E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 20-May-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-May-2009 |
20-May-2009 |
Change |
Change % |
Previous Week |
| Open |
903.00 |
900.00 |
-3.00 |
-0.3% |
921.75 |
| High |
911.25 |
918.50 |
7.25 |
0.8% |
921.75 |
| Low |
899.25 |
894.75 |
-4.50 |
-0.5% |
872.25 |
| Close |
902.00 |
895.25 |
-6.75 |
-0.7% |
878.50 |
| Range |
12.00 |
23.75 |
11.75 |
97.9% |
49.50 |
| ATR |
23.13 |
23.18 |
0.04 |
0.2% |
0.00 |
| Volume |
7,255 |
10,066 |
2,811 |
38.7% |
33,717 |
|
| Daily Pivots for day following 20-May-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
974.00 |
958.50 |
908.25 |
|
| R3 |
950.25 |
934.75 |
901.75 |
|
| R2 |
926.50 |
926.50 |
899.50 |
|
| R1 |
911.00 |
911.00 |
897.50 |
907.00 |
| PP |
902.75 |
902.75 |
902.75 |
900.75 |
| S1 |
887.25 |
887.25 |
893.00 |
883.00 |
| S2 |
879.00 |
879.00 |
891.00 |
|
| S3 |
855.25 |
863.50 |
888.75 |
|
| S4 |
831.50 |
839.75 |
882.25 |
|
|
| Weekly Pivots for week ending 15-May-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,039.25 |
1,008.50 |
905.75 |
|
| R3 |
989.75 |
959.00 |
892.00 |
|
| R2 |
940.25 |
940.25 |
887.50 |
|
| R1 |
909.50 |
909.50 |
883.00 |
900.00 |
| PP |
890.75 |
890.75 |
890.75 |
886.25 |
| S1 |
860.00 |
860.00 |
874.00 |
850.50 |
| S2 |
841.25 |
841.25 |
869.50 |
|
| S3 |
791.75 |
810.50 |
865.00 |
|
| S4 |
742.25 |
761.00 |
851.25 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
918.50 |
871.00 |
47.50 |
5.3% |
20.75 |
2.3% |
51% |
True |
False |
7,515 |
| 10 |
924.75 |
871.00 |
53.75 |
6.0% |
23.00 |
2.6% |
45% |
False |
False |
7,575 |
| 20 |
924.75 |
827.75 |
97.00 |
10.8% |
22.25 |
2.5% |
70% |
False |
False |
6,180 |
| 40 |
924.75 |
772.25 |
152.50 |
17.0% |
24.00 |
2.7% |
81% |
False |
False |
4,266 |
| 60 |
924.75 |
662.00 |
262.75 |
29.3% |
25.25 |
2.8% |
89% |
False |
False |
2,897 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,019.50 |
|
2.618 |
980.75 |
|
1.618 |
957.00 |
|
1.000 |
942.25 |
|
0.618 |
933.25 |
|
HIGH |
918.50 |
|
0.618 |
909.50 |
|
0.500 |
906.50 |
|
0.382 |
903.75 |
|
LOW |
894.75 |
|
0.618 |
880.00 |
|
1.000 |
871.00 |
|
1.618 |
856.25 |
|
2.618 |
832.50 |
|
4.250 |
793.75 |
|
|
| Fisher Pivots for day following 20-May-2009 |
| Pivot |
1 day |
3 day |
| R1 |
906.50 |
895.00 |
| PP |
902.75 |
895.00 |
| S1 |
899.00 |
894.75 |
|