E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 01-Jul-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Jun-2009 |
01-Jul-2009 |
Change |
Change % |
Previous Week |
| Open |
921.50 |
915.75 |
-5.75 |
-0.6% |
914.50 |
| High |
926.25 |
928.25 |
2.00 |
0.2% |
919.25 |
| Low |
908.25 |
913.50 |
5.25 |
0.6% |
884.25 |
| Close |
915.50 |
919.25 |
3.75 |
0.4% |
914.00 |
| Range |
18.00 |
14.75 |
-3.25 |
-18.1% |
35.00 |
| ATR |
19.29 |
18.97 |
-0.32 |
-1.7% |
0.00 |
| Volume |
1,346,711 |
2,062,874 |
716,163 |
53.2% |
9,530,440 |
|
| Daily Pivots for day following 01-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
964.50 |
956.75 |
927.25 |
|
| R3 |
949.75 |
942.00 |
923.25 |
|
| R2 |
935.00 |
935.00 |
922.00 |
|
| R1 |
927.25 |
927.25 |
920.50 |
931.00 |
| PP |
920.25 |
920.25 |
920.25 |
922.25 |
| S1 |
912.50 |
912.50 |
918.00 |
916.50 |
| S2 |
905.50 |
905.50 |
916.50 |
|
| S3 |
890.75 |
897.75 |
915.25 |
|
| S4 |
876.00 |
883.00 |
911.25 |
|
|
| 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 |
928.25 |
891.00 |
37.25 |
4.1% |
17.25 |
1.9% |
76% |
True |
False |
1,769,536 |
| 10 |
928.25 |
884.25 |
44.00 |
4.8% |
17.50 |
1.9% |
80% |
True |
False |
1,860,045 |
| 20 |
953.00 |
884.25 |
68.75 |
7.5% |
18.00 |
2.0% |
51% |
False |
False |
1,368,853 |
| 40 |
953.00 |
871.00 |
82.00 |
8.9% |
20.50 |
2.2% |
59% |
False |
False |
689,766 |
| 60 |
953.00 |
799.25 |
153.75 |
16.7% |
21.25 |
2.3% |
78% |
False |
False |
461,100 |
| 80 |
953.00 |
665.50 |
287.50 |
31.3% |
23.00 |
2.5% |
88% |
False |
False |
346,049 |
| 100 |
953.00 |
662.00 |
291.00 |
31.7% |
23.50 |
2.5% |
88% |
False |
False |
276,850 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
991.00 |
|
2.618 |
966.75 |
|
1.618 |
952.00 |
|
1.000 |
943.00 |
|
0.618 |
937.25 |
|
HIGH |
928.25 |
|
0.618 |
922.50 |
|
0.500 |
921.00 |
|
0.382 |
919.25 |
|
LOW |
913.50 |
|
0.618 |
904.50 |
|
1.000 |
898.75 |
|
1.618 |
889.75 |
|
2.618 |
875.00 |
|
4.250 |
850.75 |
|
|
| Fisher Pivots for day following 01-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
921.00 |
918.75 |
| PP |
920.25 |
918.25 |
| S1 |
919.75 |
917.75 |
|