E-mini S&P 500 Future June 2009
| Trading Metrics calculated at close of trading on 01-Apr-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-Mar-2009 |
01-Apr-2009 |
Change |
Change % |
Previous Week |
| Open |
784.50 |
790.50 |
6.00 |
0.8% |
766.75 |
| High |
807.00 |
810.25 |
3.25 |
0.4% |
830.50 |
| Low |
784.00 |
779.00 |
-5.00 |
-0.6% |
765.50 |
| Close |
794.75 |
809.25 |
14.50 |
1.8% |
816.00 |
| Range |
23.00 |
31.25 |
8.25 |
35.9% |
65.00 |
| ATR |
30.04 |
30.13 |
0.09 |
0.3% |
0.00 |
| Volume |
2,261,920 |
2,688,645 |
426,725 |
18.9% |
13,586,304 |
|
| Daily Pivots for day following 01-Apr-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
893.25 |
882.50 |
826.50 |
|
| R3 |
862.00 |
851.25 |
817.75 |
|
| R2 |
830.75 |
830.75 |
815.00 |
|
| R1 |
820.00 |
820.00 |
812.00 |
825.50 |
| PP |
799.50 |
799.50 |
799.50 |
802.25 |
| S1 |
788.75 |
788.75 |
806.50 |
794.00 |
| S2 |
768.25 |
768.25 |
803.50 |
|
| S3 |
737.00 |
757.50 |
800.75 |
|
| S4 |
705.75 |
726.25 |
792.00 |
|
|
| 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 |
6.8% |
27.50 |
3.4% |
61% |
False |
False |
2,602,495 |
| 10 |
830.50 |
761.50 |
69.00 |
8.5% |
29.75 |
3.7% |
69% |
False |
False |
2,681,150 |
| 20 |
830.50 |
662.75 |
167.75 |
20.7% |
30.75 |
3.8% |
87% |
False |
False |
1,930,020 |
| 40 |
869.75 |
662.75 |
207.00 |
25.6% |
29.50 |
3.6% |
71% |
False |
False |
971,385 |
| 60 |
910.50 |
662.75 |
247.75 |
30.6% |
30.00 |
3.7% |
59% |
False |
False |
649,570 |
| 80 |
939.25 |
662.75 |
276.50 |
34.2% |
28.75 |
3.5% |
53% |
False |
False |
487,378 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
943.00 |
|
2.618 |
892.00 |
|
1.618 |
860.75 |
|
1.000 |
841.50 |
|
0.618 |
829.50 |
|
HIGH |
810.25 |
|
0.618 |
798.25 |
|
0.500 |
794.50 |
|
0.382 |
791.00 |
|
LOW |
779.00 |
|
0.618 |
759.75 |
|
1.000 |
747.75 |
|
1.618 |
728.50 |
|
2.618 |
697.25 |
|
4.250 |
646.25 |
|
|
| Fisher Pivots for day following 01-Apr-2009 |
| Pivot |
1 day |
3 day |
| R1 |
804.50 |
804.50 |
| PP |
799.50 |
800.00 |
| S1 |
794.50 |
795.50 |
|