E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 25-Jun-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Jun-2009 |
25-Jun-2009 |
Change |
Change % |
Previous Week |
| Open |
890.50 |
898.00 |
7.50 |
0.8% |
938.50 |
| High |
906.50 |
917.75 |
11.25 |
1.2% |
938.75 |
| Low |
888.25 |
891.00 |
2.75 |
0.3% |
899.25 |
| Close |
898.00 |
916.50 |
18.50 |
2.1% |
915.75 |
| Range |
18.25 |
26.75 |
8.50 |
46.6% |
39.50 |
| ATR |
19.80 |
20.29 |
0.50 |
2.5% |
0.00 |
| Volume |
1,834,657 |
1,749,833 |
-84,824 |
-4.6% |
10,354,803 |
|
| Daily Pivots for day following 25-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
988.75 |
979.25 |
931.25 |
|
| R3 |
962.00 |
952.50 |
923.75 |
|
| R2 |
935.25 |
935.25 |
921.50 |
|
| R1 |
925.75 |
925.75 |
919.00 |
930.50 |
| PP |
908.50 |
908.50 |
908.50 |
910.75 |
| S1 |
899.00 |
899.00 |
914.00 |
903.75 |
| S2 |
881.75 |
881.75 |
911.50 |
|
| S3 |
855.00 |
872.25 |
909.25 |
|
| S4 |
828.25 |
845.50 |
901.75 |
|
|
| 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 |
4.2% |
19.75 |
2.2% |
83% |
False |
False |
1,828,091 |
| 10 |
942.75 |
884.25 |
58.50 |
6.4% |
18.25 |
2.0% |
55% |
False |
False |
1,948,164 |
| 20 |
953.00 |
884.25 |
68.75 |
7.5% |
19.75 |
2.1% |
47% |
False |
False |
1,017,965 |
| 40 |
953.00 |
859.00 |
94.00 |
10.3% |
21.00 |
2.3% |
61% |
False |
False |
512,690 |
| 60 |
953.00 |
776.00 |
177.00 |
19.3% |
22.00 |
2.4% |
79% |
False |
False |
342,905 |
| 80 |
953.00 |
662.00 |
291.00 |
31.8% |
23.75 |
2.6% |
87% |
False |
False |
257,330 |
| 100 |
953.00 |
662.00 |
291.00 |
31.8% |
23.50 |
2.6% |
87% |
False |
False |
205,872 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,031.50 |
|
2.618 |
987.75 |
|
1.618 |
961.00 |
|
1.000 |
944.50 |
|
0.618 |
934.25 |
|
HIGH |
917.75 |
|
0.618 |
907.50 |
|
0.500 |
904.50 |
|
0.382 |
901.25 |
|
LOW |
891.00 |
|
0.618 |
874.50 |
|
1.000 |
864.25 |
|
1.618 |
847.75 |
|
2.618 |
821.00 |
|
4.250 |
777.25 |
|
|
| Fisher Pivots for day following 25-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
912.50 |
911.25 |
| PP |
908.50 |
906.25 |
| S1 |
904.50 |
901.00 |
|