E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 14-Jul-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Jul-2009 |
14-Jul-2009 |
Change |
Change % |
Previous Week |
| Open |
874.75 |
895.50 |
20.75 |
2.4% |
892.00 |
| High |
897.75 |
904.00 |
6.25 |
0.7% |
898.25 |
| Low |
865.50 |
892.50 |
27.00 |
3.1% |
865.25 |
| Close |
895.50 |
901.50 |
6.00 |
0.7% |
874.25 |
| Range |
32.25 |
11.50 |
-20.75 |
-64.3% |
33.00 |
| ATR |
19.22 |
18.67 |
-0.55 |
-2.9% |
0.00 |
| Volume |
1,825,714 |
2,053,821 |
228,107 |
12.5% |
9,795,459 |
|
| Daily Pivots for day following 14-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
933.75 |
929.25 |
907.75 |
|
| R3 |
922.25 |
917.75 |
904.75 |
|
| R2 |
910.75 |
910.75 |
903.50 |
|
| R1 |
906.25 |
906.25 |
902.50 |
908.50 |
| PP |
899.25 |
899.25 |
899.25 |
900.50 |
| S1 |
894.75 |
894.75 |
900.50 |
897.00 |
| S2 |
887.75 |
887.75 |
899.50 |
|
| S3 |
876.25 |
883.25 |
898.25 |
|
| S4 |
864.75 |
871.75 |
895.25 |
|
|
| 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 |
904.00 |
865.25 |
38.75 |
4.3% |
16.75 |
1.9% |
94% |
True |
False |
2,017,644 |
| 10 |
928.25 |
865.25 |
63.00 |
7.0% |
18.00 |
2.0% |
58% |
False |
False |
1,861,912 |
| 20 |
928.25 |
865.25 |
63.00 |
7.0% |
17.75 |
2.0% |
58% |
False |
False |
1,911,213 |
| 40 |
953.00 |
865.25 |
87.75 |
9.7% |
19.50 |
2.2% |
41% |
False |
False |
1,068,620 |
| 60 |
953.00 |
819.75 |
133.25 |
14.8% |
20.75 |
2.3% |
61% |
False |
False |
714,371 |
| 80 |
953.00 |
758.25 |
194.75 |
21.6% |
22.00 |
2.4% |
74% |
False |
False |
536,156 |
| 100 |
953.00 |
662.00 |
291.00 |
32.3% |
23.25 |
2.6% |
82% |
False |
False |
428,944 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
953.00 |
|
2.618 |
934.00 |
|
1.618 |
922.50 |
|
1.000 |
915.50 |
|
0.618 |
911.00 |
|
HIGH |
904.00 |
|
0.618 |
899.50 |
|
0.500 |
898.25 |
|
0.382 |
897.00 |
|
LOW |
892.50 |
|
0.618 |
885.50 |
|
1.000 |
881.00 |
|
1.618 |
874.00 |
|
2.618 |
862.50 |
|
4.250 |
843.50 |
|
|
| Fisher Pivots for day following 14-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
900.50 |
896.00 |
| PP |
899.25 |
890.25 |
| S1 |
898.25 |
884.75 |
|