E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 13-Aug-2009
Day Change Summary
Previous Current
12-Aug-2009 13-Aug-2009 Change Change % Previous Week
Open 992.50 1,002.25 9.75 1.0% 982.75
High 1,011.25 1,015.25 4.00 0.4% 1,016.00
Low 985.75 998.00 12.25 1.2% 982.00
Close 1,002.25 1,013.50 11.25 1.1% 1,006.50
Range 25.50 17.25 -8.25 -32.4% 34.00
ATR 18.07 18.01 -0.06 -0.3% 0.00
Volume 1,612,512 2,040,882 428,370 26.6% 9,305,830
Daily Pivots for day following 13-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,060.75 1,054.25 1,023.00
R3 1,043.50 1,037.00 1,018.25
R2 1,026.25 1,026.25 1,016.75
R1 1,019.75 1,019.75 1,015.00 1,023.00
PP 1,009.00 1,009.00 1,009.00 1,010.50
S1 1,002.50 1,002.50 1,012.00 1,005.75
S2 991.75 991.75 1,010.25
S3 974.50 985.25 1,008.75
S4 957.25 968.00 1,004.00
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 1,016.00 985.75 30.25 3.0% 19.75 2.0% 92% False False 1,710,696
10 1,016.00 978.25 37.75 3.7% 17.75 1.7% 93% False False 1,832,973
20 1,016.00 928.00 88.00 8.7% 17.00 1.7% 97% False False 1,843,423
40 1,016.00 865.25 150.75 14.9% 17.75 1.7% 98% False False 1,871,916
60 1,016.00 865.25 150.75 14.9% 18.75 1.8% 98% False False 1,396,621
80 1,016.00 827.75 188.25 18.6% 19.50 1.9% 99% False False 1,048,968
100 1,016.00 772.25 243.75 24.1% 20.75 2.0% 99% False False 839,589
120 1,016.00 662.00 354.00 34.9% 22.00 2.2% 99% False False 699,675
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 True
Bear Hook False
Bull Hook False
Stretch 4.05
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,088.50
2.618 1,060.50
1.618 1,043.25
1.000 1,032.50
0.618 1,026.00
HIGH 1,015.25
0.618 1,008.75
0.500 1,006.50
0.382 1,004.50
LOW 998.00
0.618 987.25
1.000 980.75
1.618 970.00
2.618 952.75
4.250 924.75
Fisher Pivots for day following 13-Aug-2009
Pivot 1 day 3 day
R1 1,011.25 1,009.25
PP 1,009.00 1,004.75
S1 1,006.50 1,000.50

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

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