E-mini S&P 500 Future June 2009
| Trading Metrics calculated at close of trading on 31-Mar-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Mar-2009 |
31-Mar-2009 |
Change |
Change % |
Previous Week |
| Open |
812.50 |
784.50 |
-28.00 |
-3.4% |
766.75 |
| High |
815.25 |
807.00 |
-8.25 |
-1.0% |
830.50 |
| Low |
775.50 |
784.00 |
8.50 |
1.1% |
765.50 |
| Close |
784.25 |
794.75 |
10.50 |
1.3% |
816.00 |
| Range |
39.75 |
23.00 |
-16.75 |
-42.1% |
65.00 |
| ATR |
30.58 |
30.04 |
-0.54 |
-1.8% |
0.00 |
| Volume |
2,210,455 |
2,261,920 |
51,465 |
2.3% |
13,586,304 |
|
| Daily Pivots for day following 31-Mar-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
864.25 |
852.50 |
807.50 |
|
| R3 |
841.25 |
829.50 |
801.00 |
|
| R2 |
818.25 |
818.25 |
799.00 |
|
| R1 |
806.50 |
806.50 |
796.75 |
812.50 |
| PP |
795.25 |
795.25 |
795.25 |
798.25 |
| S1 |
783.50 |
783.50 |
792.75 |
789.50 |
| S2 |
772.25 |
772.25 |
790.50 |
|
| S3 |
749.25 |
760.50 |
788.50 |
|
| S4 |
726.25 |
737.50 |
782.00 |
|
|
| 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 |
6.9% |
28.50 |
3.6% |
35% |
False |
False |
2,551,500 |
| 10 |
830.50 |
761.50 |
69.00 |
8.7% |
30.50 |
3.8% |
48% |
False |
False |
2,694,908 |
| 20 |
830.50 |
662.75 |
167.75 |
21.1% |
31.25 |
3.9% |
79% |
False |
False |
1,797,918 |
| 40 |
869.75 |
662.75 |
207.00 |
26.0% |
29.25 |
3.7% |
64% |
False |
False |
904,243 |
| 60 |
929.50 |
662.75 |
266.75 |
33.6% |
30.00 |
3.8% |
49% |
False |
False |
604,843 |
| 80 |
939.25 |
662.75 |
276.50 |
34.8% |
28.75 |
3.6% |
48% |
False |
False |
453,770 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
904.75 |
|
2.618 |
867.25 |
|
1.618 |
844.25 |
|
1.000 |
830.00 |
|
0.618 |
821.25 |
|
HIGH |
807.00 |
|
0.618 |
798.25 |
|
0.500 |
795.50 |
|
0.382 |
792.75 |
|
LOW |
784.00 |
|
0.618 |
769.75 |
|
1.000 |
761.00 |
|
1.618 |
746.75 |
|
2.618 |
723.75 |
|
4.250 |
686.25 |
|
|
| Fisher Pivots for day following 31-Mar-2009 |
| Pivot |
1 day |
3 day |
| R1 |
795.50 |
802.75 |
| PP |
795.25 |
800.00 |
| S1 |
795.00 |
797.50 |
|