E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 17-Sep-2009
Day Change Summary
Previous Current
16-Sep-2009 17-Sep-2009 Change Change % Previous Week
Open 1,045.75 1,063.25 17.50 1.7% 1,010.25
High 1,064.00 1,071.50 7.50 0.7% 1,043.75
Low 1,044.50 1,056.25 11.75 1.1% 1,008.25
Close 1,063.50 1,062.75 -0.75 -0.1% 1,037.25
Range 19.50 15.25 -4.25 -21.8% 35.50
ATR 17.00 16.88 -0.13 -0.7% 0.00
Volume 2,605,342 2,485,619 -119,723 -4.6% 2,029,370
Daily Pivots for day following 17-Sep-2009
Classic Woodie Camarilla DeMark
R4 1,109.25 1,101.25 1,071.25
R3 1,094.00 1,086.00 1,067.00
R2 1,078.75 1,078.75 1,065.50
R1 1,070.75 1,070.75 1,064.25 1,067.00
PP 1,063.50 1,063.50 1,063.50 1,061.75
S1 1,055.50 1,055.50 1,061.25 1,052.00
S2 1,048.25 1,048.25 1,060.00
S3 1,033.00 1,040.25 1,058.50
S4 1,017.75 1,025.00 1,054.25
Weekly Pivots for week ending 11-Sep-2009
Classic Woodie Camarilla DeMark
R4 1,136.25 1,122.25 1,056.75
R3 1,100.75 1,086.75 1,047.00
R2 1,065.25 1,065.25 1,043.75
R1 1,051.25 1,051.25 1,040.50 1,058.25
PP 1,029.75 1,029.75 1,029.75 1,033.25
S1 1,015.75 1,015.75 1,034.00 1,022.75
S2 994.25 994.25 1,030.75
S3 958.75 980.25 1,027.50
S4 923.25 944.75 1,017.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,071.50 1,025.50 46.00 4.3% 15.75 1.5% 81% True False 2,061,856
10 1,071.50 987.00 84.50 8.0% 15.50 1.5% 90% True False 1,088,821
20 1,071.50 986.50 85.00 8.0% 16.75 1.6% 90% True False 550,661
40 1,071.50 944.75 126.75 11.9% 17.50 1.6% 93% True False 276,599
60 1,071.50 861.25 210.25 19.8% 17.25 1.6% 96% True False 185,006
80 1,071.50 861.25 210.25 19.8% 17.00 1.6% 96% True False 138,851
100 1,071.50 857.00 214.50 20.2% 17.50 1.7% 96% True False 111,088
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 4.23
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,136.25
2.618 1,111.50
1.618 1,096.25
1.000 1,086.75
0.618 1,081.00
HIGH 1,071.50
0.618 1,065.75
0.500 1,064.00
0.382 1,062.00
LOW 1,056.25
0.618 1,046.75
1.000 1,041.00
1.618 1,031.50
2.618 1,016.25
4.250 991.50
Fisher Pivots for day following 17-Sep-2009
Pivot 1 day 3 day
R1 1,064.00 1,060.00
PP 1,063.50 1,057.50
S1 1,063.00 1,055.00

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

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