E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 07-Jul-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
06-Jul-2009 |
07-Jul-2009 |
Change |
Change % |
Previous Week |
| Open |
892.00 |
895.75 |
3.75 |
0.4% |
913.00 |
| High |
896.25 |
898.25 |
2.00 |
0.2% |
928.25 |
| Low |
882.00 |
875.25 |
-6.75 |
-0.8% |
892.75 |
| Close |
895.50 |
879.25 |
-16.25 |
-1.8% |
893.25 |
| Range |
14.25 |
23.00 |
8.75 |
61.4% |
35.50 |
| ATR |
19.16 |
19.44 |
0.27 |
1.4% |
0.00 |
| Volume |
1,850,449 |
1,736,323 |
-114,126 |
-6.2% |
6,354,139 |
|
| Daily Pivots for day following 07-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
953.25 |
939.25 |
892.00 |
|
| R3 |
930.25 |
916.25 |
885.50 |
|
| R2 |
907.25 |
907.25 |
883.50 |
|
| R1 |
893.25 |
893.25 |
881.25 |
888.75 |
| PP |
884.25 |
884.25 |
884.25 |
882.00 |
| S1 |
870.25 |
870.25 |
877.25 |
865.75 |
| S2 |
861.25 |
861.25 |
875.00 |
|
| S3 |
838.25 |
847.25 |
873.00 |
|
| S4 |
815.25 |
824.25 |
866.50 |
|
|
| 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 |
875.25 |
53.00 |
6.0% |
19.50 |
2.2% |
8% |
False |
True |
1,706,181 |
| 10 |
928.25 |
875.25 |
53.00 |
6.0% |
18.00 |
2.0% |
8% |
False |
True |
1,784,745 |
| 20 |
952.75 |
875.25 |
77.50 |
8.8% |
18.25 |
2.1% |
5% |
False |
True |
1,617,787 |
| 40 |
953.00 |
871.00 |
82.00 |
9.3% |
20.25 |
2.3% |
10% |
False |
False |
817,258 |
| 60 |
953.00 |
819.75 |
133.25 |
15.2% |
21.00 |
2.4% |
45% |
False |
False |
546,374 |
| 80 |
953.00 |
738.25 |
214.75 |
24.4% |
22.50 |
2.6% |
66% |
False |
False |
410,065 |
| 100 |
953.00 |
662.00 |
291.00 |
33.1% |
23.50 |
2.7% |
75% |
False |
False |
328,063 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
996.00 |
|
2.618 |
958.50 |
|
1.618 |
935.50 |
|
1.000 |
921.25 |
|
0.618 |
912.50 |
|
HIGH |
898.25 |
|
0.618 |
889.50 |
|
0.500 |
886.75 |
|
0.382 |
884.00 |
|
LOW |
875.25 |
|
0.618 |
861.00 |
|
1.000 |
852.25 |
|
1.618 |
838.00 |
|
2.618 |
815.00 |
|
4.250 |
777.50 |
|
|
| Fisher Pivots for day following 07-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
886.75 |
897.50 |
| PP |
884.25 |
891.50 |
| S1 |
881.75 |
885.25 |
|