E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 23-Jun-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Jun-2009 |
23-Jun-2009 |
Change |
Change % |
Previous Week |
| Open |
914.50 |
888.75 |
-25.75 |
-2.8% |
938.50 |
| High |
919.25 |
894.50 |
-24.75 |
-2.7% |
938.75 |
| Low |
887.75 |
884.25 |
-3.50 |
-0.4% |
899.25 |
| Close |
888.50 |
890.25 |
1.75 |
0.2% |
915.75 |
| Range |
31.50 |
10.25 |
-21.25 |
-67.5% |
39.50 |
| ATR |
20.66 |
19.92 |
-0.74 |
-3.6% |
0.00 |
| Volume |
1,623,895 |
2,043,793 |
419,898 |
25.9% |
10,354,803 |
|
| Daily Pivots for day following 23-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
920.50 |
915.50 |
896.00 |
|
| R3 |
910.25 |
905.25 |
893.00 |
|
| R2 |
900.00 |
900.00 |
892.25 |
|
| R1 |
895.00 |
895.00 |
891.25 |
897.50 |
| PP |
889.75 |
889.75 |
889.75 |
891.00 |
| S1 |
884.75 |
884.75 |
889.25 |
887.25 |
| S2 |
879.50 |
879.50 |
888.25 |
|
| S3 |
869.25 |
874.50 |
887.50 |
|
| S4 |
859.00 |
864.25 |
884.50 |
|
|
| 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 |
923.00 |
884.25 |
38.75 |
4.4% |
16.75 |
1.9% |
15% |
False |
True |
2,037,133 |
| 10 |
952.75 |
884.25 |
68.50 |
7.7% |
18.50 |
2.1% |
9% |
False |
True |
1,647,480 |
| 20 |
953.00 |
881.50 |
71.50 |
8.0% |
19.75 |
2.2% |
12% |
False |
False |
840,148 |
| 40 |
953.00 |
835.25 |
117.75 |
13.2% |
21.00 |
2.4% |
47% |
False |
False |
423,347 |
| 60 |
953.00 |
772.25 |
180.75 |
20.3% |
22.50 |
2.5% |
65% |
False |
False |
283,197 |
| 80 |
953.00 |
662.00 |
291.00 |
32.7% |
23.75 |
2.7% |
78% |
False |
False |
212,525 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
938.00 |
|
2.618 |
921.25 |
|
1.618 |
911.00 |
|
1.000 |
904.75 |
|
0.618 |
900.75 |
|
HIGH |
894.50 |
|
0.618 |
890.50 |
|
0.500 |
889.50 |
|
0.382 |
888.25 |
|
LOW |
884.25 |
|
0.618 |
878.00 |
|
1.000 |
874.00 |
|
1.618 |
867.75 |
|
2.618 |
857.50 |
|
4.250 |
840.75 |
|
|
| Fisher Pivots for day following 23-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
890.00 |
903.50 |
| PP |
889.75 |
899.25 |
| S1 |
889.50 |
894.75 |
|