E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 11-Jun-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Jun-2009 |
11-Jun-2009 |
Change |
Change % |
Previous Week |
| Open |
934.50 |
936.00 |
1.50 |
0.2% |
916.50 |
| High |
950.75 |
952.75 |
2.00 |
0.2% |
953.00 |
| Low |
923.00 |
932.75 |
9.75 |
1.1% |
912.25 |
| Close |
936.50 |
938.25 |
1.75 |
0.2% |
936.00 |
| Range |
27.75 |
20.00 |
-7.75 |
-27.9% |
40.75 |
| ATR |
22.12 |
21.97 |
-0.15 |
-0.7% |
0.00 |
| Volume |
177,889 |
399,761 |
221,872 |
124.7% |
150,811 |
|
| Daily Pivots for day following 11-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,001.25 |
989.75 |
949.25 |
|
| R3 |
981.25 |
969.75 |
943.75 |
|
| R2 |
961.25 |
961.25 |
942.00 |
|
| R1 |
949.75 |
949.75 |
940.00 |
955.50 |
| PP |
941.25 |
941.25 |
941.25 |
944.00 |
| S1 |
929.75 |
929.75 |
936.50 |
935.50 |
| S2 |
921.25 |
921.25 |
934.50 |
|
| S3 |
901.25 |
909.75 |
932.75 |
|
| S4 |
881.25 |
889.75 |
927.25 |
|
|
| Weekly Pivots for week ending 05-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,056.00 |
1,036.75 |
958.50 |
|
| R3 |
1,015.25 |
996.00 |
947.25 |
|
| R2 |
974.50 |
974.50 |
943.50 |
|
| R1 |
955.25 |
955.25 |
939.75 |
965.00 |
| PP |
933.75 |
933.75 |
933.75 |
938.50 |
| S1 |
914.50 |
914.50 |
932.25 |
924.00 |
| S2 |
893.00 |
893.00 |
928.50 |
|
| S3 |
852.25 |
873.75 |
924.75 |
|
| S4 |
811.50 |
833.00 |
913.50 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
953.00 |
921.25 |
31.75 |
3.4% |
21.00 |
2.2% |
54% |
False |
False |
148,391 |
| 10 |
953.00 |
898.00 |
55.00 |
5.9% |
21.00 |
2.2% |
73% |
False |
False |
87,766 |
| 20 |
953.00 |
871.00 |
82.00 |
8.7% |
21.50 |
2.3% |
82% |
False |
False |
48,454 |
| 40 |
953.00 |
819.75 |
133.25 |
14.2% |
22.25 |
2.4% |
89% |
False |
False |
26,935 |
| 60 |
953.00 |
758.25 |
194.75 |
20.8% |
24.00 |
2.5% |
92% |
False |
False |
18,398 |
| 80 |
953.00 |
662.00 |
291.00 |
31.0% |
24.50 |
2.6% |
95% |
False |
False |
13,818 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,037.75 |
|
2.618 |
1,005.00 |
|
1.618 |
985.00 |
|
1.000 |
972.75 |
|
0.618 |
965.00 |
|
HIGH |
952.75 |
|
0.618 |
945.00 |
|
0.500 |
942.75 |
|
0.382 |
940.50 |
|
LOW |
932.75 |
|
0.618 |
920.50 |
|
1.000 |
912.75 |
|
1.618 |
900.50 |
|
2.618 |
880.50 |
|
4.250 |
847.75 |
|
|
| Fisher Pivots for day following 11-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
942.75 |
938.00 |
| PP |
941.25 |
938.00 |
| S1 |
939.75 |
938.00 |
|