E-mini S&P 500 Future September 2009

Trading Metrics calculated at close of trading on 03-Sep-2009

Day Change Summary
	Previous	Current
	02-Sep-2009	03-Sep-2009	Change	Change %	Previous Week
Open	996.25	994.00	-2.25	-0.2%	1,025.00
High	1,001.00	1,004.25	3.25	0.3%	1,038.75
Low	991.00	991.25	0.25	0.0%	1,014.75
Close	994.25	1,001.75	7.50	0.8%	1,027.50
Range	10.00	13.00	3.00	30.0%	24.00
ATR	18.74	18.33	-0.41	-2.2%	0.00
Volume	3,206,696	1,920,576	-1,286,120	-40.1%	9,681,168

Daily Pivots for day following 03-Sep-2009
	Classic	Woodie	Camarilla	DeMark
R4	1,038.00	1,033.00	1,009.00
R3	1,025.00	1,020.00	1,005.25
R2	1,012.00	1,012.00	1,004.25
R1	1,007.00	1,007.00	1,003.00	1,009.50
PP	999.00	999.00	999.00	1,000.50
S1	994.00	994.00	1,000.50	996.50
S2	986.00	986.00	999.25
S3	973.00	981.00	998.25
S4	960.00	968.00	994.50

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	991.00	47.75	4.8%	18.00	1.8%	23%	False	False	2,082,635
10	1,038.75	991.00	47.75	4.8%	18.50	1.8%	23%	False	False	1,966,569
20	1,038.75	975.50	63.25	6.3%	19.25	1.9%	42%	False	False	1,898,309
40	1,038.75	865.50	173.25	17.3%	18.00	1.8%	79%	False	False	1,903,451
60	1,038.75	865.25	173.50	17.3%	18.00	1.8%	79%	False	False	1,877,802
80	1,038.75	865.25	173.50	17.3%	19.00	1.9%	79%	False	False	1,415,517
100	1,038.75	819.75	219.00	21.9%	19.75	2.0%	83%	False	False	1,133,470
120	1,038.75	745.25	293.50	29.3%	21.00	2.1%	87%	False	False	944,772

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	False
WS5	False
WS7	False
ID	False
OD	False
IDnr4	False
2BNR	True
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	5.58
Widest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	1,059.50
2.618	1,038.25
1.618	1,025.25
1.000	1,017.25
0.618	1,012.25
HIGH	1,004.25
0.618	999.25
0.500	997.75
0.382	996.25
LOW	991.25
0.618	983.25
1.000	978.25
1.618	970.25
2.618	957.25
4.250	936.00

Fisher Pivots for day following 03-Sep-2009
Pivot	1 day	3 day
R1	1,000.50	1,009.50
PP	999.00	1,006.75
S1	997.75	1,004.25

Download as Excel Spreadsheet

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

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