E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 16-Jun-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Jun-2009 |
16-Jun-2009 |
Change |
Change % |
Previous Week |
| Open |
938.50 |
919.75 |
-18.75 |
-2.0% |
928.50 |
| High |
938.75 |
924.75 |
-14.00 |
-1.5% |
952.75 |
| Low |
915.25 |
906.50 |
-8.75 |
-1.0% |
921.25 |
| Close |
919.50 |
907.75 |
-11.75 |
-1.3% |
940.75 |
| Range |
23.50 |
18.25 |
-5.25 |
-22.3% |
31.50 |
| ATR |
21.53 |
21.29 |
-0.23 |
-1.1% |
0.00 |
| Volume |
1,690,111 |
2,146,711 |
456,600 |
27.0% |
2,586,962 |
|
| Daily Pivots for day following 16-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
967.75 |
956.00 |
917.75 |
|
| R3 |
949.50 |
937.75 |
912.75 |
|
| R2 |
931.25 |
931.25 |
911.00 |
|
| R1 |
919.50 |
919.50 |
909.50 |
916.25 |
| PP |
913.00 |
913.00 |
913.00 |
911.50 |
| S1 |
901.25 |
901.25 |
906.00 |
898.00 |
| S2 |
894.75 |
894.75 |
904.50 |
|
| S3 |
876.50 |
883.00 |
902.75 |
|
| S4 |
858.25 |
864.75 |
897.75 |
|
|
| 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 |
906.50 |
46.25 |
5.1% |
20.25 |
2.2% |
3% |
False |
True |
1,257,826 |
| 10 |
953.00 |
906.50 |
46.50 |
5.1% |
19.50 |
2.2% |
3% |
False |
True |
654,077 |
| 20 |
953.00 |
872.75 |
80.25 |
8.8% |
20.75 |
2.3% |
44% |
False |
False |
333,015 |
| 40 |
953.00 |
819.75 |
133.25 |
14.7% |
21.75 |
2.4% |
66% |
False |
False |
169,419 |
| 60 |
953.00 |
772.25 |
180.75 |
19.9% |
23.25 |
2.6% |
75% |
False |
False |
113,581 |
| 80 |
953.00 |
662.00 |
291.00 |
32.1% |
24.50 |
2.7% |
84% |
False |
False |
85,211 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,002.25 |
|
2.618 |
972.50 |
|
1.618 |
954.25 |
|
1.000 |
943.00 |
|
0.618 |
936.00 |
|
HIGH |
924.75 |
|
0.618 |
917.75 |
|
0.500 |
915.50 |
|
0.382 |
913.50 |
|
LOW |
906.50 |
|
0.618 |
895.25 |
|
1.000 |
888.25 |
|
1.618 |
877.00 |
|
2.618 |
858.75 |
|
4.250 |
829.00 |
|
|
| Fisher Pivots for day following 16-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
915.50 |
924.50 |
| PP |
913.00 |
919.00 |
| S1 |
910.50 |
913.50 |
|