E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 27-Jul-2009
Day Change Summary
Previous Current
24-Jul-2009 27-Jul-2009 Change Change % Previous Week
Open 965.00 977.00 12.00 1.2% 937.00
High 979.00 984.00 5.00 0.5% 979.00
Low 962.50 969.00 6.50 0.7% 933.75
Close 977.75 980.00 2.25 0.2% 977.75
Range 16.50 15.00 -1.50 -9.1% 45.25
ATR 18.61 18.36 -0.26 -1.4% 0.00
Volume 2,299,971 1,682,233 -617,738 -26.9% 9,342,150
Daily Pivots for day following 27-Jul-2009
Classic Woodie Camarilla DeMark
R4 1,022.75 1,016.25 988.25
R3 1,007.75 1,001.25 984.00
R2 992.75 992.75 982.75
R1 986.25 986.25 981.50 989.50
PP 977.75 977.75 977.75 979.25
S1 971.25 971.25 978.50 974.50
S2 962.75 962.75 977.25
S3 947.75 956.25 976.00
S4 932.75 941.25 971.75
Weekly Pivots for week ending 24-Jul-2009
Classic Woodie Camarilla DeMark
R4 1,099.25 1,083.75 1,002.75
R3 1,054.00 1,038.50 990.25
R2 1,008.75 1,008.75 986.00
R1 993.25 993.25 982.00 1,001.00
PP 963.50 963.50 963.50 967.50
S1 948.00 948.00 973.50 955.75
S2 918.25 918.25 969.50
S3 873.00 902.75 965.25
S4 827.75 857.50 952.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 984.00 939.50 44.50 4.5% 17.75 1.8% 91% True False 1,899,696
10 984.00 892.50 91.50 9.3% 17.00 1.7% 96% True False 1,946,775
20 984.00 865.25 118.75 12.1% 18.00 1.8% 97% True False 1,872,153
40 984.00 865.25 118.75 12.1% 18.50 1.9% 97% True False 1,501,652
60 984.00 859.00 125.00 12.8% 19.75 2.0% 97% True False 1,003,682
80 984.00 799.25 184.75 18.9% 20.75 2.1% 98% True False 753,670
100 984.00 662.00 322.00 32.9% 22.25 2.3% 99% True False 603,076
120 984.00 662.00 322.00 32.9% 22.50 2.3% 99% True False 502,571
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
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 3.90
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,047.75
2.618 1,023.25
1.618 1,008.25
1.000 999.00
0.618 993.25
HIGH 984.00
0.618 978.25
0.500 976.50
0.382 974.75
LOW 969.00
0.618 959.75
1.000 954.00
1.618 944.75
2.618 929.75
4.250 905.25
Fisher Pivots for day following 27-Jul-2009
Pivot 1 day 3 day
R1 978.75 975.50
PP 977.75 971.00
S1 976.50 966.50

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

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