E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 11-Dec-2009
Day Change Summary
Previous Current
10-Dec-2009 11-Dec-2009 Change Change % Previous Week
Open 1,095.00 1,102.50 7.50 0.7% 1,108.00
High 1,106.25 1,110.50 4.25 0.4% 1,110.75
Low 1,092.50 1,101.25 8.75 0.8% 1,085.00
Close 1,102.00 1,108.00 6.00 0.5% 1,108.00
Range 13.75 9.25 -4.50 -32.7% 25.75
ATR 17.41 16.83 -0.58 -3.3% 0.00
Volume 2,239,481 1,327,831 -911,650 -40.7% 10,320,449
Daily Pivots for day following 11-Dec-2009
Classic Woodie Camarilla DeMark
R4 1,134.25 1,130.50 1,113.00
R3 1,125.00 1,121.25 1,110.50
R2 1,115.75 1,115.75 1,109.75
R1 1,112.00 1,112.00 1,108.75 1,114.00
PP 1,106.50 1,106.50 1,106.50 1,107.50
S1 1,102.75 1,102.75 1,107.25 1,104.50
S2 1,097.25 1,097.25 1,106.25
S3 1,088.00 1,093.50 1,105.50
S4 1,078.75 1,084.25 1,103.00
Weekly Pivots for week ending 11-Dec-2009
Classic Woodie Camarilla DeMark
R4 1,178.50 1,169.00 1,122.25
R3 1,152.75 1,143.25 1,115.00
R2 1,127.00 1,127.00 1,112.75
R1 1,117.50 1,117.50 1,110.25 1,121.00
PP 1,101.25 1,101.25 1,101.25 1,103.00
S1 1,091.75 1,091.75 1,105.75 1,095.00
S2 1,075.50 1,075.50 1,103.25
S3 1,049.75 1,066.00 1,101.00
S4 1,024.00 1,040.25 1,093.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,110.75 1,085.00 25.75 2.3% 13.50 1.2% 89% False False 2,064,089
10 1,119.00 1,084.50 34.50 3.1% 15.50 1.4% 68% False False 1,960,171
20 1,119.00 1,067.00 52.00 4.7% 16.25 1.5% 79% False False 1,789,785
40 1,119.00 1,026.00 93.00 8.4% 18.50 1.7% 88% False False 2,010,208
60 1,119.00 1,012.00 107.00 9.7% 17.75 1.6% 90% False False 1,980,341
80 1,119.00 986.50 132.50 12.0% 17.50 1.6% 92% False False 1,622,921
100 1,119.00 944.75 174.25 15.7% 17.75 1.6% 94% False False 1,298,844
120 1,119.00 861.25 257.75 23.3% 17.50 1.6% 96% False False 1,082,674
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
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 3.70
Narrowest range in 11 trading days
Fibonacci Retracements and Extensions
4.250 1,149.75
2.618 1,134.75
1.618 1,125.50
1.000 1,119.75
0.618 1,116.25
HIGH 1,110.50
0.618 1,107.00
0.500 1,106.00
0.382 1,104.75
LOW 1,101.25
0.618 1,095.50
1.000 1,092.00
1.618 1,086.25
2.618 1,077.00
4.250 1,062.00
Fisher Pivots for day following 11-Dec-2009
Pivot 1 day 3 day
R1 1,107.25 1,104.50
PP 1,106.50 1,101.25
S1 1,106.00 1,097.75

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

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