E-mini S&P 500 Future December 2009

Trading Metrics calculated at close of trading on 21-Sep-2009

Day Change Summary
	Previous	Current
	18-Sep-2009	21-Sep-2009	Change	Change %	Previous Week
Open	1,063.00	1,059.25	-3.75	-0.4%	1,036.00
High	1,067.75	1,062.75	-5.00	-0.5%	1,071.50
Low	1,056.00	1,051.50	-4.50	-0.4%	1,025.50
Close	1,061.00	1,060.50	-0.50	0.0%	1,061.00
Range	11.75	11.25	-0.50	-4.3%	46.00
ATR	16.51	16.14	-0.38	-2.3%	0.00
Volume	2,477,295	1,872,677	-604,618	-24.4%	11,275,951

Daily Pivots for day following 21-Sep-2009
	Classic	Woodie	Camarilla	DeMark
R4	1,092.00	1,087.50	1,066.75
R3	1,080.75	1,076.25	1,063.50
R2	1,069.50	1,069.50	1,062.50
R1	1,065.00	1,065.00	1,061.50	1,067.25
PP	1,058.25	1,058.25	1,058.25	1,059.50
S1	1,053.75	1,053.75	1,059.50	1,056.00
S2	1,047.00	1,047.00	1,058.50
S3	1,035.75	1,042.50	1,057.50
S4	1,024.50	1,031.25	1,054.25

Weekly Pivots for week ending 18-Sep-2009
	Classic	Woodie	Camarilla	DeMark
R4	1,190.75	1,171.75	1,086.25
R3	1,144.75	1,125.75	1,073.75
R2	1,098.75	1,098.75	1,069.50
R1	1,079.75	1,079.75	1,065.25	1,089.25
PP	1,052.75	1,052.75	1,052.75	1,057.50
S1	1,033.75	1,033.75	1,056.75	1,043.25
S2	1,006.75	1,006.75	1,052.50
S3	960.75	987.75	1,048.25
S4	914.75	941.75	1,035.75

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	1,038.25	33.25	3.1%	14.25	1.3%	67%	False	False	2,277,538
10	1,071.50	1,008.25	63.25	6.0%	15.00	1.4%	83%	False	False	1,517,799
20	1,071.50	986.50	85.00	8.0%	15.75	1.5%	87%	False	False	767,709
40	1,071.50	960.00	111.50	10.5%	17.00	1.6%	90%	False	False	385,200
60	1,071.50	861.25	210.25	19.8%	17.00	1.6%	95%	False	False	257,411
80	1,071.50	861.25	210.25	19.8%	16.75	1.6%	95%	False	False	193,225
100	1,071.50	857.00	214.50	20.2%	17.50	1.7%	95%	False	False	154,587

Crabel Price Patterns
NR	True
NR4	True
NR5	True
NR7	False
WS	False
WS4	False
WS5	False
WS7	False
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	True
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	4.63
Narrowest range in 6 trading days

Fibonacci Retracements and Extensions
4.250	1,110.50
2.618	1,092.25
1.618	1,081.00
1.000	1,074.00
0.618	1,069.75
HIGH	1,062.75
0.618	1,058.50
0.500	1,057.00
0.382	1,055.75
LOW	1,051.50
0.618	1,044.50
1.000	1,040.25
1.618	1,033.25
2.618	1,022.00
4.250	1,003.75

Fisher Pivots for day following 21-Sep-2009
Pivot	1 day	3 day
R1	1,059.50	1,061.50
PP	1,058.25	1,061.25
S1	1,057.00	1,060.75

Download as Excel Spreadsheet

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

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