E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 29-Jun-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Jun-2009 |
29-Jun-2009 |
Change |
Change % |
Previous Week |
| Open |
917.00 |
913.00 |
-4.00 |
-0.4% |
914.50 |
| High |
919.00 |
924.00 |
5.00 |
0.5% |
919.25 |
| Low |
908.50 |
907.25 |
-1.25 |
-0.1% |
884.25 |
| Close |
914.00 |
921.25 |
7.25 |
0.8% |
914.00 |
| Range |
10.50 |
16.75 |
6.25 |
59.5% |
35.00 |
| ATR |
19.59 |
19.39 |
-0.20 |
-1.0% |
0.00 |
| Volume |
2,278,262 |
1,410,004 |
-868,258 |
-38.1% |
9,530,440 |
|
| Daily Pivots for day following 29-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
967.75 |
961.25 |
930.50 |
|
| R3 |
951.00 |
944.50 |
925.75 |
|
| R2 |
934.25 |
934.25 |
924.25 |
|
| R1 |
927.75 |
927.75 |
922.75 |
931.00 |
| PP |
917.50 |
917.50 |
917.50 |
919.00 |
| S1 |
911.00 |
911.00 |
919.75 |
914.25 |
| S2 |
900.75 |
900.75 |
918.25 |
|
| S3 |
884.00 |
894.25 |
916.75 |
|
| S4 |
867.25 |
877.50 |
912.00 |
|
|
| Weekly Pivots for week ending 26-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,010.75 |
997.50 |
933.25 |
|
| R3 |
975.75 |
962.50 |
923.50 |
|
| R2 |
940.75 |
940.75 |
920.50 |
|
| R1 |
927.50 |
927.50 |
917.25 |
916.50 |
| PP |
905.75 |
905.75 |
905.75 |
900.50 |
| S1 |
892.50 |
892.50 |
910.75 |
881.50 |
| S2 |
870.75 |
870.75 |
907.50 |
|
| S3 |
835.75 |
857.50 |
904.50 |
|
| S4 |
800.75 |
822.50 |
894.75 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
924.00 |
884.25 |
39.75 |
4.3% |
16.50 |
1.8% |
93% |
True |
False |
1,863,309 |
| 10 |
924.75 |
884.25 |
40.50 |
4.4% |
17.50 |
1.9% |
91% |
False |
False |
1,960,513 |
| 20 |
953.00 |
884.25 |
68.75 |
7.5% |
18.25 |
2.0% |
54% |
False |
False |
1,200,985 |
| 40 |
953.00 |
871.00 |
82.00 |
8.9% |
20.75 |
2.2% |
61% |
False |
False |
604,641 |
| 60 |
953.00 |
799.25 |
153.75 |
16.7% |
21.50 |
2.3% |
79% |
False |
False |
404,324 |
| 80 |
953.00 |
662.00 |
291.00 |
31.6% |
23.25 |
2.5% |
89% |
False |
False |
303,432 |
| 100 |
953.00 |
662.00 |
291.00 |
31.6% |
23.50 |
2.6% |
89% |
False |
False |
242,754 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
995.25 |
|
2.618 |
967.75 |
|
1.618 |
951.00 |
|
1.000 |
940.75 |
|
0.618 |
934.25 |
|
HIGH |
924.00 |
|
0.618 |
917.50 |
|
0.500 |
915.50 |
|
0.382 |
913.75 |
|
LOW |
907.25 |
|
0.618 |
897.00 |
|
1.000 |
890.50 |
|
1.618 |
880.25 |
|
2.618 |
863.50 |
|
4.250 |
836.00 |
|
|
| Fisher Pivots for day following 29-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
919.50 |
916.75 |
| PP |
917.50 |
912.00 |
| S1 |
915.50 |
907.50 |
|