E-mini S&P 500 Future March 2009
| Trading Metrics calculated at close of trading on 23-Dec-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Dec-2008 |
23-Dec-2008 |
Change |
Change % |
Previous Week |
| Open |
884.25 |
871.25 |
-13.00 |
-1.5% |
883.50 |
| High |
891.50 |
878.00 |
-13.50 |
-1.5% |
918.25 |
| Low |
852.75 |
855.25 |
2.50 |
0.3% |
856.25 |
| Close |
871.25 |
858.50 |
-12.75 |
-1.5% |
881.25 |
| Range |
38.75 |
22.75 |
-16.00 |
-41.3% |
62.00 |
| ATR |
46.10 |
44.43 |
-1.67 |
-3.6% |
0.00 |
| Volume |
1,844,441 |
1,178,582 |
-665,859 |
-36.1% |
12,167,750 |
|
| Daily Pivots for day following 23-Dec-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
932.25 |
918.00 |
871.00 |
|
| R3 |
909.50 |
895.25 |
864.75 |
|
| R2 |
886.75 |
886.75 |
862.75 |
|
| R1 |
872.50 |
872.50 |
860.50 |
868.25 |
| PP |
864.00 |
864.00 |
864.00 |
861.75 |
| S1 |
849.75 |
849.75 |
856.50 |
845.50 |
| S2 |
841.25 |
841.25 |
854.25 |
|
| S3 |
818.50 |
827.00 |
852.25 |
|
| S4 |
795.75 |
804.25 |
846.00 |
|
|
| Weekly Pivots for week ending 19-Dec-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,071.25 |
1,038.25 |
915.25 |
|
| R3 |
1,009.25 |
976.25 |
898.25 |
|
| R2 |
947.25 |
947.25 |
892.50 |
|
| R1 |
914.25 |
914.25 |
887.00 |
899.75 |
| PP |
885.25 |
885.25 |
885.25 |
878.00 |
| S1 |
852.25 |
852.25 |
875.50 |
837.75 |
| S2 |
823.25 |
823.25 |
870.00 |
|
| S3 |
761.25 |
790.25 |
864.25 |
|
| S4 |
699.25 |
728.25 |
847.25 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
918.25 |
852.75 |
65.50 |
7.6% |
31.50 |
3.7% |
9% |
False |
False |
2,013,433 |
| 10 |
918.25 |
828.75 |
89.50 |
10.4% |
36.00 |
4.2% |
33% |
False |
False |
1,778,872 |
| 20 |
918.75 |
811.50 |
107.25 |
12.5% |
42.00 |
4.9% |
44% |
False |
False |
906,138 |
| 40 |
1,006.50 |
737.25 |
269.25 |
31.4% |
49.75 |
5.8% |
45% |
False |
False |
455,820 |
| 60 |
1,177.25 |
737.25 |
440.00 |
51.3% |
59.00 |
6.9% |
28% |
False |
False |
305,960 |
| 80 |
1,303.75 |
737.25 |
566.50 |
66.0% |
54.25 |
6.3% |
21% |
False |
False |
229,824 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
974.75 |
|
2.618 |
937.50 |
|
1.618 |
914.75 |
|
1.000 |
900.75 |
|
0.618 |
892.00 |
|
HIGH |
878.00 |
|
0.618 |
869.25 |
|
0.500 |
866.50 |
|
0.382 |
864.00 |
|
LOW |
855.25 |
|
0.618 |
841.25 |
|
1.000 |
832.50 |
|
1.618 |
818.50 |
|
2.618 |
795.75 |
|
4.250 |
758.50 |
|
|
| Fisher Pivots for day following 23-Dec-2008 |
| Pivot |
1 day |
3 day |
| R1 |
866.50 |
878.00 |
| PP |
864.00 |
871.50 |
| S1 |
861.25 |
865.00 |
|