E-mini S&P 500 Future March 2010


Trading Metrics calculated at close of trading on 21-Dec-2009
Day Change Summary
Previous Current
18-Dec-2009 21-Dec-2009 Change Change % Previous Week
Open 1,094.25 1,098.75 4.50 0.4% 1,102.50
High 1,102.75 1,113.25 10.50 1.0% 1,113.00
Low 1,088.50 1,096.50 8.00 0.7% 1,088.50
Close 1,097.75 1,108.25 10.50 1.0% 1,097.75
Range 14.25 16.75 2.50 17.5% 24.50
ATR 15.36 15.46 0.10 0.6% 0.00
Volume 2,014,202 1,732,758 -281,444 -14.0% 8,916,555
Daily Pivots for day following 21-Dec-2009
Classic Woodie Camarilla DeMark
R4 1,156.25 1,149.00 1,117.50
R3 1,139.50 1,132.25 1,112.75
R2 1,122.75 1,122.75 1,111.25
R1 1,115.50 1,115.50 1,109.75 1,119.00
PP 1,106.00 1,106.00 1,106.00 1,107.75
S1 1,098.75 1,098.75 1,106.75 1,102.50
S2 1,089.25 1,089.25 1,105.25
S3 1,072.50 1,082.00 1,103.75
S4 1,055.75 1,065.25 1,099.00
Weekly Pivots for week ending 18-Dec-2009
Classic Woodie Camarilla DeMark
R4 1,173.25 1,160.00 1,111.25
R3 1,148.75 1,135.50 1,104.50
R2 1,124.25 1,124.25 1,102.25
R1 1,111.00 1,111.00 1,100.00 1,105.50
PP 1,099.75 1,099.75 1,099.75 1,097.00
S1 1,086.50 1,086.50 1,095.50 1,081.00
S2 1,075.25 1,075.25 1,093.25
S3 1,050.75 1,062.00 1,091.00
S4 1,026.25 1,037.50 1,084.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,113.25 1,088.50 24.75 2.2% 13.25 1.2% 80% True False 1,787,814
10 1,113.25 1,080.50 32.75 3.0% 13.50 1.2% 85% True False 1,232,413
20 1,114.25 1,062.25 52.00 4.7% 16.00 1.4% 88% False False 622,854
40 1,114.25 1,021.00 93.25 8.4% 17.25 1.6% 94% False False 313,953
60 1,114.25 1,007.25 107.00 9.7% 17.25 1.6% 94% False False 209,960
80 1,114.25 984.25 130.00 11.7% 16.25 1.5% 95% False False 157,539
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR True
Bear Hook False
Bull Hook False
Stretch 2.70
Widest range in 9 trading days
Fibonacci Retracements and Extensions
4.250 1,184.50
2.618 1,157.00
1.618 1,140.25
1.000 1,130.00
0.618 1,123.50
HIGH 1,113.25
0.618 1,106.75
0.500 1,105.00
0.382 1,103.00
LOW 1,096.50
0.618 1,086.25
1.000 1,079.75
1.618 1,069.50
2.618 1,052.75
4.250 1,025.25
Fisher Pivots for day following 21-Dec-2009
Pivot 1 day 3 day
R1 1,107.00 1,105.75
PP 1,106.00 1,103.25
S1 1,105.00 1,101.00

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

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