E-mini S&P 500 Future September 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 |
937.50 |
927.25 |
-10.25 |
-1.1% |
883.00 |
| High |
941.50 |
937.50 |
-4.00 |
-0.4% |
921.75 |
| Low |
918.00 |
923.75 |
5.75 |
0.6% |
872.75 |
| Close |
927.25 |
936.00 |
8.75 |
0.9% |
913.50 |
| Range |
23.50 |
13.75 |
-9.75 |
-41.5% |
49.00 |
| ATR |
23.03 |
22.37 |
-0.66 |
-2.9% |
0.00 |
| Volume |
31,706 |
55,624 |
23,918 |
75.4% |
51,131 |
|
| Daily Pivots for day following 04-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
973.75 |
968.50 |
943.50 |
|
| R3 |
960.00 |
954.75 |
939.75 |
|
| R2 |
946.25 |
946.25 |
938.50 |
|
| R1 |
941.00 |
941.00 |
937.25 |
943.50 |
| PP |
932.50 |
932.50 |
932.50 |
933.75 |
| S1 |
927.25 |
927.25 |
934.75 |
930.00 |
| S2 |
918.75 |
918.75 |
933.50 |
|
| S3 |
905.00 |
913.50 |
932.25 |
|
| S4 |
891.25 |
899.75 |
928.50 |
|
|
| 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 |
944.00 |
898.00 |
46.00 |
4.9% |
21.00 |
2.3% |
83% |
False |
False |
27,140 |
| 10 |
944.00 |
872.75 |
71.25 |
7.6% |
22.00 |
2.3% |
89% |
False |
False |
18,955 |
| 20 |
944.00 |
871.00 |
73.00 |
7.8% |
22.50 |
2.4% |
89% |
False |
False |
13,265 |
| 40 |
944.00 |
799.25 |
144.75 |
15.5% |
22.50 |
2.4% |
94% |
False |
False |
8,580 |
| 60 |
944.00 |
709.75 |
234.25 |
25.0% |
24.00 |
2.6% |
97% |
False |
False |
6,041 |
| 80 |
944.00 |
662.00 |
282.00 |
30.1% |
24.75 |
2.6% |
97% |
False |
False |
4,545 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
996.00 |
|
2.618 |
973.50 |
|
1.618 |
959.75 |
|
1.000 |
951.25 |
|
0.618 |
946.00 |
|
HIGH |
937.50 |
|
0.618 |
932.25 |
|
0.500 |
930.50 |
|
0.382 |
929.00 |
|
LOW |
923.75 |
|
0.618 |
915.25 |
|
1.000 |
910.00 |
|
1.618 |
901.50 |
|
2.618 |
887.75 |
|
4.250 |
865.25 |
|
|
| Fisher Pivots for day following 04-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
934.25 |
934.25 |
| PP |
932.50 |
932.75 |
| S1 |
930.50 |
931.00 |
|