E-mini S&P 500 Future June 2009
| Trading Metrics calculated at close of trading on 23-Mar-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Mar-2009 |
23-Mar-2009 |
Change |
Change % |
Previous Week |
| Open |
780.00 |
766.75 |
-13.25 |
-1.7% |
750.75 |
| High |
785.50 |
821.00 |
35.50 |
4.5% |
801.50 |
| Low |
761.50 |
765.50 |
4.00 |
0.5% |
746.00 |
| Close |
764.00 |
817.25 |
53.25 |
7.0% |
764.00 |
| Range |
24.00 |
55.50 |
31.50 |
131.3% |
55.50 |
| ATR |
29.64 |
31.60 |
1.95 |
6.6% |
0.00 |
| Volume |
2,739,197 |
2,385,394 |
-353,803 |
-12.9% |
14,453,984 |
|
| Daily Pivots for day following 23-Mar-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
967.75 |
948.00 |
847.75 |
|
| R3 |
912.25 |
892.50 |
832.50 |
|
| R2 |
856.75 |
856.75 |
827.50 |
|
| R1 |
837.00 |
837.00 |
822.25 |
847.00 |
| PP |
801.25 |
801.25 |
801.25 |
806.25 |
| S1 |
781.50 |
781.50 |
812.25 |
791.50 |
| S2 |
745.75 |
745.75 |
807.00 |
|
| S3 |
690.25 |
726.00 |
802.00 |
|
| S4 |
634.75 |
670.50 |
786.75 |
|
|
| Weekly Pivots for week ending 20-Mar-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
937.00 |
906.00 |
794.50 |
|
| R3 |
881.50 |
850.50 |
779.25 |
|
| R2 |
826.00 |
826.00 |
774.25 |
|
| R1 |
795.00 |
795.00 |
769.00 |
810.50 |
| PP |
770.50 |
770.50 |
770.50 |
778.25 |
| S1 |
739.50 |
739.50 |
759.00 |
755.00 |
| S2 |
715.00 |
715.00 |
753.75 |
|
| S3 |
659.50 |
684.00 |
748.75 |
|
| S4 |
604.00 |
628.50 |
733.50 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
821.00 |
746.00 |
75.00 |
9.2% |
34.75 |
4.2% |
95% |
True |
False |
2,824,787 |
| 10 |
821.00 |
670.25 |
150.75 |
18.4% |
32.75 |
4.0% |
98% |
True |
False |
2,002,383 |
| 20 |
821.00 |
662.75 |
158.25 |
19.4% |
31.75 |
3.9% |
98% |
True |
False |
1,020,403 |
| 40 |
871.75 |
662.75 |
209.00 |
25.6% |
29.00 |
3.6% |
74% |
False |
False |
513,360 |
| 60 |
939.25 |
662.75 |
276.50 |
33.8% |
29.50 |
3.6% |
56% |
False |
False |
343,749 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,057.00 |
|
2.618 |
966.25 |
|
1.618 |
910.75 |
|
1.000 |
876.50 |
|
0.618 |
855.25 |
|
HIGH |
821.00 |
|
0.618 |
799.75 |
|
0.500 |
793.25 |
|
0.382 |
786.75 |
|
LOW |
765.50 |
|
0.618 |
731.25 |
|
1.000 |
710.00 |
|
1.618 |
675.75 |
|
2.618 |
620.25 |
|
4.250 |
529.50 |
|
|
| Fisher Pivots for day following 23-Mar-2009 |
| Pivot |
1 day |
3 day |
| R1 |
809.25 |
808.50 |
| PP |
801.25 |
800.00 |
| S1 |
793.25 |
791.25 |
|