E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 08-Jul-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
07-Jul-2009 |
08-Jul-2009 |
Change |
Change % |
Previous Week |
| Open |
895.75 |
879.50 |
-16.25 |
-1.8% |
913.00 |
| High |
898.25 |
883.50 |
-14.75 |
-1.6% |
928.25 |
| Low |
875.25 |
865.25 |
-10.00 |
-1.1% |
892.75 |
| Close |
879.25 |
873.75 |
-5.50 |
-0.6% |
893.25 |
| Range |
23.00 |
18.25 |
-4.75 |
-20.7% |
35.50 |
| ATR |
19.44 |
19.35 |
-0.08 |
-0.4% |
0.00 |
| Volume |
1,736,323 |
1,930,544 |
194,221 |
11.2% |
6,354,139 |
|
| Daily Pivots for day following 08-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
929.00 |
919.50 |
883.75 |
|
| R3 |
910.75 |
901.25 |
878.75 |
|
| R2 |
892.50 |
892.50 |
877.00 |
|
| R1 |
883.00 |
883.00 |
875.50 |
878.50 |
| PP |
874.25 |
874.25 |
874.25 |
872.00 |
| S1 |
864.75 |
864.75 |
872.00 |
860.50 |
| S2 |
856.00 |
856.00 |
870.50 |
|
| S3 |
837.75 |
846.50 |
868.75 |
|
| S4 |
819.50 |
828.25 |
863.75 |
|
|
| 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 |
865.25 |
63.00 |
7.2% |
19.50 |
2.2% |
13% |
False |
True |
1,822,948 |
| 10 |
928.25 |
865.25 |
63.00 |
7.2% |
18.75 |
2.1% |
13% |
False |
True |
1,773,420 |
| 20 |
952.75 |
865.25 |
87.50 |
10.0% |
18.50 |
2.1% |
10% |
False |
True |
1,710,450 |
| 40 |
953.00 |
865.25 |
87.75 |
10.0% |
20.25 |
2.3% |
10% |
False |
True |
865,286 |
| 60 |
953.00 |
819.75 |
133.25 |
15.3% |
21.00 |
2.4% |
41% |
False |
False |
578,523 |
| 80 |
953.00 |
745.25 |
207.75 |
23.8% |
22.75 |
2.6% |
62% |
False |
False |
434,196 |
| 100 |
953.00 |
662.00 |
291.00 |
33.3% |
23.25 |
2.7% |
73% |
False |
False |
347,368 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
961.00 |
|
2.618 |
931.25 |
|
1.618 |
913.00 |
|
1.000 |
901.75 |
|
0.618 |
894.75 |
|
HIGH |
883.50 |
|
0.618 |
876.50 |
|
0.500 |
874.50 |
|
0.382 |
872.25 |
|
LOW |
865.25 |
|
0.618 |
854.00 |
|
1.000 |
847.00 |
|
1.618 |
835.75 |
|
2.618 |
817.50 |
|
4.250 |
787.75 |
|
|
| Fisher Pivots for day following 08-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
874.50 |
881.75 |
| PP |
874.25 |
879.00 |
| S1 |
874.00 |
876.50 |
|