E-mini S&P 500 Future June 2009


Trading Metrics calculated at close of trading on 04-Jun-2009
Day Change Summary
Previous Current
03-Jun-2009 04-Jun-2009 Change Change % Previous Week
Open 942.75 931.00 -11.75 -1.2% 885.00
High 945.75 942.00 -3.75 -0.4% 927.75
Low 922.50 928.00 5.50 0.6% 876.75
Close 931.75 940.50 8.75 0.9% 918.00
Range 23.25 14.00 -9.25 -39.8% 51.00
ATR 23.63 22.94 -0.69 -2.9% 0.00
Volume 1,946,965 1,975,453 28,488 1.5% 9,336,887
Daily Pivots for day following 04-Jun-2009
Classic Woodie Camarilla DeMark
R4 978.75 973.75 948.25
R3 964.75 959.75 944.25
R2 950.75 950.75 943.00
R1 945.75 945.75 941.75 948.25
PP 936.75 936.75 936.75 938.00
S1 931.75 931.75 939.25 934.25
S2 922.75 922.75 938.00
S3 908.75 917.75 936.75
S4 894.75 903.75 932.75
Weekly Pivots for week ending 29-May-2009
Classic Woodie Camarilla DeMark
R4 1,060.50 1,040.25 946.00
R3 1,009.50 989.25 932.00
R2 958.50 958.50 927.25
R1 938.25 938.25 922.75 948.50
PP 907.50 907.50 907.50 912.50
S1 887.25 887.25 913.25 897.50
S2 856.50 856.50 908.75
S3 805.50 836.25 904.00
S4 754.50 785.25 890.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 949.00 902.25 46.75 5.0% 21.50 2.3% 82% False False 2,164,976
10 949.00 876.75 72.25 7.7% 22.50 2.4% 88% False False 2,263,707
20 949.00 875.25 73.75 7.8% 23.00 2.4% 88% False False 2,302,095
40 949.00 802.25 146.75 15.6% 23.25 2.5% 94% False False 2,286,607
60 949.00 708.00 241.00 25.6% 25.25 2.7% 96% False False 2,325,798
80 949.00 662.75 286.25 30.4% 26.00 2.8% 97% False False 1,750,843
100 949.00 662.75 286.25 30.4% 27.50 2.9% 97% False False 1,401,930
120 949.00 662.75 286.25 30.4% 27.00 2.9% 97% False False 1,168,510
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR True
4BNR True
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.50
Narrowest range in 8 trading days
Fibonacci Retracements and Extensions
4.250 1,001.50
2.618 978.75
1.618 964.75
1.000 956.00
0.618 950.75
HIGH 942.00
0.618 936.75
0.500 935.00
0.382 933.25
LOW 928.00
0.618 919.25
1.000 914.00
1.618 905.25
2.618 891.25
4.250 868.50
Fisher Pivots for day following 04-Jun-2009
Pivot 1 day 3 day
R1 938.75 939.00
PP 936.75 937.25
S1 935.00 935.75

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These figures are updated between 7pm and 10pm EST after a trading day.

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