E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 28-May-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-May-2009 |
28-May-2009 |
Change |
Change % |
Previous Week |
| Open |
902.75 |
886.50 |
-16.25 |
-1.8% |
876.00 |
| High |
909.00 |
904.00 |
-5.00 |
-0.6% |
918.50 |
| Low |
886.25 |
881.50 |
-4.75 |
-0.5% |
871.00 |
| Close |
888.00 |
900.50 |
12.50 |
1.4% |
880.50 |
| Range |
22.75 |
22.50 |
-0.25 |
-1.1% |
47.50 |
| ATR |
23.16 |
23.12 |
-0.05 |
-0.2% |
0.00 |
| Volume |
16,453 |
11,697 |
-4,756 |
-28.9% |
41,547 |
|
| Daily Pivots for day following 28-May-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
962.75 |
954.25 |
913.00 |
|
| R3 |
940.25 |
931.75 |
906.75 |
|
| R2 |
917.75 |
917.75 |
904.50 |
|
| R1 |
909.25 |
909.25 |
902.50 |
913.50 |
| PP |
895.25 |
895.25 |
895.25 |
897.50 |
| S1 |
886.75 |
886.75 |
898.50 |
891.00 |
| S2 |
872.75 |
872.75 |
896.50 |
|
| S3 |
850.25 |
864.25 |
894.25 |
|
| S4 |
827.75 |
841.75 |
888.00 |
|
|
| Weekly Pivots for week ending 22-May-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,032.50 |
1,004.00 |
906.50 |
|
| R3 |
985.00 |
956.50 |
893.50 |
|
| R2 |
937.50 |
937.50 |
889.25 |
|
| R1 |
909.00 |
909.00 |
884.75 |
923.25 |
| PP |
890.00 |
890.00 |
890.00 |
897.00 |
| S1 |
861.50 |
861.50 |
876.25 |
875.75 |
| S2 |
842.50 |
842.50 |
871.75 |
|
| S3 |
795.00 |
814.00 |
867.50 |
|
| S4 |
747.50 |
766.50 |
854.50 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
909.00 |
872.75 |
36.25 |
4.0% |
22.75 |
2.5% |
77% |
False |
False |
10,769 |
| 10 |
918.50 |
871.00 |
47.50 |
5.3% |
21.75 |
2.4% |
62% |
False |
False |
9,142 |
| 20 |
924.75 |
859.00 |
65.75 |
7.3% |
22.25 |
2.5% |
63% |
False |
False |
7,415 |
| 40 |
924.75 |
776.00 |
148.75 |
16.5% |
23.25 |
2.6% |
84% |
False |
False |
5,375 |
| 60 |
924.75 |
662.00 |
262.75 |
29.2% |
25.25 |
2.8% |
91% |
False |
False |
3,785 |
| 80 |
924.75 |
662.00 |
262.75 |
29.2% |
24.50 |
2.7% |
91% |
False |
False |
2,849 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
999.50 |
|
2.618 |
963.00 |
|
1.618 |
940.50 |
|
1.000 |
926.50 |
|
0.618 |
918.00 |
|
HIGH |
904.00 |
|
0.618 |
895.50 |
|
0.500 |
892.75 |
|
0.382 |
890.00 |
|
LOW |
881.50 |
|
0.618 |
867.50 |
|
1.000 |
859.00 |
|
1.618 |
845.00 |
|
2.618 |
822.50 |
|
4.250 |
786.00 |
|
|
| Fisher Pivots for day following 28-May-2009 |
| Pivot |
1 day |
3 day |
| R1 |
898.00 |
897.25 |
| PP |
895.25 |
894.00 |
| S1 |
892.75 |
891.00 |
|