E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 02-Sep-2009
Day Change Summary
Previous Current
01-Sep-2009 02-Sep-2009 Change Change % Previous Week
Open 1,021.00 996.25 -24.75 -2.4% 1,025.00
High 1,027.75 1,001.00 -26.75 -2.6% 1,038.75
Low 995.25 991.00 -4.25 -0.4% 1,014.75
Close 996.50 994.25 -2.25 -0.2% 1,027.50
Range 32.50 10.00 -22.50 -69.2% 24.00
ATR 19.41 18.74 -0.67 -3.5% 0.00
Volume 1,647,166 3,206,696 1,559,530 94.7% 9,681,168
Daily Pivots for day following 02-Sep-2009
Classic Woodie Camarilla DeMark
R4 1,025.50 1,019.75 999.75
R3 1,015.50 1,009.75 997.00
R2 1,005.50 1,005.50 996.00
R1 999.75 999.75 995.25 997.50
PP 995.50 995.50 995.50 994.25
S1 989.75 989.75 993.25 987.50
S2 985.50 985.50 992.50
S3 975.50 979.75 991.50
S4 965.50 969.75 988.75
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 1,038.75 991.00 47.75 4.8% 19.00 1.9% 7% False True 2,075,789
10 1,038.75 991.00 47.75 4.8% 18.50 1.9% 7% False True 1,987,262
20 1,038.75 975.50 63.25 6.4% 19.50 2.0% 30% False False 1,895,406
40 1,038.75 865.50 173.25 17.4% 18.00 1.8% 74% False False 1,917,911
60 1,038.75 865.25 173.50 17.5% 18.25 1.8% 74% False False 1,848,757
80 1,038.75 865.25 173.50 17.5% 19.00 1.9% 74% False False 1,391,598
100 1,038.75 819.75 219.00 22.0% 19.75 2.0% 80% False False 1,114,278
120 1,038.75 745.25 293.50 29.5% 21.00 2.1% 85% False False 928,768
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.55
Narrowest range in 17 trading days
Fibonacci Retracements and Extensions
4.250 1,043.50
2.618 1,027.25
1.618 1,017.25
1.000 1,011.00
0.618 1,007.25
HIGH 1,001.00
0.618 997.25
0.500 996.00
0.382 994.75
LOW 991.00
0.618 984.75
1.000 981.00
1.618 974.75
2.618 964.75
4.250 948.50
Fisher Pivots for day following 02-Sep-2009
Pivot 1 day 3 day
R1 996.00 1,011.00
PP 995.50 1,005.50
S1 994.75 999.75

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

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