E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 21-May-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-May-2009 |
21-May-2009 |
Change |
Change % |
Previous Week |
| Open |
900.00 |
895.25 |
-4.75 |
-0.5% |
921.75 |
| High |
918.50 |
896.25 |
-22.25 |
-2.4% |
921.75 |
| Low |
894.75 |
873.50 |
-21.25 |
-2.4% |
872.25 |
| Close |
895.25 |
884.25 |
-11.00 |
-1.2% |
878.50 |
| Range |
23.75 |
22.75 |
-1.00 |
-4.2% |
49.50 |
| ATR |
23.18 |
23.15 |
-0.03 |
-0.1% |
0.00 |
| Volume |
10,066 |
7,918 |
-2,148 |
-21.3% |
33,717 |
|
| Daily Pivots for day following 21-May-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
953.00 |
941.25 |
896.75 |
|
| R3 |
930.25 |
918.50 |
890.50 |
|
| R2 |
907.50 |
907.50 |
888.50 |
|
| R1 |
895.75 |
895.75 |
886.25 |
890.25 |
| PP |
884.75 |
884.75 |
884.75 |
882.00 |
| S1 |
873.00 |
873.00 |
882.25 |
867.50 |
| S2 |
862.00 |
862.00 |
880.00 |
|
| S3 |
839.25 |
850.25 |
878.00 |
|
| S4 |
816.50 |
827.50 |
871.75 |
|
|
| 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 |
5.4% |
22.00 |
2.5% |
28% |
False |
False |
8,501 |
| 10 |
923.00 |
871.00 |
52.00 |
5.9% |
22.25 |
2.5% |
25% |
False |
False |
7,022 |
| 20 |
924.75 |
835.25 |
89.50 |
10.1% |
22.50 |
2.5% |
55% |
False |
False |
6,074 |
| 40 |
924.75 |
772.25 |
152.50 |
17.2% |
23.75 |
2.7% |
73% |
False |
False |
4,431 |
| 60 |
924.75 |
662.00 |
262.75 |
29.7% |
25.25 |
2.9% |
85% |
False |
False |
3,022 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
993.00 |
|
2.618 |
955.75 |
|
1.618 |
933.00 |
|
1.000 |
919.00 |
|
0.618 |
910.25 |
|
HIGH |
896.25 |
|
0.618 |
887.50 |
|
0.500 |
885.00 |
|
0.382 |
882.25 |
|
LOW |
873.50 |
|
0.618 |
859.50 |
|
1.000 |
850.75 |
|
1.618 |
836.75 |
|
2.618 |
814.00 |
|
4.250 |
776.75 |
|
|
| Fisher Pivots for day following 21-May-2009 |
| Pivot |
1 day |
3 day |
| R1 |
885.00 |
896.00 |
| PP |
884.75 |
892.00 |
| S1 |
884.50 |
888.25 |
|