E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 15-Jun-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Jun-2009 |
15-Jun-2009 |
Change |
Change % |
Previous Week |
| Open |
937.50 |
938.50 |
1.00 |
0.1% |
928.50 |
| High |
942.75 |
938.75 |
-4.00 |
-0.4% |
952.75 |
| Low |
931.25 |
915.25 |
-16.00 |
-1.7% |
921.25 |
| Close |
940.75 |
919.50 |
-21.25 |
-2.3% |
940.75 |
| Range |
11.50 |
23.50 |
12.00 |
104.3% |
31.50 |
| ATR |
21.22 |
21.53 |
0.31 |
1.4% |
0.00 |
| Volume |
1,874,660 |
1,690,111 |
-184,549 |
-9.8% |
2,586,962 |
|
| Daily Pivots for day following 15-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
995.00 |
980.75 |
932.50 |
|
| R3 |
971.50 |
957.25 |
926.00 |
|
| R2 |
948.00 |
948.00 |
923.75 |
|
| R1 |
933.75 |
933.75 |
921.75 |
929.00 |
| PP |
924.50 |
924.50 |
924.50 |
922.25 |
| S1 |
910.25 |
910.25 |
917.25 |
905.50 |
| S2 |
901.00 |
901.00 |
915.25 |
|
| S3 |
877.50 |
886.75 |
913.00 |
|
| S4 |
854.00 |
863.25 |
906.50 |
|
|
| Weekly Pivots for week ending 12-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,032.75 |
1,018.25 |
958.00 |
|
| R3 |
1,001.25 |
986.75 |
949.50 |
|
| R2 |
969.75 |
969.75 |
946.50 |
|
| R1 |
955.25 |
955.25 |
943.75 |
962.50 |
| PP |
938.25 |
938.25 |
938.25 |
942.00 |
| S1 |
923.75 |
923.75 |
937.75 |
931.00 |
| S2 |
906.75 |
906.75 |
935.00 |
|
| S3 |
875.25 |
892.25 |
932.00 |
|
| S4 |
843.75 |
860.75 |
923.50 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
952.75 |
915.25 |
37.50 |
4.1% |
19.00 |
2.1% |
11% |
False |
True |
843,939 |
| 10 |
953.00 |
915.25 |
37.75 |
4.1% |
19.25 |
2.1% |
11% |
False |
True |
441,457 |
| 20 |
953.00 |
871.00 |
82.00 |
8.9% |
21.50 |
2.3% |
59% |
False |
False |
226,028 |
| 40 |
953.00 |
819.75 |
133.25 |
14.5% |
22.25 |
2.4% |
75% |
False |
False |
115,951 |
| 60 |
953.00 |
758.25 |
194.75 |
21.2% |
23.50 |
2.5% |
83% |
False |
False |
77,804 |
| 80 |
953.00 |
662.00 |
291.00 |
31.6% |
24.50 |
2.7% |
88% |
False |
False |
58,377 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,038.50 |
|
2.618 |
1,000.25 |
|
1.618 |
976.75 |
|
1.000 |
962.25 |
|
0.618 |
953.25 |
|
HIGH |
938.75 |
|
0.618 |
929.75 |
|
0.500 |
927.00 |
|
0.382 |
924.25 |
|
LOW |
915.25 |
|
0.618 |
900.75 |
|
1.000 |
891.75 |
|
1.618 |
877.25 |
|
2.618 |
853.75 |
|
4.250 |
815.50 |
|
|
| Fisher Pivots for day following 15-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
927.00 |
934.00 |
| PP |
924.50 |
929.25 |
| S1 |
922.00 |
924.25 |
|