E-mini S&P 500 Future March 2009
| Trading Metrics calculated at close of trading on 24-Dec-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Dec-2008 |
24-Dec-2008 |
Change |
Change % |
Previous Week |
| Open |
871.25 |
859.25 |
-12.00 |
-1.4% |
883.50 |
| High |
878.00 |
866.50 |
-11.50 |
-1.3% |
918.25 |
| Low |
855.25 |
856.00 |
0.75 |
0.1% |
856.25 |
| Close |
858.50 |
865.00 |
6.50 |
0.8% |
881.25 |
| Range |
22.75 |
10.50 |
-12.25 |
-53.8% |
62.00 |
| ATR |
44.43 |
42.01 |
-2.42 |
-5.5% |
0.00 |
| Volume |
1,178,582 |
995,884 |
-182,698 |
-15.5% |
12,167,750 |
|
| Daily Pivots for day following 24-Dec-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
894.00 |
890.00 |
870.75 |
|
| R3 |
883.50 |
879.50 |
868.00 |
|
| R2 |
873.00 |
873.00 |
867.00 |
|
| R1 |
869.00 |
869.00 |
866.00 |
871.00 |
| PP |
862.50 |
862.50 |
862.50 |
863.50 |
| S1 |
858.50 |
858.50 |
864.00 |
860.50 |
| S2 |
852.00 |
852.00 |
863.00 |
|
| S3 |
841.50 |
848.00 |
862.00 |
|
| S4 |
831.00 |
837.50 |
859.25 |
|
|
| 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 |
911.50 |
852.75 |
58.75 |
6.8% |
27.50 |
3.2% |
21% |
False |
False |
1,687,794 |
| 10 |
918.25 |
828.75 |
89.50 |
10.3% |
34.75 |
4.0% |
41% |
False |
False |
1,861,462 |
| 20 |
918.75 |
811.50 |
107.25 |
12.4% |
40.50 |
4.7% |
50% |
False |
False |
954,724 |
| 40 |
1,006.50 |
737.25 |
269.25 |
31.1% |
47.00 |
5.4% |
47% |
False |
False |
480,682 |
| 60 |
1,175.00 |
737.25 |
437.75 |
50.6% |
58.25 |
6.7% |
29% |
False |
False |
322,520 |
| 80 |
1,285.50 |
737.25 |
548.25 |
63.4% |
54.00 |
6.3% |
23% |
False |
False |
242,272 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
911.00 |
|
2.618 |
894.00 |
|
1.618 |
883.50 |
|
1.000 |
877.00 |
|
0.618 |
873.00 |
|
HIGH |
866.50 |
|
0.618 |
862.50 |
|
0.500 |
861.25 |
|
0.382 |
860.00 |
|
LOW |
856.00 |
|
0.618 |
849.50 |
|
1.000 |
845.50 |
|
1.618 |
839.00 |
|
2.618 |
828.50 |
|
4.250 |
811.50 |
|
|
| Fisher Pivots for day following 24-Dec-2008 |
| Pivot |
1 day |
3 day |
| R1 |
863.75 |
872.00 |
| PP |
862.50 |
869.75 |
| S1 |
861.25 |
867.50 |
|