E-mini S&P 500 Future June 2009
| Trading Metrics calculated at close of trading on 26-Mar-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Mar-2009 |
26-Mar-2009 |
Change |
Change % |
Previous Week |
| Open |
803.25 |
807.50 |
4.25 |
0.5% |
750.75 |
| High |
823.50 |
830.50 |
7.00 |
0.9% |
801.50 |
| Low |
787.00 |
807.25 |
20.25 |
2.6% |
746.00 |
| Close |
808.25 |
827.25 |
19.00 |
2.4% |
764.00 |
| Range |
36.50 |
23.25 |
-13.25 |
-36.3% |
55.50 |
| ATR |
31.10 |
30.54 |
-0.56 |
-1.8% |
0.00 |
| Volume |
2,433,671 |
3,118,269 |
684,598 |
28.1% |
14,453,984 |
|
| Daily Pivots for day following 26-Mar-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
891.50 |
882.50 |
840.00 |
|
| R3 |
868.25 |
859.25 |
833.75 |
|
| R2 |
845.00 |
845.00 |
831.50 |
|
| R1 |
836.00 |
836.00 |
829.50 |
840.50 |
| PP |
821.75 |
821.75 |
821.75 |
824.00 |
| S1 |
812.75 |
812.75 |
825.00 |
817.25 |
| S2 |
798.50 |
798.50 |
823.00 |
|
| S3 |
775.25 |
789.50 |
820.75 |
|
| S4 |
752.00 |
766.25 |
814.50 |
|
|
| 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 |
830.50 |
761.50 |
69.00 |
8.3% |
31.50 |
3.8% |
95% |
True |
False |
2,718,462 |
| 10 |
830.50 |
739.00 |
91.50 |
11.1% |
29.75 |
3.6% |
96% |
True |
False |
2,781,438 |
| 20 |
830.50 |
662.75 |
167.75 |
20.3% |
31.25 |
3.8% |
98% |
True |
False |
1,440,505 |
| 40 |
869.75 |
662.75 |
207.00 |
25.0% |
29.00 |
3.5% |
79% |
False |
False |
724,755 |
| 60 |
939.25 |
662.75 |
276.50 |
33.4% |
29.75 |
3.6% |
59% |
False |
False |
484,862 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
929.25 |
|
2.618 |
891.25 |
|
1.618 |
868.00 |
|
1.000 |
853.75 |
|
0.618 |
844.75 |
|
HIGH |
830.50 |
|
0.618 |
821.50 |
|
0.500 |
819.00 |
|
0.382 |
816.25 |
|
LOW |
807.25 |
|
0.618 |
793.00 |
|
1.000 |
784.00 |
|
1.618 |
769.75 |
|
2.618 |
746.50 |
|
4.250 |
708.50 |
|
|
| Fisher Pivots for day following 26-Mar-2009 |
| Pivot |
1 day |
3 day |
| R1 |
824.50 |
821.00 |
| PP |
821.75 |
815.00 |
| S1 |
819.00 |
808.75 |
|