E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 01-Sep-2009
Day Change Summary
Previous Current
31-Aug-2009 01-Sep-2009 Change Change % Previous Week
Open 1,026.50 1,021.00 -5.50 -0.5% 1,025.00
High 1,031.00 1,027.75 -3.25 -0.3% 1,038.75
Low 1,013.25 995.25 -18.00 -1.8% 1,014.75
Close 1,019.75 996.50 -23.25 -2.3% 1,027.50
Range 17.75 32.50 14.75 83.1% 24.00
ATR 18.40 19.41 1.01 5.5% 0.00
Volume 1,570,206 1,647,166 76,960 4.9% 9,681,168
Daily Pivots for day following 01-Sep-2009
Classic Woodie Camarilla DeMark
R4 1,104.00 1,082.75 1,014.50
R3 1,071.50 1,050.25 1,005.50
R2 1,039.00 1,039.00 1,002.50
R1 1,017.75 1,017.75 999.50 1,012.00
PP 1,006.50 1,006.50 1,006.50 1,003.75
S1 985.25 985.25 993.50 979.50
S2 974.00 974.00 990.50
S3 941.50 952.75 987.50
S4 909.00 920.25 978.50
Weekly Pivots for week ending 28-Aug-2009
Classic Woodie Camarilla DeMark
R4 1,099.00 1,087.25 1,040.75
R3 1,075.00 1,063.25 1,034.00
R2 1,051.00 1,051.00 1,032.00
R1 1,039.25 1,039.25 1,029.75 1,045.00
PP 1,027.00 1,027.00 1,027.00 1,030.00
S1 1,015.25 1,015.25 1,025.25 1,021.00
S2 1,003.00 1,003.00 1,023.00
S3 979.00 991.25 1,021.00
S4 955.00 967.25 1,014.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,038.75 995.25 43.50 4.4% 19.25 1.9% 3% False True 1,848,040
10 1,038.75 976.75 62.00 6.2% 19.50 2.0% 32% False False 1,841,932
20 1,038.75 975.50 63.25 6.3% 19.75 2.0% 33% False False 1,828,786
40 1,038.75 865.25 173.50 17.4% 18.25 1.8% 76% False False 1,886,007
60 1,038.75 865.25 173.50 17.4% 18.25 1.8% 76% False False 1,796,600
80 1,038.75 865.25 173.50 17.4% 19.25 1.9% 76% False False 1,351,632
100 1,038.75 819.75 219.00 22.0% 20.00 2.0% 81% False False 1,082,227
120 1,038.75 738.25 300.50 30.2% 21.25 2.1% 86% False False 902,046
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 6.00
Widest range in 69 trading days
Fibonacci Retracements and Extensions
4.250 1,166.00
2.618 1,112.75
1.618 1,080.25
1.000 1,060.25
0.618 1,047.75
HIGH 1,027.75
0.618 1,015.25
0.500 1,011.50
0.382 1,007.75
LOW 995.25
0.618 975.25
1.000 962.75
1.618 942.75
2.618 910.25
4.250 857.00
Fisher Pivots for day following 01-Sep-2009
Pivot 1 day 3 day
R1 1,011.50 1,017.00
PP 1,006.50 1,010.25
S1 1,001.50 1,003.25

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

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