E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 07-Aug-2009
Day Change Summary
Previous Current
06-Aug-2009 07-Aug-2009 Change Change % Previous Week
Open 1,000.25 994.75 -5.50 -0.5% 982.75
High 1,007.75 1,016.00 8.25 0.8% 1,016.00
Low 989.75 990.00 0.25 0.0% 982.00
Close 995.00 1,006.50 11.50 1.2% 1,006.50
Range 18.00 26.00 8.00 44.4% 34.00
ATR 17.22 17.84 0.63 3.6% 0.00
Volume 1,862,527 1,731,836 -130,691 -7.0% 9,305,830
Daily Pivots for day following 07-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,082.25 1,070.25 1,020.75
R3 1,056.25 1,044.25 1,013.75
R2 1,030.25 1,030.25 1,011.25
R1 1,018.25 1,018.25 1,009.00 1,024.25
PP 1,004.25 1,004.25 1,004.25 1,007.00
S1 992.25 992.25 1,004.00 998.25
S2 978.25 978.25 1,001.75
S3 952.25 966.25 999.25
S4 926.25 940.25 992.25
Weekly Pivots for week ending 07-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,103.50 1,089.00 1,025.25
R3 1,069.50 1,055.00 1,015.75
R2 1,035.50 1,035.50 1,012.75
R1 1,021.00 1,021.00 1,009.50 1,028.25
PP 1,001.50 1,001.50 1,001.50 1,005.00
S1 987.00 987.00 1,003.50 994.25
S2 967.50 967.50 1,000.25
S3 933.50 953.00 997.25
S4 899.50 919.00 987.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,016.00 982.00 34.00 3.4% 18.25 1.8% 72% True False 1,861,166
10 1,016.00 964.00 52.00 5.2% 16.75 1.7% 82% True False 1,851,330
20 1,016.00 865.50 150.50 15.0% 17.75 1.8% 94% True False 1,906,226
40 1,016.00 865.25 150.75 15.0% 17.50 1.7% 94% True False 1,900,850
60 1,016.00 865.25 150.75 15.0% 18.75 1.9% 94% True False 1,283,385
80 1,016.00 819.75 196.25 19.5% 20.00 2.0% 95% True False 963,893
100 1,016.00 758.25 257.75 25.6% 21.25 2.1% 96% True False 771,379
120 1,016.00 662.00 354.00 35.2% 22.25 2.2% 97% True False 642,829
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.50
Widest range in 11 trading days
Fibonacci Retracements and Extensions
4.250 1,126.50
2.618 1,084.00
1.618 1,058.00
1.000 1,042.00
0.618 1,032.00
HIGH 1,016.00
0.618 1,006.00
0.500 1,003.00
0.382 1,000.00
LOW 990.00
0.618 974.00
1.000 964.00
1.618 948.00
2.618 922.00
4.250 879.50
Fisher Pivots for day following 07-Aug-2009
Pivot 1 day 3 day
R1 1,005.25 1,005.25
PP 1,004.25 1,004.00
S1 1,003.00 1,003.00

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

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