E-mini S&P 500 Future June 2009
| Trading Metrics calculated at close of trading on 24-Mar-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Mar-2009 |
24-Mar-2009 |
Change |
Change % |
Previous Week |
| Open |
766.75 |
818.00 |
51.25 |
6.7% |
750.75 |
| High |
821.00 |
820.00 |
-1.00 |
-0.1% |
801.50 |
| Low |
765.50 |
801.25 |
35.75 |
4.7% |
746.00 |
| Close |
817.25 |
803.50 |
-13.75 |
-1.7% |
764.00 |
| Range |
55.50 |
18.75 |
-36.75 |
-66.2% |
55.50 |
| ATR |
31.60 |
30.68 |
-0.92 |
-2.9% |
0.00 |
| Volume |
2,385,394 |
2,915,781 |
530,387 |
22.2% |
14,453,984 |
|
| Daily Pivots for day following 24-Mar-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
864.50 |
852.75 |
813.75 |
|
| R3 |
845.75 |
834.00 |
808.75 |
|
| R2 |
827.00 |
827.00 |
807.00 |
|
| R1 |
815.25 |
815.25 |
805.25 |
811.75 |
| PP |
808.25 |
808.25 |
808.25 |
806.50 |
| S1 |
796.50 |
796.50 |
801.75 |
793.00 |
| S2 |
789.50 |
789.50 |
800.00 |
|
| S3 |
770.75 |
777.75 |
798.25 |
|
| S4 |
752.00 |
759.00 |
793.25 |
|
|
| 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 |
761.50 |
59.50 |
7.4% |
32.25 |
4.0% |
71% |
False |
False |
2,838,316 |
| 10 |
821.00 |
708.00 |
113.00 |
14.1% |
29.75 |
3.7% |
85% |
False |
False |
2,287,061 |
| 20 |
821.00 |
662.75 |
158.25 |
19.7% |
31.00 |
3.9% |
89% |
False |
False |
1,165,022 |
| 40 |
871.75 |
662.75 |
209.00 |
26.0% |
29.25 |
3.6% |
67% |
False |
False |
586,182 |
| 60 |
939.25 |
662.75 |
276.50 |
34.4% |
29.50 |
3.7% |
51% |
False |
False |
392,344 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
899.75 |
|
2.618 |
869.00 |
|
1.618 |
850.25 |
|
1.000 |
838.75 |
|
0.618 |
831.50 |
|
HIGH |
820.00 |
|
0.618 |
812.75 |
|
0.500 |
810.50 |
|
0.382 |
808.50 |
|
LOW |
801.25 |
|
0.618 |
789.75 |
|
1.000 |
782.50 |
|
1.618 |
771.00 |
|
2.618 |
752.25 |
|
4.250 |
721.50 |
|
|
| Fisher Pivots for day following 24-Mar-2009 |
| Pivot |
1 day |
3 day |
| R1 |
810.50 |
799.50 |
| PP |
808.25 |
795.25 |
| S1 |
806.00 |
791.25 |
|