E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 09-Jul-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
08-Jul-2009 |
09-Jul-2009 |
Change |
Change % |
Previous Week |
| Open |
879.50 |
874.00 |
-5.50 |
-0.6% |
913.00 |
| High |
883.50 |
884.50 |
1.00 |
0.1% |
928.25 |
| Low |
865.25 |
873.75 |
8.50 |
1.0% |
892.75 |
| Close |
873.75 |
879.00 |
5.25 |
0.6% |
893.25 |
| Range |
18.25 |
10.75 |
-7.50 |
-41.1% |
35.50 |
| ATR |
19.35 |
18.74 |
-0.61 |
-3.2% |
0.00 |
| Volume |
1,930,544 |
2,498,962 |
568,418 |
29.4% |
6,354,139 |
|
| Daily Pivots for day following 09-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
911.25 |
906.00 |
885.00 |
|
| R3 |
900.50 |
895.25 |
882.00 |
|
| R2 |
889.75 |
889.75 |
881.00 |
|
| R1 |
884.50 |
884.50 |
880.00 |
887.00 |
| PP |
879.00 |
879.00 |
879.00 |
880.50 |
| S1 |
873.75 |
873.75 |
878.00 |
876.50 |
| S2 |
868.25 |
868.25 |
877.00 |
|
| S3 |
857.50 |
863.00 |
876.00 |
|
| S4 |
846.75 |
852.25 |
873.00 |
|
|
| 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 |
919.75 |
865.25 |
54.50 |
6.2% |
18.75 |
2.1% |
25% |
False |
False |
1,910,165 |
| 10 |
928.25 |
865.25 |
63.00 |
7.2% |
18.00 |
2.0% |
22% |
False |
False |
1,839,851 |
| 20 |
952.75 |
865.25 |
87.50 |
10.0% |
17.75 |
2.0% |
16% |
False |
False |
1,826,504 |
| 40 |
953.00 |
865.25 |
87.75 |
10.0% |
20.00 |
2.3% |
16% |
False |
False |
927,583 |
| 60 |
953.00 |
819.75 |
133.25 |
15.2% |
20.75 |
2.4% |
44% |
False |
False |
620,149 |
| 80 |
953.00 |
745.25 |
207.75 |
23.6% |
22.50 |
2.6% |
64% |
False |
False |
465,432 |
| 100 |
953.00 |
662.00 |
291.00 |
33.1% |
23.25 |
2.6% |
75% |
False |
False |
372,358 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
930.25 |
|
2.618 |
912.75 |
|
1.618 |
902.00 |
|
1.000 |
895.25 |
|
0.618 |
891.25 |
|
HIGH |
884.50 |
|
0.618 |
880.50 |
|
0.500 |
879.00 |
|
0.382 |
877.75 |
|
LOW |
873.75 |
|
0.618 |
867.00 |
|
1.000 |
863.00 |
|
1.618 |
856.25 |
|
2.618 |
845.50 |
|
4.250 |
828.00 |
|
|
| Fisher Pivots for day following 09-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
879.00 |
881.75 |
| PP |
879.00 |
880.75 |
| S1 |
879.00 |
880.00 |
|