E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 06-Jul-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Jul-2009 |
06-Jul-2009 |
Change |
Change % |
Previous Week |
| Open |
919.25 |
892.00 |
-27.25 |
-3.0% |
913.00 |
| High |
919.75 |
896.25 |
-23.50 |
-2.6% |
928.25 |
| Low |
892.75 |
882.00 |
-10.75 |
-1.2% |
892.75 |
| Close |
893.25 |
895.50 |
2.25 |
0.3% |
893.25 |
| Range |
27.00 |
14.25 |
-12.75 |
-47.2% |
35.50 |
| ATR |
19.54 |
19.16 |
-0.38 |
-1.9% |
0.00 |
| Volume |
1,534,550 |
1,850,449 |
315,899 |
20.6% |
6,354,139 |
|
| Daily Pivots for day following 06-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
934.00 |
929.00 |
903.25 |
|
| R3 |
919.75 |
914.75 |
899.50 |
|
| R2 |
905.50 |
905.50 |
898.00 |
|
| R1 |
900.50 |
900.50 |
896.75 |
903.00 |
| PP |
891.25 |
891.25 |
891.25 |
892.50 |
| S1 |
886.25 |
886.25 |
894.25 |
888.75 |
| S2 |
877.00 |
877.00 |
893.00 |
|
| S3 |
862.75 |
872.00 |
891.50 |
|
| S4 |
848.50 |
857.75 |
887.75 |
|
|
| Weekly Pivots for week ending 03-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,011.25 |
987.75 |
912.75 |
|
| R3 |
975.75 |
952.25 |
903.00 |
|
| R2 |
940.25 |
940.25 |
899.75 |
|
| R1 |
916.75 |
916.75 |
896.50 |
910.75 |
| PP |
904.75 |
904.75 |
904.75 |
901.75 |
| S1 |
881.25 |
881.25 |
890.00 |
875.25 |
| S2 |
869.25 |
869.25 |
886.75 |
|
| S3 |
833.75 |
845.75 |
883.50 |
|
| S4 |
798.25 |
810.25 |
873.75 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
928.25 |
882.00 |
46.25 |
5.2% |
18.25 |
2.0% |
29% |
False |
True |
1,640,917 |
| 10 |
928.25 |
882.00 |
46.25 |
5.2% |
18.75 |
2.1% |
29% |
False |
True |
1,773,502 |
| 20 |
952.75 |
882.00 |
70.75 |
7.9% |
18.25 |
2.0% |
19% |
False |
True |
1,533,839 |
| 40 |
953.00 |
871.00 |
82.00 |
9.2% |
20.25 |
2.3% |
30% |
False |
False |
773,957 |
| 60 |
953.00 |
818.50 |
134.50 |
15.0% |
21.25 |
2.4% |
57% |
False |
False |
517,464 |
| 80 |
953.00 |
711.00 |
242.00 |
27.0% |
22.75 |
2.5% |
76% |
False |
False |
388,361 |
| 100 |
953.00 |
662.00 |
291.00 |
32.5% |
23.25 |
2.6% |
80% |
False |
False |
310,700 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
956.75 |
|
2.618 |
933.50 |
|
1.618 |
919.25 |
|
1.000 |
910.50 |
|
0.618 |
905.00 |
|
HIGH |
896.25 |
|
0.618 |
890.75 |
|
0.500 |
889.00 |
|
0.382 |
887.50 |
|
LOW |
882.00 |
|
0.618 |
873.25 |
|
1.000 |
867.75 |
|
1.618 |
859.00 |
|
2.618 |
844.75 |
|
4.250 |
821.50 |
|
|
| Fisher Pivots for day following 06-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
893.50 |
905.00 |
| PP |
891.25 |
902.00 |
| S1 |
889.00 |
898.75 |
|