E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 02-Jul-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Jul-2009 |
02-Jul-2009 |
Change |
Change % |
Previous Week |
| Open |
915.75 |
919.25 |
3.50 |
0.4% |
914.50 |
| High |
928.25 |
919.75 |
-8.50 |
-0.9% |
919.25 |
| Low |
913.50 |
892.75 |
-20.75 |
-2.3% |
884.25 |
| Close |
919.25 |
893.25 |
-26.00 |
-2.8% |
914.00 |
| Range |
14.75 |
27.00 |
12.25 |
83.1% |
35.00 |
| ATR |
18.97 |
19.54 |
0.57 |
3.0% |
0.00 |
| Volume |
2,062,874 |
1,534,550 |
-528,324 |
-25.6% |
9,530,440 |
|
| Daily Pivots for day following 02-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
983.00 |
965.00 |
908.00 |
|
| R3 |
956.00 |
938.00 |
900.75 |
|
| R2 |
929.00 |
929.00 |
898.25 |
|
| R1 |
911.00 |
911.00 |
895.75 |
906.50 |
| PP |
902.00 |
902.00 |
902.00 |
899.50 |
| S1 |
884.00 |
884.00 |
890.75 |
879.50 |
| S2 |
875.00 |
875.00 |
888.25 |
|
| S3 |
848.00 |
857.00 |
885.75 |
|
| S4 |
821.00 |
830.00 |
878.50 |
|
|
| 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 |
928.25 |
892.75 |
35.50 |
4.0% |
17.50 |
1.9% |
1% |
False |
True |
1,726,480 |
| 10 |
928.25 |
884.25 |
44.00 |
4.9% |
18.50 |
2.1% |
20% |
False |
False |
1,777,286 |
| 20 |
953.00 |
884.25 |
68.75 |
7.7% |
18.75 |
2.1% |
13% |
False |
False |
1,442,800 |
| 40 |
953.00 |
871.00 |
82.00 |
9.2% |
20.50 |
2.3% |
27% |
False |
False |
728,032 |
| 60 |
953.00 |
799.25 |
153.75 |
17.2% |
21.25 |
2.4% |
61% |
False |
False |
486,653 |
| 80 |
953.00 |
709.75 |
243.25 |
27.2% |
22.75 |
2.5% |
75% |
False |
False |
365,231 |
| 100 |
953.00 |
662.00 |
291.00 |
32.6% |
23.50 |
2.6% |
79% |
False |
False |
292,196 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,034.50 |
|
2.618 |
990.50 |
|
1.618 |
963.50 |
|
1.000 |
946.75 |
|
0.618 |
936.50 |
|
HIGH |
919.75 |
|
0.618 |
909.50 |
|
0.500 |
906.25 |
|
0.382 |
903.00 |
|
LOW |
892.75 |
|
0.618 |
876.00 |
|
1.000 |
865.75 |
|
1.618 |
849.00 |
|
2.618 |
822.00 |
|
4.250 |
778.00 |
|
|
| Fisher Pivots for day following 02-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
906.25 |
910.50 |
| PP |
902.00 |
904.75 |
| S1 |
897.50 |
899.00 |
|