E-mini S&P 500 Future March 2010


Trading Metrics calculated at close of trading on 27-Nov-2009
Day Change Summary
Previous Current
25-Nov-2009 27-Nov-2009 Change Change % Previous Week
Open 1,098.75 1,103.50 4.75 0.4% 1,085.00
High 1,106.25 1,106.50 0.25 0.0% 1,106.50
Low 1,097.50 1,062.25 -35.25 -3.2% 1,062.25
Close 1,104.00 1,084.50 -19.50 -1.8% 1,084.50
Range 8.75 44.25 35.50 405.7% 44.25
ATR 16.31 18.31 2.00 12.2% 0.00
Volume 3,734 3,466 -268 -7.2% 18,293
Daily Pivots for day following 27-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,217.25 1,195.00 1,108.75
R3 1,173.00 1,150.75 1,096.75
R2 1,128.75 1,128.75 1,092.50
R1 1,106.50 1,106.50 1,088.50 1,095.50
PP 1,084.50 1,084.50 1,084.50 1,079.00
S1 1,062.25 1,062.25 1,080.50 1,051.25
S2 1,040.25 1,040.25 1,076.50
S3 996.00 1,018.00 1,072.25
S4 951.75 973.75 1,060.25
Weekly Pivots for week ending 27-Nov-2009
Classic Woodie Camarilla DeMark
R4 1,217.25 1,195.00 1,108.75
R3 1,173.00 1,150.75 1,096.75
R2 1,128.75 1,128.75 1,092.50
R1 1,106.50 1,106.50 1,088.50 1,095.50
PP 1,084.50 1,084.50 1,084.50 1,079.00
S1 1,062.25 1,062.25 1,080.50 1,051.25
S2 1,040.25 1,040.25 1,076.50
S3 996.00 1,018.00 1,072.25
S4 951.75 973.75 1,060.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,106.50 1,062.25 44.25 4.1% 19.25 1.8% 50% True True 4,948
10 1,107.00 1,062.25 44.75 4.1% 17.00 1.6% 50% False True 4,835
20 1,107.00 1,021.00 86.00 7.9% 18.25 1.7% 74% False False 4,968
40 1,107.00 1,007.25 99.75 9.2% 17.75 1.6% 77% False False 3,880
60 1,107.00 984.25 122.75 11.3% 17.00 1.6% 82% False False 2,738
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 1.98
Widest range in 78 trading days
Fibonacci Retracements and Extensions
4.250 1,294.50
2.618 1,222.25
1.618 1,178.00
1.000 1,150.75
0.618 1,133.75
HIGH 1,106.50
0.618 1,089.50
0.500 1,084.50
0.382 1,079.25
LOW 1,062.25
0.618 1,035.00
1.000 1,018.00
1.618 990.75
2.618 946.50
4.250 874.25
Fisher Pivots for day following 27-Nov-2009
Pivot 1 day 3 day
R1 1,084.50 1,084.50
PP 1,084.50 1,084.50
S1 1,084.50 1,084.50

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

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