E-mini S&P 500 Future June 2009
| Trading Metrics calculated at close of trading on 27-Apr-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Apr-2009 |
27-Apr-2009 |
Change |
Change % |
Previous Week |
| Open |
848.50 |
863.25 |
14.75 |
1.7% |
865.50 |
| High |
868.75 |
865.75 |
-3.00 |
-0.3% |
868.75 |
| Low |
841.50 |
846.75 |
5.25 |
0.6% |
823.00 |
| Close |
866.50 |
856.75 |
-9.75 |
-1.1% |
866.50 |
| Range |
27.25 |
19.00 |
-8.25 |
-30.3% |
45.75 |
| ATR |
26.50 |
26.02 |
-0.48 |
-1.8% |
0.00 |
| Volume |
2,489,552 |
2,407,351 |
-82,201 |
-3.3% |
12,206,335 |
|
| Daily Pivots for day following 27-Apr-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
913.50 |
904.00 |
867.25 |
|
| R3 |
894.50 |
885.00 |
862.00 |
|
| R2 |
875.50 |
875.50 |
860.25 |
|
| R1 |
866.00 |
866.00 |
858.50 |
861.25 |
| PP |
856.50 |
856.50 |
856.50 |
854.00 |
| S1 |
847.00 |
847.00 |
855.00 |
842.25 |
| S2 |
837.50 |
837.50 |
853.25 |
|
| S3 |
818.50 |
828.00 |
851.50 |
|
| S4 |
799.50 |
809.00 |
846.25 |
|
|
| Weekly Pivots for week ending 24-Apr-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
990.00 |
974.00 |
891.75 |
|
| R3 |
944.25 |
928.25 |
879.00 |
|
| R2 |
898.50 |
898.50 |
875.00 |
|
| R1 |
882.50 |
882.50 |
870.75 |
890.50 |
| PP |
852.75 |
852.75 |
852.75 |
856.75 |
| S1 |
836.75 |
836.75 |
862.25 |
844.75 |
| S2 |
807.00 |
807.00 |
858.00 |
|
| S3 |
761.25 |
791.00 |
854.00 |
|
| S4 |
715.50 |
745.25 |
841.25 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
868.75 |
823.00 |
45.75 |
5.3% |
22.75 |
2.7% |
74% |
False |
False |
2,547,939 |
| 10 |
872.00 |
823.00 |
49.00 |
5.7% |
23.50 |
2.8% |
69% |
False |
False |
2,336,340 |
| 20 |
872.00 |
775.50 |
96.50 |
11.3% |
25.75 |
3.0% |
84% |
False |
False |
2,328,148 |
| 40 |
872.00 |
662.75 |
209.25 |
24.4% |
28.25 |
3.3% |
93% |
False |
False |
1,952,161 |
| 60 |
872.00 |
662.75 |
209.25 |
24.4% |
27.75 |
3.2% |
93% |
False |
False |
1,304,706 |
| 80 |
939.25 |
662.75 |
276.50 |
32.3% |
28.50 |
3.3% |
70% |
False |
False |
979,811 |
| 100 |
939.25 |
662.75 |
276.50 |
32.3% |
28.50 |
3.3% |
70% |
False |
False |
783,923 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
946.50 |
|
2.618 |
915.50 |
|
1.618 |
896.50 |
|
1.000 |
884.75 |
|
0.618 |
877.50 |
|
HIGH |
865.75 |
|
0.618 |
858.50 |
|
0.500 |
856.25 |
|
0.382 |
854.00 |
|
LOW |
846.75 |
|
0.618 |
835.00 |
|
1.000 |
827.75 |
|
1.618 |
816.00 |
|
2.618 |
797.00 |
|
4.250 |
766.00 |
|
|
| Fisher Pivots for day following 27-Apr-2009 |
| Pivot |
1 day |
3 day |
| R1 |
856.50 |
854.50 |
| PP |
856.50 |
852.25 |
| S1 |
856.25 |
850.00 |
|