E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 22-Jun-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Jun-2009 |
22-Jun-2009 |
Change |
Change % |
Previous Week |
| Open |
912.25 |
914.50 |
2.25 |
0.2% |
938.50 |
| High |
923.00 |
919.25 |
-3.75 |
-0.4% |
938.75 |
| Low |
910.75 |
887.75 |
-23.00 |
-2.5% |
899.25 |
| Close |
915.75 |
888.50 |
-27.25 |
-3.0% |
915.75 |
| Range |
12.25 |
31.50 |
19.25 |
157.1% |
39.50 |
| ATR |
19.83 |
20.66 |
0.83 |
4.2% |
0.00 |
| Volume |
1,888,281 |
1,623,895 |
-264,386 |
-14.0% |
10,354,803 |
|
| Daily Pivots for day following 22-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
993.00 |
972.25 |
905.75 |
|
| R3 |
961.50 |
940.75 |
897.25 |
|
| R2 |
930.00 |
930.00 |
894.25 |
|
| R1 |
909.25 |
909.25 |
891.50 |
904.00 |
| PP |
898.50 |
898.50 |
898.50 |
895.75 |
| S1 |
877.75 |
877.75 |
885.50 |
872.50 |
| S2 |
867.00 |
867.00 |
882.75 |
|
| S3 |
835.50 |
846.25 |
879.75 |
|
| S4 |
804.00 |
814.75 |
871.25 |
|
|
| Weekly Pivots for week ending 19-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,036.50 |
1,015.50 |
937.50 |
|
| R3 |
997.00 |
976.00 |
926.50 |
|
| R2 |
957.50 |
957.50 |
923.00 |
|
| R1 |
936.50 |
936.50 |
919.25 |
927.25 |
| PP |
918.00 |
918.00 |
918.00 |
913.25 |
| S1 |
897.00 |
897.00 |
912.25 |
887.75 |
| S2 |
878.50 |
878.50 |
908.50 |
|
| S3 |
839.00 |
857.50 |
905.00 |
|
| S4 |
799.50 |
818.00 |
894.00 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
924.75 |
887.75 |
37.00 |
4.2% |
18.25 |
2.1% |
2% |
False |
True |
2,057,717 |
| 10 |
952.75 |
887.75 |
65.00 |
7.3% |
18.75 |
2.1% |
1% |
False |
True |
1,450,828 |
| 20 |
953.00 |
872.75 |
80.25 |
9.0% |
20.75 |
2.3% |
20% |
False |
False |
738,380 |
| 40 |
953.00 |
835.25 |
117.75 |
13.3% |
21.25 |
2.4% |
45% |
False |
False |
372,331 |
| 60 |
953.00 |
772.25 |
180.75 |
20.3% |
22.50 |
2.5% |
64% |
False |
False |
249,193 |
| 80 |
953.00 |
662.00 |
291.00 |
32.8% |
24.00 |
2.7% |
78% |
False |
False |
186,978 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,053.00 |
|
2.618 |
1,001.75 |
|
1.618 |
970.25 |
|
1.000 |
950.75 |
|
0.618 |
938.75 |
|
HIGH |
919.25 |
|
0.618 |
907.25 |
|
0.500 |
903.50 |
|
0.382 |
899.75 |
|
LOW |
887.75 |
|
0.618 |
868.25 |
|
1.000 |
856.25 |
|
1.618 |
836.75 |
|
2.618 |
805.25 |
|
4.250 |
754.00 |
|
|
| Fisher Pivots for day following 22-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
903.50 |
905.50 |
| PP |
898.50 |
899.75 |
| S1 |
893.50 |
894.00 |
|