E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 16-Jul-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Jul-2009 |
16-Jul-2009 |
Change |
Change % |
Previous Week |
| Open |
906.75 |
925.75 |
19.00 |
2.1% |
892.00 |
| High |
930.75 |
940.75 |
10.00 |
1.1% |
898.25 |
| Low |
906.50 |
921.00 |
14.50 |
1.6% |
865.25 |
| Close |
927.25 |
935.75 |
8.50 |
0.9% |
874.25 |
| Range |
24.25 |
19.75 |
-4.50 |
-18.6% |
33.00 |
| ATR |
19.43 |
19.45 |
0.02 |
0.1% |
0.00 |
| Volume |
2,009,856 |
2,188,329 |
178,473 |
8.9% |
9,795,459 |
|
| Daily Pivots for day following 16-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
991.75 |
983.50 |
946.50 |
|
| R3 |
972.00 |
963.75 |
941.25 |
|
| R2 |
952.25 |
952.25 |
939.25 |
|
| R1 |
944.00 |
944.00 |
937.50 |
948.00 |
| PP |
932.50 |
932.50 |
932.50 |
934.50 |
| S1 |
924.25 |
924.25 |
934.00 |
928.50 |
| S2 |
912.75 |
912.75 |
932.25 |
|
| S3 |
893.00 |
904.50 |
930.25 |
|
| S4 |
873.25 |
884.75 |
925.00 |
|
|
| 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 |
940.75 |
865.50 |
75.25 |
8.0% |
19.75 |
2.1% |
93% |
True |
False |
1,971,380 |
| 10 |
940.75 |
865.25 |
75.50 |
8.1% |
19.25 |
2.1% |
93% |
True |
False |
1,940,772 |
| 20 |
940.75 |
865.25 |
75.50 |
8.1% |
18.25 |
2.0% |
93% |
True |
False |
1,900,409 |
| 40 |
953.00 |
865.25 |
87.75 |
9.4% |
19.50 |
2.1% |
80% |
False |
False |
1,173,219 |
| 60 |
953.00 |
827.75 |
125.25 |
13.4% |
20.50 |
2.2% |
86% |
False |
False |
784,149 |
| 80 |
953.00 |
772.25 |
180.75 |
19.3% |
21.75 |
2.3% |
90% |
False |
False |
588,631 |
| 100 |
953.00 |
662.00 |
291.00 |
31.1% |
23.00 |
2.5% |
94% |
False |
False |
470,926 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,024.75 |
|
2.618 |
992.50 |
|
1.618 |
972.75 |
|
1.000 |
960.50 |
|
0.618 |
953.00 |
|
HIGH |
940.75 |
|
0.618 |
933.25 |
|
0.500 |
931.00 |
|
0.382 |
928.50 |
|
LOW |
921.00 |
|
0.618 |
908.75 |
|
1.000 |
901.25 |
|
1.618 |
889.00 |
|
2.618 |
869.25 |
|
4.250 |
837.00 |
|
|
| Fisher Pivots for day following 16-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
934.00 |
929.50 |
| PP |
932.50 |
923.00 |
| S1 |
931.00 |
916.50 |
|