E-mini S&P 500 Future September 2009

Trading Metrics calculated at close of trading on 05-Aug-2009

Day Change Summary
	Previous	Current
	04-Aug-2009	05-Aug-2009	Change	Change %	Previous Week
Open	1,000.25	1,004.50	4.25	0.4%	977.00
High	1,005.00	1,006.50	1.50	0.1%	994.00
Low	992.00	991.25	-0.75	-0.1%	964.00
Close	1,004.75	1,000.75	-4.00	-0.4%	984.50
Range	13.00	15.25	2.25	17.3%	30.00
ATR	17.30	17.15	-0.15	-0.8%	0.00
Volume	1,754,282	1,874,293	120,011	6.8%	9,207,471

Daily Pivots for day following 05-Aug-2009
	Classic	Woodie	Camarilla	DeMark
R4	1,045.25	1,038.25	1,009.25
R3	1,030.00	1,023.00	1,005.00
R2	1,014.75	1,014.75	1,003.50
R1	1,007.75	1,007.75	1,002.25	1,003.50
PP	999.50	999.50	999.50	997.50
S1	992.50	992.50	999.25	988.50
S2	984.25	984.25	998.00
S3	969.00	977.25	996.50
S4	953.75	962.00	992.25

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	1,006.50	973.50	33.00	3.3%	16.00	1.6%	83%	True	False	1,956,591
10	1,006.50	948.75	57.75	5.8%	16.75	1.7%	90%	True	False	1,926,794
20	1,006.50	865.50	141.00	14.1%	16.75	1.7%	96%	True	False	1,940,415
40	1,006.50	865.25	141.25	14.1%	17.75	1.8%	96%	True	False	1,825,433
60	1,006.50	865.25	141.25	14.1%	19.00	1.9%	96%	True	False	1,223,663
80	1,006.50	819.75	186.75	18.7%	20.00	2.0%	97%	True	False	918,996
100	1,006.50	745.25	261.25	26.1%	21.50	2.1%	98%	True	False	735,440
120	1,006.50	662.00	344.50	34.4%	22.25	2.2%	98%	True	False	612,876

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	2.68
Widest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	1,071.25
2.618	1,046.50
1.618	1,031.25
1.000	1,021.75
0.618	1,016.00
HIGH	1,006.50
0.618	1,000.75
0.500	999.00
0.382	997.00
LOW	991.25
0.618	981.75
1.000	976.00
1.618	966.50
2.618	951.25
4.250	926.50

Fisher Pivots for day following 05-Aug-2009
Pivot	1 day	3 day
R1	1,000.00	998.50
PP	999.50	996.50
S1	999.00	994.25

Download as Excel Spreadsheet

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

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