E-mini S&P 500 Future June 2009
| Trading Metrics calculated at close of trading on 27-Mar-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Mar-2009 |
27-Mar-2009 |
Change |
Change % |
Previous Week |
| Open |
807.50 |
826.75 |
19.25 |
2.4% |
766.75 |
| High |
830.50 |
830.00 |
-0.50 |
-0.1% |
830.50 |
| Low |
807.25 |
809.50 |
2.25 |
0.3% |
765.50 |
| Close |
827.25 |
816.00 |
-11.25 |
-1.4% |
816.00 |
| Range |
23.25 |
20.50 |
-2.75 |
-11.8% |
65.00 |
| ATR |
30.54 |
29.82 |
-0.72 |
-2.3% |
0.00 |
| Volume |
3,118,269 |
2,733,189 |
-385,080 |
-12.3% |
13,586,304 |
|
| Daily Pivots for day following 27-Mar-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
880.00 |
868.50 |
827.25 |
|
| R3 |
859.50 |
848.00 |
821.75 |
|
| R2 |
839.00 |
839.00 |
819.75 |
|
| R1 |
827.50 |
827.50 |
818.00 |
823.00 |
| PP |
818.50 |
818.50 |
818.50 |
816.25 |
| S1 |
807.00 |
807.00 |
814.00 |
802.50 |
| S2 |
798.00 |
798.00 |
812.25 |
|
| S3 |
777.50 |
786.50 |
810.25 |
|
| S4 |
757.00 |
766.00 |
804.75 |
|
|
| Weekly Pivots for week ending 27-Mar-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
999.00 |
972.50 |
851.75 |
|
| R3 |
934.00 |
907.50 |
834.00 |
|
| R2 |
869.00 |
869.00 |
828.00 |
|
| R1 |
842.50 |
842.50 |
822.00 |
855.75 |
| PP |
804.00 |
804.00 |
804.00 |
810.50 |
| S1 |
777.50 |
777.50 |
810.00 |
790.75 |
| S2 |
739.00 |
739.00 |
804.00 |
|
| S3 |
674.00 |
712.50 |
798.00 |
|
| S4 |
609.00 |
647.50 |
780.25 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
830.50 |
765.50 |
65.00 |
8.0% |
31.00 |
3.8% |
78% |
False |
False |
2,717,260 |
| 10 |
830.50 |
746.00 |
84.50 |
10.4% |
29.75 |
3.6% |
83% |
False |
False |
2,804,028 |
| 20 |
830.50 |
662.75 |
167.75 |
20.6% |
31.00 |
3.8% |
91% |
False |
False |
1,576,175 |
| 40 |
869.75 |
662.75 |
207.00 |
25.4% |
28.75 |
3.5% |
74% |
False |
False |
792,986 |
| 60 |
939.25 |
662.75 |
276.50 |
33.9% |
29.50 |
3.6% |
55% |
False |
False |
530,366 |
| 80 |
939.25 |
662.75 |
276.50 |
33.9% |
29.00 |
3.6% |
55% |
False |
False |
397,867 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
917.00 |
|
2.618 |
883.75 |
|
1.618 |
863.25 |
|
1.000 |
850.50 |
|
0.618 |
842.75 |
|
HIGH |
830.00 |
|
0.618 |
822.25 |
|
0.500 |
819.75 |
|
0.382 |
817.25 |
|
LOW |
809.50 |
|
0.618 |
796.75 |
|
1.000 |
789.00 |
|
1.618 |
776.25 |
|
2.618 |
755.75 |
|
4.250 |
722.50 |
|
|
| Fisher Pivots for day following 27-Mar-2009 |
| Pivot |
1 day |
3 day |
| R1 |
819.75 |
813.50 |
| PP |
818.50 |
811.25 |
| S1 |
817.25 |
808.75 |
|