E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 14-Aug-2009
Day Change Summary
Previous Current
13-Aug-2009 14-Aug-2009 Change Change % Previous Week
Open 1,002.25 1,013.00 10.75 1.1% 1,005.75
High 1,015.25 1,015.75 0.50 0.0% 1,015.75
Low 998.00 992.25 -5.75 -0.6% 985.75
Close 1,013.50 1,005.75 -7.75 -0.8% 1,005.75
Range 17.25 23.50 6.25 36.2% 30.00
ATR 18.01 18.40 0.39 2.2% 0.00
Volume 2,040,882 1,828,176 -212,706 -10.4% 8,649,822
Daily Pivots for day following 14-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,075.00 1,064.00 1,018.75
R3 1,051.50 1,040.50 1,012.25
R2 1,028.00 1,028.00 1,010.00
R1 1,017.00 1,017.00 1,008.00 1,010.75
PP 1,004.50 1,004.50 1,004.50 1,001.50
S1 993.50 993.50 1,003.50 987.25
S2 981.00 981.00 1,001.50
S3 957.50 970.00 999.25
S4 934.00 946.50 992.75
Weekly Pivots for week ending 14-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,092.50 1,079.00 1,022.25
R3 1,062.50 1,049.00 1,014.00
R2 1,032.50 1,032.50 1,011.25
R1 1,019.00 1,019.00 1,008.50 1,020.75
PP 1,002.50 1,002.50 1,002.50 1,003.25
S1 989.00 989.00 1,003.00 990.75
S2 972.50 972.50 1,000.25
S3 942.50 959.00 997.50
S4 912.50 929.00 989.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,015.75 985.75 30.00 3.0% 19.25 1.9% 67% True False 1,729,964
10 1,016.00 982.00 34.00 3.4% 18.75 1.9% 70% False False 1,795,565
20 1,016.00 933.75 82.25 8.2% 17.75 1.8% 88% False False 1,825,263
40 1,016.00 865.25 150.75 15.0% 18.00 1.8% 93% False False 1,858,566
60 1,016.00 865.25 150.75 15.0% 18.75 1.9% 93% False False 1,426,922
80 1,016.00 827.75 188.25 18.7% 19.50 1.9% 95% False False 1,071,737
100 1,016.00 772.25 243.75 24.2% 20.75 2.1% 96% False False 857,860
120 1,016.00 662.00 354.00 35.2% 22.00 2.2% 97% False False 714,910
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 False
3BNR False
4BNR False
8BNR True
Bear Hook False
Bull Hook False
Stretch 3.93
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,115.50
2.618 1,077.25
1.618 1,053.75
1.000 1,039.25
0.618 1,030.25
HIGH 1,015.75
0.618 1,006.75
0.500 1,004.00
0.382 1,001.25
LOW 992.25
0.618 977.75
1.000 968.75
1.618 954.25
2.618 930.75
4.250 892.50
Fisher Pivots for day following 14-Aug-2009
Pivot 1 day 3 day
R1 1,005.25 1,004.00
PP 1,004.50 1,002.50
S1 1,004.00 1,000.75

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

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