E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 30-Jun-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Jun-2009 |
30-Jun-2009 |
Change |
Change % |
Previous Week |
| Open |
913.00 |
921.50 |
8.50 |
0.9% |
914.50 |
| High |
924.00 |
926.25 |
2.25 |
0.2% |
919.25 |
| Low |
907.25 |
908.25 |
1.00 |
0.1% |
884.25 |
| Close |
921.25 |
915.50 |
-5.75 |
-0.6% |
914.00 |
| Range |
16.75 |
18.00 |
1.25 |
7.5% |
35.00 |
| ATR |
19.39 |
19.29 |
-0.10 |
-0.5% |
0.00 |
| Volume |
1,410,004 |
1,346,711 |
-63,293 |
-4.5% |
9,530,440 |
|
| Daily Pivots for day following 30-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
970.75 |
961.00 |
925.50 |
|
| R3 |
952.75 |
943.00 |
920.50 |
|
| R2 |
934.75 |
934.75 |
918.75 |
|
| R1 |
925.00 |
925.00 |
917.25 |
921.00 |
| PP |
916.75 |
916.75 |
916.75 |
914.50 |
| S1 |
907.00 |
907.00 |
913.75 |
903.00 |
| S2 |
898.75 |
898.75 |
912.25 |
|
| S3 |
880.75 |
889.00 |
910.50 |
|
| S4 |
862.75 |
871.00 |
905.50 |
|
|
| 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 |
926.25 |
888.25 |
38.00 |
4.2% |
18.00 |
2.0% |
72% |
True |
False |
1,723,893 |
| 10 |
926.25 |
884.25 |
42.00 |
4.6% |
17.50 |
1.9% |
74% |
True |
False |
1,880,513 |
| 20 |
953.00 |
884.25 |
68.75 |
7.5% |
18.50 |
2.0% |
45% |
False |
False |
1,267,295 |
| 40 |
953.00 |
871.00 |
82.00 |
9.0% |
20.50 |
2.2% |
54% |
False |
False |
638,272 |
| 60 |
953.00 |
799.25 |
153.75 |
16.8% |
21.50 |
2.3% |
76% |
False |
False |
426,746 |
| 80 |
953.00 |
665.50 |
287.50 |
31.4% |
23.25 |
2.5% |
87% |
False |
False |
320,264 |
| 100 |
953.00 |
662.00 |
291.00 |
31.8% |
23.50 |
2.6% |
87% |
False |
False |
256,221 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,002.75 |
|
2.618 |
973.25 |
|
1.618 |
955.25 |
|
1.000 |
944.25 |
|
0.618 |
937.25 |
|
HIGH |
926.25 |
|
0.618 |
919.25 |
|
0.500 |
917.25 |
|
0.382 |
915.25 |
|
LOW |
908.25 |
|
0.618 |
897.25 |
|
1.000 |
890.25 |
|
1.618 |
879.25 |
|
2.618 |
861.25 |
|
4.250 |
831.75 |
|
|
| Fisher Pivots for day following 30-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
917.25 |
916.75 |
| PP |
916.75 |
916.25 |
| S1 |
916.00 |
916.00 |
|