E-mini S&P 500 Future March 2009
| Trading Metrics calculated at close of trading on 11-Dec-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Dec-2008 |
11-Dec-2008 |
Change |
Change % |
Previous Week |
| Open |
889.75 |
899.50 |
9.75 |
1.1% |
895.00 |
| High |
907.75 |
904.50 |
-3.25 |
-0.4% |
895.75 |
| Low |
884.00 |
867.50 |
-16.50 |
-1.9% |
811.50 |
| Close |
895.25 |
874.50 |
-20.75 |
-2.3% |
871.50 |
| Range |
23.75 |
37.00 |
13.25 |
55.8% |
84.25 |
| ATR |
52.28 |
51.19 |
-1.09 |
-2.1% |
0.00 |
| Volume |
169,981 |
373,664 |
203,683 |
119.8% |
141,084 |
|
| Daily Pivots for day following 11-Dec-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
993.25 |
970.75 |
894.75 |
|
| R3 |
956.25 |
933.75 |
884.75 |
|
| R2 |
919.25 |
919.25 |
881.25 |
|
| R1 |
896.75 |
896.75 |
878.00 |
889.50 |
| PP |
882.25 |
882.25 |
882.25 |
878.50 |
| S1 |
859.75 |
859.75 |
871.00 |
852.50 |
| S2 |
845.25 |
845.25 |
867.75 |
|
| S3 |
808.25 |
822.75 |
864.25 |
|
| S4 |
771.25 |
785.75 |
854.25 |
|
|
| Weekly Pivots for week ending 05-Dec-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,112.25 |
1,076.25 |
917.75 |
|
| R3 |
1,028.00 |
992.00 |
894.75 |
|
| R2 |
943.75 |
943.75 |
887.00 |
|
| R1 |
907.75 |
907.75 |
879.25 |
883.50 |
| PP |
859.50 |
859.50 |
859.50 |
847.50 |
| S1 |
823.50 |
823.50 |
863.75 |
799.50 |
| S2 |
775.25 |
775.25 |
856.00 |
|
| S3 |
691.00 |
739.25 |
848.25 |
|
| S4 |
606.75 |
655.00 |
825.25 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
918.75 |
816.25 |
102.50 |
11.7% |
41.25 |
4.7% |
57% |
False |
False |
148,550 |
| 10 |
918.75 |
811.50 |
107.25 |
12.3% |
44.00 |
5.0% |
59% |
False |
False |
84,091 |
| 20 |
918.75 |
737.25 |
181.50 |
20.8% |
52.75 |
6.0% |
76% |
False |
False |
47,415 |
| 40 |
1,006.50 |
737.25 |
269.25 |
30.8% |
57.00 |
6.5% |
51% |
False |
False |
25,699 |
| 60 |
1,281.75 |
737.25 |
544.50 |
62.3% |
61.00 |
7.0% |
25% |
False |
False |
19,008 |
| 80 |
1,303.75 |
737.25 |
566.50 |
64.8% |
51.50 |
5.9% |
24% |
False |
False |
14,261 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,061.75 |
|
2.618 |
1,001.25 |
|
1.618 |
964.25 |
|
1.000 |
941.50 |
|
0.618 |
927.25 |
|
HIGH |
904.50 |
|
0.618 |
890.25 |
|
0.500 |
886.00 |
|
0.382 |
881.75 |
|
LOW |
867.50 |
|
0.618 |
844.75 |
|
1.000 |
830.50 |
|
1.618 |
807.75 |
|
2.618 |
770.75 |
|
4.250 |
710.25 |
|
|
| Fisher Pivots for day following 11-Dec-2008 |
| Pivot |
1 day |
3 day |
| R1 |
886.00 |
891.50 |
| PP |
882.25 |
885.75 |
| S1 |
878.25 |
880.25 |
|