E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 20-Nov-2009
Day Change Summary
Previous Current
19-Nov-2009 20-Nov-2009 Change Change % Previous Week
Open 1,108.50 1,094.00 -14.50 -1.3% 1,092.00
High 1,109.50 1,095.00 -14.50 -1.3% 1,112.25
Low 1,086.50 1,083.50 -3.00 -0.3% 1,083.50
Close 1,094.25 1,090.00 -4.25 -0.4% 1,090.00
Range 23.00 11.50 -11.50 -50.0% 28.75
ATR 18.05 17.58 -0.47 -2.6% 0.00
Volume 1,480,000 2,047,058 567,058 38.3% 8,514,500
Daily Pivots for day following 20-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,124.00 1,118.50 1,096.25
R3 1,112.50 1,107.00 1,093.25
R2 1,101.00 1,101.00 1,092.00
R1 1,095.50 1,095.50 1,091.00 1,092.50
PP 1,089.50 1,089.50 1,089.50 1,088.00
S1 1,084.00 1,084.00 1,089.00 1,081.00
S2 1,078.00 1,078.00 1,088.00
S3 1,066.50 1,072.50 1,086.75
S4 1,055.00 1,061.00 1,083.75
Weekly Pivots for week ending 20-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,181.50 1,164.50 1,105.75
R3 1,152.75 1,135.75 1,098.00
R2 1,124.00 1,124.00 1,095.25
R1 1,107.00 1,107.00 1,092.75 1,101.00
PP 1,095.25 1,095.25 1,095.25 1,092.25
S1 1,078.25 1,078.25 1,087.25 1,072.50
S2 1,066.50 1,066.50 1,084.75
S3 1,037.75 1,049.50 1,082.00
S4 1,009.00 1,020.75 1,074.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,112.25 1,083.50 28.75 2.6% 15.00 1.4% 23% False True 1,702,900
10 1,112.25 1,065.00 47.25 4.3% 15.50 1.4% 53% False False 1,806,145
20 1,112.25 1,026.00 86.25 7.9% 19.00 1.7% 74% False False 2,156,849
40 1,112.25 1,012.00 100.25 9.2% 18.50 1.7% 78% False False 2,041,292
60 1,112.25 986.50 125.75 11.5% 17.50 1.6% 82% False False 1,742,280
80 1,112.25 971.25 141.00 12.9% 17.75 1.6% 84% False False 1,307,632
100 1,112.25 861.25 251.00 23.0% 17.50 1.6% 91% False False 1,046,494
120 1,112.25 861.25 251.00 23.0% 17.50 1.6% 91% False False 872,226
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 2.30
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,144.00
2.618 1,125.00
1.618 1,113.50
1.000 1,106.50
0.618 1,102.00
HIGH 1,095.00
0.618 1,090.50
0.500 1,089.25
0.382 1,088.00
LOW 1,083.50
0.618 1,076.50
1.000 1,072.00
1.618 1,065.00
2.618 1,053.50
4.250 1,034.50
Fisher Pivots for day following 20-Nov-2009
Pivot 1 day 3 day
R1 1,089.75 1,097.00
PP 1,089.50 1,094.75
S1 1,089.25 1,092.50

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

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