E-mini S&P 500 Future June 2009
| Trading Metrics calculated at close of trading on 30-Mar-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Mar-2009 |
30-Mar-2009 |
Change |
Change % |
Previous Week |
| Open |
826.75 |
812.50 |
-14.25 |
-1.7% |
766.75 |
| High |
830.00 |
815.25 |
-14.75 |
-1.8% |
830.50 |
| Low |
809.50 |
775.50 |
-34.00 |
-4.2% |
765.50 |
| Close |
816.00 |
784.25 |
-31.75 |
-3.9% |
816.00 |
| Range |
20.50 |
39.75 |
19.25 |
93.9% |
65.00 |
| ATR |
29.82 |
30.58 |
0.76 |
2.6% |
0.00 |
| Volume |
2,733,189 |
2,210,455 |
-522,734 |
-19.1% |
13,586,304 |
|
| Daily Pivots for day following 30-Mar-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
911.00 |
887.25 |
806.00 |
|
| R3 |
871.25 |
847.50 |
795.25 |
|
| R2 |
831.50 |
831.50 |
791.50 |
|
| R1 |
807.75 |
807.75 |
788.00 |
799.75 |
| PP |
791.75 |
791.75 |
791.75 |
787.50 |
| S1 |
768.00 |
768.00 |
780.50 |
760.00 |
| S2 |
752.00 |
752.00 |
777.00 |
|
| S3 |
712.25 |
728.25 |
773.25 |
|
| S4 |
672.50 |
688.50 |
762.50 |
|
|
| 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 |
775.50 |
55.00 |
7.0% |
27.75 |
3.5% |
16% |
False |
True |
2,682,273 |
| 10 |
830.50 |
746.00 |
84.50 |
10.8% |
31.25 |
4.0% |
45% |
False |
False |
2,753,530 |
| 20 |
830.50 |
662.75 |
167.75 |
21.4% |
31.25 |
4.0% |
72% |
False |
False |
1,685,880 |
| 40 |
869.75 |
662.75 |
207.00 |
26.4% |
29.25 |
3.7% |
59% |
False |
False |
848,006 |
| 60 |
939.25 |
662.75 |
276.50 |
35.3% |
30.00 |
3.8% |
44% |
False |
False |
567,188 |
| 80 |
939.25 |
662.75 |
276.50 |
35.3% |
29.00 |
3.7% |
44% |
False |
False |
425,497 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
984.25 |
|
2.618 |
919.25 |
|
1.618 |
879.50 |
|
1.000 |
855.00 |
|
0.618 |
839.75 |
|
HIGH |
815.25 |
|
0.618 |
800.00 |
|
0.500 |
795.50 |
|
0.382 |
790.75 |
|
LOW |
775.50 |
|
0.618 |
751.00 |
|
1.000 |
735.75 |
|
1.618 |
711.25 |
|
2.618 |
671.50 |
|
4.250 |
606.50 |
|
|
| Fisher Pivots for day following 30-Mar-2009 |
| Pivot |
1 day |
3 day |
| R1 |
795.50 |
803.00 |
| PP |
791.75 |
796.75 |
| S1 |
788.00 |
790.50 |
|