
R2	989.75	989.75	950.75
R1	963.25	963.25	944.00	976.50
PP	914.50	914.50	914.50	921.00
S1	888.00	888.00	930.00	901.25
S2	839.25	839.25	923.25
S3	764.00	812.75	916.25
S4	688.75	737.50	895.50

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	956.25	906.50	49.75	5.2%	17.50	1.8%	94%	True	False	1,898,034
10	956.25	865.25	91.00	9.5%	17.00	1.8%	97%	True	False	1,957,839
20	956.25	865.25	91.00	9.5%	17.50	1.8%	97%	True	False	1,871,292
40	956.25	865.25	91.00	9.5%	19.25	2.0%	97%	True	False	1,304,836
60	956.25	835.25	121.00	12.7%	20.00	2.1%	98%	True	False	871,985
80	956.25	772.25	184.00	19.3%	21.25	2.2%	99%	True	False	654,718
100	956.25	662.00	294.25	30.9%	22.75	2.4%	99%	True	False	523,841

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
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	3.80
Widest range in 3 trading days

Fibonacci Retracements and Extensions
4.250	1,027.50
2.618	1,000.00
1.618	983.25
1.000	973.00
0.618	966.50
HIGH	956.25
0.618	949.75
0.500	948.00
0.382	946.00
LOW	939.50
0.618	929.25
1.000	922.75
1.618	912.50
2.618	895.75
4.250	868.25

Fisher Pivots for day following 21-Jul-2009
Pivot	1 day	3 day
R1	951.50	949.75
PP	949.75	946.00
S1	948.00	942.00

Download as Excel Spreadsheet

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

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