E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 05-Nov-2009
Day Change Summary
Previous Current
04-Nov-2009 05-Nov-2009 Change Change % Previous Week
Open 1,041.75 1,046.75 5.00 0.5% 1,076.50
High 1,058.50 1,064.00 5.50 0.5% 1,088.50
Low 1,040.75 1,039.00 -1.75 -0.2% 1,029.50
Close 1,047.00 1,063.25 16.25 1.6% 1,033.00
Range 17.75 25.00 7.25 40.8% 59.00
ATR 20.11 20.46 0.35 1.7% 0.00
Volume 2,315,679 2,360,779 45,100 1.9% 12,289,622
Daily Pivots for day following 05-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,130.50 1,121.75 1,077.00
R3 1,105.50 1,096.75 1,070.00
R2 1,080.50 1,080.50 1,067.75
R1 1,071.75 1,071.75 1,065.50 1,076.00
PP 1,055.50 1,055.50 1,055.50 1,057.50
S1 1,046.75 1,046.75 1,061.00 1,051.00
S2 1,030.50 1,030.50 1,058.75
S3 1,005.50 1,021.75 1,056.50
S4 980.50 996.75 1,049.50
Weekly Pivots for week ending 30-Oct-2009
Classic Woodie Camarilla DeMark
R4 1,227.25 1,189.25 1,065.50
R3 1,168.25 1,130.25 1,049.25
R2 1,109.25 1,109.25 1,043.75
R1 1,071.25 1,071.25 1,038.50 1,060.75
PP 1,050.25 1,050.25 1,050.25 1,045.00
S1 1,012.25 1,012.25 1,027.50 1,001.75
S2 991.25 991.25 1,022.25
S3 932.25 953.25 1,016.75
S4 873.25 894.25 1,000.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,064.00 1,026.00 38.00 3.6% 23.50 2.2% 98% True False 2,627,052
10 1,095.25 1,026.00 69.25 6.5% 23.25 2.2% 54% False False 2,531,091
20 1,099.00 1,026.00 73.00 6.9% 19.75 1.9% 51% False False 2,144,317
40 1,099.00 1,012.00 87.00 8.2% 18.50 1.7% 59% False False 2,096,456
60 1,099.00 971.25 127.75 12.0% 18.25 1.7% 72% False False 1,409,725
80 1,099.00 917.00 182.00 17.1% 17.75 1.7% 80% False False 1,057,745
100 1,099.00 861.25 237.75 22.4% 17.75 1.7% 85% False False 846,550
120 1,099.00 861.25 237.75 22.4% 17.75 1.7% 85% False False 705,477
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 False
WS7 False
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.40
Widest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1,170.25
2.618 1,129.50
1.618 1,104.50
1.000 1,089.00
0.618 1,079.50
HIGH 1,064.00
0.618 1,054.50
0.500 1,051.50
0.382 1,048.50
LOW 1,039.00
0.618 1,023.50
1.000 1,014.00
1.618 998.50
2.618 973.50
4.250 932.75
Fisher Pivots for day following 05-Nov-2009
Pivot 1 day 3 day
R1 1,059.25 1,057.25
PP 1,055.50 1,051.25
S1 1,051.50 1,045.25

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

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