E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 10-Sep-2009
Day Change Summary
Previous Current
09-Sep-2009 10-Sep-2009 Change Change % Previous Week
Open 1,024.50 1,032.50 8.00 0.8% 1,026.50
High 1,036.25 1,044.00 7.75 0.7% 1,031.00
Low 1,018.75 1,027.50 8.75 0.9% 991.00
Close 1,032.50 1,041.75 9.25 0.9% 1,014.00
Range 17.50 16.50 -1.00 -5.7% 40.00
ATR 17.90 17.80 -0.10 -0.6% 0.00
Volume 1,527,757 2,091,726 563,969 36.9% 9,742,653
Daily Pivots for day following 10-Sep-2009
Classic Woodie Camarilla DeMark
R4 1,087.25 1,081.00 1,050.75
R3 1,070.75 1,064.50 1,046.25
R2 1,054.25 1,054.25 1,044.75
R1 1,048.00 1,048.00 1,043.25 1,051.00
PP 1,037.75 1,037.75 1,037.75 1,039.25
S1 1,031.50 1,031.50 1,040.25 1,034.50
S2 1,021.25 1,021.25 1,038.75
S3 1,004.75 1,015.00 1,037.25
S4 988.25 998.50 1,032.75
Weekly Pivots for week ending 04-Sep-2009
Classic Woodie Camarilla DeMark
R4 1,132.00 1,113.00 1,036.00
R3 1,092.00 1,073.00 1,025.00
R2 1,052.00 1,052.00 1,021.25
R1 1,033.00 1,033.00 1,017.75 1,022.50
PP 1,012.00 1,012.00 1,012.00 1,006.75
S1 993.00 993.00 1,010.25 982.50
S2 972.00 972.00 1,006.75
S3 932.00 953.00 1,003.00
S4 892.00 913.00 992.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,044.00 991.25 52.75 5.1% 15.50 1.5% 96% True False 1,712,808
10 1,044.00 991.00 53.00 5.1% 17.25 1.7% 96% True False 1,894,299
20 1,044.00 975.50 68.50 6.6% 18.50 1.8% 97% True False 1,904,852
40 1,044.00 921.00 123.00 11.8% 17.75 1.7% 98% True False 1,877,823
60 1,044.00 865.25 178.75 17.2% 17.75 1.7% 99% True False 1,886,672
80 1,044.00 865.25 178.75 17.2% 18.50 1.8% 99% True False 1,498,258
100 1,044.00 819.75 224.25 21.5% 19.50 1.9% 99% True False 1,199,771
120 1,044.00 772.25 271.75 26.1% 20.50 2.0% 99% True False 1,000,126
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 False
Bear Hook False
Bull Hook False
Stretch 4.60
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,114.00
2.618 1,087.25
1.618 1,070.75
1.000 1,060.50
0.618 1,054.25
HIGH 1,044.00
0.618 1,037.75
0.500 1,035.75
0.382 1,033.75
LOW 1,027.50
0.618 1,017.25
1.000 1,011.00
1.618 1,000.75
2.618 984.25
4.250 957.50
Fisher Pivots for day following 10-Sep-2009
Pivot 1 day 3 day
R1 1,039.75 1,037.25
PP 1,037.75 1,032.75
S1 1,035.75 1,028.00

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

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