E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 04-Aug-2009
Day Change Summary
Previous Current
03-Aug-2009 04-Aug-2009 Change Change % Previous Week
Open 982.75 1,000.25 17.50 1.8% 977.00
High 1,001.25 1,005.00 3.75 0.4% 994.00
Low 982.00 992.00 10.00 1.0% 964.00
Close 1,000.75 1,004.75 4.00 0.4% 984.50
Range 19.25 13.00 -6.25 -32.5% 30.00
ATR 17.63 17.30 -0.33 -1.9% 0.00
Volume 2,082,892 1,754,282 -328,610 -15.8% 9,207,471
Daily Pivots for day following 04-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,039.50 1,035.25 1,012.00
R3 1,026.50 1,022.25 1,008.25
R2 1,013.50 1,013.50 1,007.25
R1 1,009.25 1,009.25 1,006.00 1,011.50
PP 1,000.50 1,000.50 1,000.50 1,001.75
S1 996.25 996.25 1,003.50 998.50
S2 987.50 987.50 1,002.25
S3 974.50 983.25 1,001.25
S4 961.50 970.25 997.50
Weekly Pivots for week ending 31-Jul-2009
Classic Woodie Camarilla DeMark
R4 1,070.75 1,057.75 1,001.00
R3 1,040.75 1,027.75 992.75
R2 1,010.75 1,010.75 990.00
R1 997.75 997.75 987.25 1,004.25
PP 980.75 980.75 980.75 984.00
S1 967.75 967.75 981.75 974.25
S2 950.75 950.75 979.00
S3 920.75 937.75 976.25
S4 890.75 907.75 968.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,005.00 964.00 41.00 4.1% 15.50 1.5% 99% True False 1,968,173
10 1,005.00 943.50 61.50 6.1% 16.50 1.6% 100% True False 1,928,617
20 1,005.00 865.25 139.75 13.9% 16.75 1.7% 100% True False 1,943,228
40 1,005.00 865.25 139.75 13.9% 17.50 1.7% 100% True False 1,780,507
60 1,005.00 865.25 139.75 13.9% 19.00 1.9% 100% True False 1,192,581
80 1,005.00 819.75 185.25 18.4% 20.00 2.0% 100% True False 895,587
100 1,005.00 738.25 266.75 26.5% 21.50 2.1% 100% True False 716,697
120 1,005.00 662.00 343.00 34.1% 22.25 2.2% 100% True False 597,257
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 2.98
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,060.25
2.618 1,039.00
1.618 1,026.00
1.000 1,018.00
0.618 1,013.00
HIGH 1,005.00
0.618 1,000.00
0.500 998.50
0.382 997.00
LOW 992.00
0.618 984.00
1.000 979.00
1.618 971.00
2.618 958.00
4.250 936.75
Fisher Pivots for day following 04-Aug-2009
Pivot 1 day 3 day
R1 1,002.75 1,000.50
PP 1,000.50 996.00
S1 998.50 991.50

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

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