E-mini S&P 500 Future March 2010


Trading Metrics calculated at close of trading on 15-Jan-2010
Day Change Summary
Previous Current
14-Jan-2010 15-Jan-2010 Change Change % Previous Week
Open 1,141.50 1,146.75 5.25 0.5% 1,141.75
High 1,147.00 1,147.25 0.25 0.0% 1,148.00
Low 1,138.25 1,127.50 -10.75 -0.9% 1,127.50
Close 1,145.25 1,132.25 -13.00 -1.1% 1,132.25
Range 8.75 19.75 11.00 125.7% 20.50
ATR 12.59 13.10 0.51 4.1% 0.00
Volume 2,131,642 1,355,731 -775,911 -36.4% 8,588,648
Daily Pivots for day following 15-Jan-2010
Classic Woodie Camarilla DeMark
R4 1,195.00 1,183.25 1,143.00
R3 1,175.25 1,163.50 1,137.75
R2 1,155.50 1,155.50 1,135.75
R1 1,143.75 1,143.75 1,134.00 1,139.75
PP 1,135.75 1,135.75 1,135.75 1,133.50
S1 1,124.00 1,124.00 1,130.50 1,120.00
S2 1,116.00 1,116.00 1,128.75
S3 1,096.25 1,104.25 1,126.75
S4 1,076.50 1,084.50 1,121.50
Weekly Pivots for week ending 15-Jan-2010
Classic Woodie Camarilla DeMark
R4 1,197.50 1,185.25 1,143.50
R3 1,177.00 1,164.75 1,138.00
R2 1,156.50 1,156.50 1,136.00
R1 1,144.25 1,144.25 1,134.25 1,140.00
PP 1,136.00 1,136.00 1,136.00 1,133.75
S1 1,123.75 1,123.75 1,130.25 1,119.50
S2 1,115.50 1,115.50 1,128.50
S3 1,095.00 1,103.25 1,126.50
S4 1,074.50 1,082.75 1,121.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,148.00 1,127.50 20.50 1.8% 14.00 1.2% 23% False True 1,717,729
10 1,148.00 1,113.25 34.75 3.1% 12.50 1.1% 55% False False 1,472,430
20 1,148.00 1,088.50 59.50 5.3% 12.00 1.1% 74% False False 1,243,004
40 1,148.00 1,062.25 85.75 7.6% 13.75 1.2% 82% False False 797,983
60 1,148.00 1,021.00 127.00 11.2% 15.75 1.4% 88% False False 533,556
80 1,148.00 1,007.25 140.75 12.4% 16.00 1.4% 89% False False 400,589
100 1,148.00 984.25 163.75 14.5% 15.25 1.4% 90% False False 320,494
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 True
Bear Hook False
Bull Hook False
Stretch 3.23
Widest range in 26 trading days
Fibonacci Retracements and Extensions
4.250 1,231.25
2.618 1,199.00
1.618 1,179.25
1.000 1,167.00
0.618 1,159.50
HIGH 1,147.25
0.618 1,139.75
0.500 1,137.50
0.382 1,135.00
LOW 1,127.50
0.618 1,115.25
1.000 1,107.75
1.618 1,095.50
2.618 1,075.75
4.250 1,043.50
Fisher Pivots for day following 15-Jan-2010
Pivot 1 day 3 day
R1 1,137.50 1,137.50
PP 1,135.75 1,135.75
S1 1,134.00 1,134.00

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

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