E-mini S&P 500 Future March 2009
| Trading Metrics calculated at close of trading on 26-Dec-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Dec-2008 |
26-Dec-2008 |
Change |
Change % |
Previous Week |
| Open |
859.25 |
866.50 |
7.25 |
0.8% |
884.25 |
| High |
866.50 |
871.75 |
5.25 |
0.6% |
891.50 |
| Low |
856.00 |
862.75 |
6.75 |
0.8% |
852.75 |
| Close |
865.00 |
869.00 |
4.00 |
0.5% |
869.00 |
| Range |
10.50 |
9.00 |
-1.50 |
-14.3% |
38.75 |
| ATR |
42.01 |
39.65 |
-2.36 |
-5.6% |
0.00 |
| Volume |
995,884 |
239,099 |
-756,785 |
-76.0% |
4,258,006 |
|
| Daily Pivots for day following 26-Dec-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
894.75 |
891.00 |
874.00 |
|
| R3 |
885.75 |
882.00 |
871.50 |
|
| R2 |
876.75 |
876.75 |
870.75 |
|
| R1 |
873.00 |
873.00 |
869.75 |
875.00 |
| PP |
867.75 |
867.75 |
867.75 |
868.75 |
| S1 |
864.00 |
864.00 |
868.25 |
866.00 |
| S2 |
858.75 |
858.75 |
867.25 |
|
| S3 |
849.75 |
855.00 |
866.50 |
|
| S4 |
840.75 |
846.00 |
864.00 |
|
|
| Weekly Pivots for week ending 26-Dec-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
987.25 |
967.00 |
890.25 |
|
| R3 |
948.50 |
928.25 |
879.75 |
|
| R2 |
909.75 |
909.75 |
876.00 |
|
| R1 |
889.50 |
889.50 |
872.50 |
880.25 |
| PP |
871.00 |
871.00 |
871.00 |
866.50 |
| S1 |
850.75 |
850.75 |
865.50 |
841.50 |
| S2 |
832.25 |
832.25 |
862.00 |
|
| S3 |
793.50 |
812.00 |
858.25 |
|
| S4 |
754.75 |
773.25 |
847.75 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
903.50 |
852.75 |
50.75 |
5.8% |
21.50 |
2.5% |
32% |
False |
False |
1,269,168 |
| 10 |
918.25 |
828.75 |
89.50 |
10.3% |
31.75 |
3.7% |
45% |
False |
False |
1,848,006 |
| 20 |
918.75 |
811.50 |
107.25 |
12.3% |
38.00 |
4.4% |
54% |
False |
False |
966,048 |
| 40 |
1,006.50 |
737.25 |
269.25 |
31.0% |
45.75 |
5.3% |
49% |
False |
False |
486,554 |
| 60 |
1,175.00 |
737.25 |
437.75 |
50.4% |
58.00 |
6.7% |
30% |
False |
False |
326,382 |
| 80 |
1,285.50 |
737.25 |
548.25 |
63.1% |
54.00 |
6.2% |
24% |
False |
False |
245,261 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
910.00 |
|
2.618 |
895.25 |
|
1.618 |
886.25 |
|
1.000 |
880.75 |
|
0.618 |
877.25 |
|
HIGH |
871.75 |
|
0.618 |
868.25 |
|
0.500 |
867.25 |
|
0.382 |
866.25 |
|
LOW |
862.75 |
|
0.618 |
857.25 |
|
1.000 |
853.75 |
|
1.618 |
848.25 |
|
2.618 |
839.25 |
|
4.250 |
824.50 |
|
|
| Fisher Pivots for day following 26-Dec-2008 |
| Pivot |
1 day |
3 day |
| R1 |
868.50 |
868.25 |
| PP |
867.75 |
867.50 |
| S1 |
867.25 |
866.50 |
|