E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 12-Nov-2009
Day Change Summary
Previous Current
11-Nov-2009 12-Nov-2009 Change Change % Previous Week
Open 1,091.75 1,096.00 4.25 0.4% 1,031.25
High 1,103.25 1,101.00 -2.25 -0.2% 1,069.50
Low 1,091.25 1,082.50 -8.75 -0.8% 1,026.00
Close 1,096.25 1,087.25 -9.00 -0.8% 1,066.25
Range 12.00 18.50 6.50 54.2% 43.50
ATR 19.28 19.22 -0.06 -0.3% 0.00
Volume 1,810,118 1,800,698 -9,420 -0.5% 12,785,909
Daily Pivots for day following 12-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,145.75 1,135.00 1,097.50
R3 1,127.25 1,116.50 1,092.25
R2 1,108.75 1,108.75 1,090.75
R1 1,098.00 1,098.00 1,089.00 1,094.00
PP 1,090.25 1,090.25 1,090.25 1,088.25
S1 1,079.50 1,079.50 1,085.50 1,075.50
S2 1,071.75 1,071.75 1,083.75
S3 1,053.25 1,061.00 1,082.25
S4 1,034.75 1,042.50 1,077.00
Weekly Pivots for week ending 06-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,184.50 1,168.75 1,090.25
R3 1,141.00 1,125.25 1,078.25
R2 1,097.50 1,097.50 1,074.25
R1 1,081.75 1,081.75 1,070.25 1,089.50
PP 1,054.00 1,054.00 1,054.00 1,057.75
S1 1,038.25 1,038.25 1,062.25 1,046.00
S2 1,010.50 1,010.50 1,058.25
S3 967.00 994.75 1,054.25
S4 923.50 951.25 1,042.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,103.25 1,053.50 49.75 4.6% 16.50 1.5% 68% False False 1,895,157
10 1,103.25 1,026.00 77.25 7.1% 20.00 1.8% 79% False False 2,261,104
20 1,103.25 1,026.00 77.25 7.1% 21.00 1.9% 79% False False 2,230,631
40 1,103.25 1,012.00 91.25 8.4% 18.50 1.7% 82% False False 2,075,619
60 1,103.25 986.50 116.75 10.7% 18.00 1.6% 86% False False 1,567,300
80 1,103.25 944.75 158.50 14.6% 18.00 1.7% 90% False False 1,176,109
100 1,103.25 861.25 242.00 22.3% 17.75 1.6% 93% False False 941,251
120 1,103.25 861.25 242.00 22.3% 17.50 1.6% 93% False False 784,441
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
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 3.58
Widest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,179.50
2.618 1,149.50
1.618 1,131.00
1.000 1,119.50
0.618 1,112.50
HIGH 1,101.00
0.618 1,094.00
0.500 1,091.75
0.382 1,089.50
LOW 1,082.50
0.618 1,071.00
1.000 1,064.00
1.618 1,052.50
2.618 1,034.00
4.250 1,004.00
Fisher Pivots for day following 12-Nov-2009
Pivot 1 day 3 day
R1 1,091.75 1,093.00
PP 1,090.25 1,091.00
S1 1,088.75 1,089.00

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

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