E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 22-Oct-2009
Day Change Summary
Previous Current
21-Oct-2009 22-Oct-2009 Change Change % Previous Week
Open 1,089.00 1,076.50 -12.50 -1.1% 1,067.75
High 1,098.50 1,092.25 -6.25 -0.6% 1,095.50
Low 1,072.50 1,070.25 -2.25 -0.2% 1,063.00
Close 1,078.00 1,090.75 12.75 1.2% 1,082.00
Range 26.00 22.00 -4.00 -15.4% 32.50
ATR 17.19 17.54 0.34 2.0% 0.00
Volume 1,991,669 2,418,114 426,445 21.4% 7,714,338
Daily Pivots for day following 22-Oct-2009
Classic Woodie Camarilla DeMark
R4 1,150.50 1,142.50 1,102.75
R3 1,128.50 1,120.50 1,096.75
R2 1,106.50 1,106.50 1,094.75
R1 1,098.50 1,098.50 1,092.75 1,102.50
PP 1,084.50 1,084.50 1,084.50 1,086.50
S1 1,076.50 1,076.50 1,088.75 1,080.50
S2 1,062.50 1,062.50 1,086.75
S3 1,040.50 1,054.50 1,084.75
S4 1,018.50 1,032.50 1,078.75
Weekly Pivots for week ending 16-Oct-2009
Classic Woodie Camarilla DeMark
R4 1,177.75 1,162.25 1,100.00
R3 1,145.25 1,129.75 1,091.00
R2 1,112.75 1,112.75 1,088.00
R1 1,097.25 1,097.25 1,085.00 1,105.00
PP 1,080.25 1,080.25 1,080.25 1,084.00
S1 1,064.75 1,064.75 1,079.00 1,072.50
S2 1,047.75 1,047.75 1,076.00
S3 1,015.25 1,032.25 1,073.00
S4 982.75 999.75 1,064.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,099.00 1,070.25 28.75 2.6% 20.75 1.9% 71% False True 1,965,184
10 1,099.00 1,058.50 40.50 3.7% 16.50 1.5% 80% False False 1,757,543
20 1,099.00 1,012.00 87.00 8.0% 17.50 1.6% 91% False False 1,932,282
40 1,099.00 986.50 112.50 10.3% 16.75 1.5% 93% False False 1,480,580
60 1,099.00 969.75 129.25 11.8% 17.25 1.6% 94% False False 988,190
80 1,099.00 861.25 237.75 21.8% 17.25 1.6% 97% False False 741,613
100 1,099.00 861.25 237.75 21.8% 17.00 1.6% 97% False False 593,459
120 1,099.00 861.25 237.75 21.8% 17.50 1.6% 97% False False 494,557
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 True
Bear Hook False
Bull Hook False
Stretch 4.73
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,185.75
2.618 1,149.75
1.618 1,127.75
1.000 1,114.25
0.618 1,105.75
HIGH 1,092.25
0.618 1,083.75
0.500 1,081.25
0.382 1,078.75
LOW 1,070.25
0.618 1,056.75
1.000 1,048.25
1.618 1,034.75
2.618 1,012.75
4.250 976.75
Fisher Pivots for day following 22-Oct-2009
Pivot 1 day 3 day
R1 1,087.50 1,088.75
PP 1,084.50 1,086.75
S1 1,081.25 1,084.50

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

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