E-mini S&P 500 Future March 2009
| Trading Metrics calculated at close of trading on 24-Nov-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Nov-2008 |
24-Nov-2008 |
Change |
Change % |
Previous Week |
| Open |
746.00 |
794.50 |
48.50 |
6.5% |
862.50 |
| High |
799.75 |
864.50 |
64.75 |
8.1% |
880.00 |
| Low |
737.25 |
781.50 |
44.25 |
6.0% |
737.25 |
| Close |
789.75 |
846.50 |
56.75 |
7.2% |
789.75 |
| Range |
62.50 |
83.00 |
20.50 |
32.8% |
142.75 |
| ATR |
60.40 |
62.01 |
1.61 |
2.7% |
0.00 |
| Volume |
16,239 |
10,574 |
-5,665 |
-34.9% |
46,791 |
|
| Daily Pivots for day following 24-Nov-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,079.75 |
1,046.25 |
892.25 |
|
| R3 |
996.75 |
963.25 |
869.25 |
|
| R2 |
913.75 |
913.75 |
861.75 |
|
| R1 |
880.25 |
880.25 |
854.00 |
897.00 |
| PP |
830.75 |
830.75 |
830.75 |
839.25 |
| S1 |
797.25 |
797.25 |
839.00 |
814.00 |
| S2 |
747.75 |
747.75 |
831.25 |
|
| S3 |
664.75 |
714.25 |
823.75 |
|
| S4 |
581.75 |
631.25 |
800.75 |
|
|
| Weekly Pivots for week ending 21-Nov-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,230.50 |
1,153.00 |
868.25 |
|
| R3 |
1,087.75 |
1,010.25 |
829.00 |
|
| R2 |
945.00 |
945.00 |
816.00 |
|
| R1 |
867.50 |
867.50 |
802.75 |
835.00 |
| PP |
802.25 |
802.25 |
802.25 |
786.00 |
| S1 |
724.75 |
724.75 |
776.75 |
692.00 |
| S2 |
659.50 |
659.50 |
763.50 |
|
| S3 |
516.75 |
582.00 |
750.50 |
|
| S4 |
374.00 |
439.25 |
711.25 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
867.00 |
737.25 |
129.75 |
15.3% |
65.00 |
7.7% |
84% |
False |
False |
9,788 |
| 10 |
924.50 |
737.25 |
187.25 |
22.1% |
62.00 |
7.3% |
58% |
False |
False |
7,828 |
| 20 |
1,006.50 |
737.25 |
269.25 |
31.8% |
57.25 |
6.8% |
41% |
False |
False |
5,501 |
| 40 |
1,177.25 |
737.25 |
440.00 |
52.0% |
67.75 |
8.0% |
25% |
False |
False |
5,871 |
| 60 |
1,303.75 |
737.25 |
566.50 |
66.9% |
58.50 |
6.9% |
19% |
False |
False |
4,386 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,217.25 |
|
2.618 |
1,081.75 |
|
1.618 |
998.75 |
|
1.000 |
947.50 |
|
0.618 |
915.75 |
|
HIGH |
864.50 |
|
0.618 |
832.75 |
|
0.500 |
823.00 |
|
0.382 |
813.25 |
|
LOW |
781.50 |
|
0.618 |
730.25 |
|
1.000 |
698.50 |
|
1.618 |
647.25 |
|
2.618 |
564.25 |
|
4.250 |
428.75 |
|
|
| Fisher Pivots for day following 24-Nov-2008 |
| Pivot |
1 day |
3 day |
| R1 |
838.75 |
831.25 |
| PP |
830.75 |
816.00 |
| S1 |
823.00 |
801.00 |
|