E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 01-Jun-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-May-2009 |
01-Jun-2009 |
Change |
Change % |
Previous Week |
| Open |
899.75 |
916.50 |
16.75 |
1.9% |
883.00 |
| High |
921.75 |
942.75 |
21.00 |
2.3% |
921.75 |
| Low |
898.00 |
912.25 |
14.25 |
1.6% |
872.75 |
| Close |
913.50 |
934.50 |
21.00 |
2.3% |
913.50 |
| Range |
23.75 |
30.50 |
6.75 |
28.4% |
49.00 |
| ATR |
23.16 |
23.69 |
0.52 |
2.3% |
0.00 |
| Volume |
14,550 |
13,309 |
-1,241 |
-8.5% |
51,131 |
|
| Daily Pivots for day following 01-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,021.25 |
1,008.50 |
951.25 |
|
| R3 |
990.75 |
978.00 |
943.00 |
|
| R2 |
960.25 |
960.25 |
940.00 |
|
| R1 |
947.50 |
947.50 |
937.25 |
954.00 |
| PP |
929.75 |
929.75 |
929.75 |
933.00 |
| S1 |
917.00 |
917.00 |
931.75 |
923.50 |
| S2 |
899.25 |
899.25 |
929.00 |
|
| S3 |
868.75 |
886.50 |
926.00 |
|
| S4 |
838.25 |
856.00 |
917.75 |
|
|
| Weekly Pivots for week ending 29-May-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,049.75 |
1,030.50 |
940.50 |
|
| R3 |
1,000.75 |
981.50 |
927.00 |
|
| R2 |
951.75 |
951.75 |
922.50 |
|
| R1 |
932.50 |
932.50 |
918.00 |
942.00 |
| PP |
902.75 |
902.75 |
902.75 |
907.50 |
| S1 |
883.50 |
883.50 |
909.00 |
893.00 |
| S2 |
853.75 |
853.75 |
904.50 |
|
| S3 |
804.75 |
834.50 |
900.00 |
|
| S4 |
755.75 |
785.50 |
886.50 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
942.75 |
872.75 |
70.00 |
7.5% |
26.50 |
2.8% |
88% |
True |
False |
12,888 |
| 10 |
942.75 |
871.00 |
71.75 |
7.7% |
23.75 |
2.5% |
89% |
True |
False |
10,598 |
| 20 |
942.75 |
871.00 |
71.75 |
7.7% |
23.00 |
2.5% |
89% |
True |
False |
8,298 |
| 40 |
942.75 |
799.25 |
143.50 |
15.4% |
23.00 |
2.5% |
94% |
True |
False |
5,994 |
| 60 |
942.75 |
662.00 |
280.75 |
30.0% |
25.00 |
2.7% |
97% |
True |
False |
4,247 |
| 80 |
942.75 |
662.00 |
280.75 |
30.0% |
24.75 |
2.7% |
97% |
True |
False |
3,197 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,072.50 |
|
2.618 |
1,022.50 |
|
1.618 |
992.00 |
|
1.000 |
973.25 |
|
0.618 |
961.50 |
|
HIGH |
942.75 |
|
0.618 |
931.00 |
|
0.500 |
927.50 |
|
0.382 |
924.00 |
|
LOW |
912.25 |
|
0.618 |
893.50 |
|
1.000 |
881.75 |
|
1.618 |
863.00 |
|
2.618 |
832.50 |
|
4.250 |
782.50 |
|
|
| Fisher Pivots for day following 01-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
932.25 |
927.00 |
| PP |
929.75 |
919.50 |
| S1 |
927.50 |
912.00 |
|