E-mini S&P 500 Future December 2009
| Trading Metrics calculated at close of trading on 21-Jul-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Jul-2009 |
21-Jul-2009 |
Change |
Change % |
Previous Week |
| Open |
932.25 |
942.00 |
9.75 |
1.0% |
871.50 |
| High |
944.50 |
951.50 |
7.00 |
0.7% |
936.25 |
| Low |
929.75 |
935.50 |
5.75 |
0.6% |
861.50 |
| Close |
944.50 |
949.00 |
4.50 |
0.5% |
932.50 |
| Range |
14.75 |
16.00 |
1.25 |
8.5% |
74.75 |
| ATR |
17.27 |
17.18 |
-0.09 |
-0.5% |
0.00 |
| Volume |
1,780 |
817 |
-963 |
-54.1% |
9,847 |
|
| Daily Pivots for day following 21-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
993.25 |
987.25 |
957.75 |
|
| R3 |
977.25 |
971.25 |
953.50 |
|
| R2 |
961.25 |
961.25 |
952.00 |
|
| R1 |
955.25 |
955.25 |
950.50 |
958.25 |
| PP |
945.25 |
945.25 |
945.25 |
947.00 |
| S1 |
939.25 |
939.25 |
947.50 |
942.25 |
| S2 |
929.25 |
929.25 |
946.00 |
|
| S3 |
913.25 |
923.25 |
944.50 |
|
| S4 |
897.25 |
907.25 |
940.25 |
|
|
| Weekly Pivots for week ending 17-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,134.25 |
1,108.25 |
973.50 |
|
| R3 |
1,059.50 |
1,033.50 |
953.00 |
|
| R2 |
984.75 |
984.75 |
946.25 |
|
| R1 |
958.75 |
958.75 |
939.25 |
971.75 |
| PP |
910.00 |
910.00 |
910.00 |
916.50 |
| S1 |
884.00 |
884.00 |
925.75 |
897.00 |
| S2 |
835.25 |
835.25 |
918.75 |
|
| S3 |
760.50 |
809.25 |
912.00 |
|
| S4 |
685.75 |
734.50 |
891.50 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
951.50 |
899.75 |
51.75 |
5.5% |
17.25 |
1.8% |
95% |
True |
False |
1,209 |
| 10 |
951.50 |
861.25 |
90.25 |
9.5% |
16.75 |
1.8% |
97% |
True |
False |
1,993 |
| 20 |
951.50 |
861.25 |
90.25 |
9.5% |
17.00 |
1.8% |
97% |
True |
False |
1,799 |
| 40 |
951.50 |
861.25 |
90.25 |
9.5% |
16.75 |
1.8% |
97% |
True |
False |
1,064 |
| 60 |
951.50 |
833.50 |
118.00 |
12.4% |
17.75 |
1.9% |
98% |
True |
False |
720 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,019.50 |
|
2.618 |
993.50 |
|
1.618 |
977.50 |
|
1.000 |
967.50 |
|
0.618 |
961.50 |
|
HIGH |
951.50 |
|
0.618 |
945.50 |
|
0.500 |
943.50 |
|
0.382 |
941.50 |
|
LOW |
935.50 |
|
0.618 |
925.50 |
|
1.000 |
919.50 |
|
1.618 |
909.50 |
|
2.618 |
893.50 |
|
4.250 |
867.50 |
|
|
| Fisher Pivots for day following 21-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
947.25 |
945.25 |
| PP |
945.25 |
941.50 |
| S1 |
943.50 |
937.75 |
|