E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 10-Jul-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
09-Jul-2009 |
10-Jul-2009 |
Change |
Change % |
Previous Week |
| Open |
874.00 |
878.75 |
4.75 |
0.5% |
892.00 |
| High |
884.50 |
880.25 |
-4.25 |
-0.5% |
898.25 |
| Low |
873.75 |
868.75 |
-5.00 |
-0.6% |
865.25 |
| Close |
879.00 |
874.25 |
-4.75 |
-0.5% |
874.25 |
| Range |
10.75 |
11.50 |
0.75 |
7.0% |
33.00 |
| ATR |
18.74 |
18.22 |
-0.52 |
-2.8% |
0.00 |
| Volume |
2,498,962 |
1,779,181 |
-719,781 |
-28.8% |
9,795,459 |
|
| Daily Pivots for day following 10-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
909.00 |
903.00 |
880.50 |
|
| R3 |
897.50 |
891.50 |
877.50 |
|
| R2 |
886.00 |
886.00 |
876.25 |
|
| R1 |
880.00 |
880.00 |
875.25 |
877.25 |
| PP |
874.50 |
874.50 |
874.50 |
873.00 |
| S1 |
868.50 |
868.50 |
873.25 |
865.75 |
| S2 |
863.00 |
863.00 |
872.25 |
|
| S3 |
851.50 |
857.00 |
871.00 |
|
| S4 |
840.00 |
845.50 |
868.00 |
|
|
| Weekly Pivots for week ending 10-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
978.25 |
959.25 |
892.50 |
|
| R3 |
945.25 |
926.25 |
883.25 |
|
| R2 |
912.25 |
912.25 |
880.25 |
|
| R1 |
893.25 |
893.25 |
877.25 |
886.25 |
| PP |
879.25 |
879.25 |
879.25 |
875.75 |
| S1 |
860.25 |
860.25 |
871.25 |
853.25 |
| S2 |
846.25 |
846.25 |
868.25 |
|
| S3 |
813.25 |
827.25 |
865.25 |
|
| S4 |
780.25 |
794.25 |
856.00 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
898.25 |
865.25 |
33.00 |
3.8% |
15.50 |
1.8% |
27% |
False |
False |
1,959,091 |
| 10 |
928.25 |
865.25 |
63.00 |
7.2% |
16.50 |
1.9% |
14% |
False |
False |
1,842,786 |
| 20 |
942.75 |
865.25 |
77.50 |
8.9% |
17.25 |
2.0% |
12% |
False |
False |
1,895,475 |
| 40 |
953.00 |
865.25 |
87.75 |
10.0% |
19.50 |
2.2% |
10% |
False |
False |
971,964 |
| 60 |
953.00 |
819.75 |
133.25 |
15.2% |
20.75 |
2.4% |
41% |
False |
False |
649,781 |
| 80 |
953.00 |
758.25 |
194.75 |
22.3% |
22.25 |
2.5% |
60% |
False |
False |
487,667 |
| 100 |
953.00 |
662.00 |
291.00 |
33.3% |
23.00 |
2.6% |
73% |
False |
False |
390,149 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
929.00 |
|
2.618 |
910.25 |
|
1.618 |
898.75 |
|
1.000 |
891.75 |
|
0.618 |
887.25 |
|
HIGH |
880.25 |
|
0.618 |
875.75 |
|
0.500 |
874.50 |
|
0.382 |
873.25 |
|
LOW |
868.75 |
|
0.618 |
861.75 |
|
1.000 |
857.25 |
|
1.618 |
850.25 |
|
2.618 |
838.75 |
|
4.250 |
820.00 |
|
|
| Fisher Pivots for day following 10-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
874.50 |
875.00 |
| PP |
874.50 |
874.75 |
| S1 |
874.25 |
874.50 |
|