E-mini S&P 500 Future December 2009


Trading Metrics calculated at close of trading on 15-Dec-2009
Day Change Summary
Previous Current
14-Dec-2009 15-Dec-2009 Change Change % Previous Week
Open 1,107.50 1,112.75 5.25 0.5% 1,108.00
High 1,118.00 1,115.75 -2.25 -0.2% 1,110.75
Low 1,104.50 1,105.25 0.75 0.1% 1,085.00
Close 1,113.50 1,108.75 -4.75 -0.4% 1,108.00
Range 13.50 10.50 -3.00 -22.2% 25.75
ATR 16.59 16.15 -0.43 -2.6% 0.00
Volume 798,580 757,740 -40,840 -5.1% 10,320,449
Daily Pivots for day following 15-Dec-2009
Classic Woodie Camarilla DeMark
R4 1,141.50 1,135.50 1,114.50
R3 1,131.00 1,125.00 1,111.75
R2 1,120.50 1,120.50 1,110.75
R1 1,114.50 1,114.50 1,109.75 1,112.25
PP 1,110.00 1,110.00 1,110.00 1,108.75
S1 1,104.00 1,104.00 1,107.75 1,101.75
S2 1,099.50 1,099.50 1,106.75
S3 1,089.00 1,093.50 1,105.75
S4 1,078.50 1,083.00 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 1,118.00 1,085.00 33.00 3.0% 12.00 1.1% 72% False False 1,475,118
10 1,119.00 1,085.00 34.00 3.1% 14.50 1.3% 70% False False 1,743,646
20 1,119.00 1,067.00 52.00 4.7% 15.75 1.4% 80% False False 1,692,679
40 1,119.00 1,026.00 93.00 8.4% 18.25 1.6% 89% False False 1,952,697
60 1,119.00 1,012.00 107.00 9.7% 17.75 1.6% 90% False False 1,933,780
80 1,119.00 986.50 132.50 12.0% 17.25 1.6% 92% False False 1,642,262
100 1,119.00 960.00 159.00 14.3% 17.50 1.6% 94% False False 1,314,348
120 1,119.00 861.25 257.75 23.2% 17.50 1.6% 96% False False 1,095,596
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 False
2BNR False
3BNR True
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.60
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,160.50
2.618 1,143.25
1.618 1,132.75
1.000 1,126.25
0.618 1,122.25
HIGH 1,115.75
0.618 1,111.75
0.500 1,110.50
0.382 1,109.25
LOW 1,105.25
0.618 1,098.75
1.000 1,094.75
1.618 1,088.25
2.618 1,077.75
4.250 1,060.50
Fisher Pivots for day following 15-Dec-2009
Pivot 1 day 3 day
R1 1,110.50 1,109.50
PP 1,110.00 1,109.25
S1 1,109.25 1,109.00

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

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