E-mini S&P 500 Future March 2009
| Trading Metrics calculated at close of trading on 31-Dec-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Dec-2008 |
31-Dec-2008 |
Change |
Change % |
Previous Week |
| Open |
870.25 |
888.00 |
17.75 |
2.0% |
884.25 |
| High |
889.00 |
908.00 |
19.00 |
2.1% |
891.50 |
| Low |
868.75 |
886.50 |
17.75 |
2.0% |
852.75 |
| Close |
888.25 |
900.00 |
11.75 |
1.3% |
869.00 |
| Range |
20.25 |
21.50 |
1.25 |
6.2% |
38.75 |
| ATR |
36.98 |
35.87 |
-1.11 |
-3.0% |
0.00 |
| Volume |
614,648 |
777,046 |
162,398 |
26.4% |
4,258,006 |
|
| Daily Pivots for day following 31-Dec-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
962.75 |
952.75 |
911.75 |
|
| R3 |
941.25 |
931.25 |
906.00 |
|
| R2 |
919.75 |
919.75 |
904.00 |
|
| R1 |
909.75 |
909.75 |
902.00 |
914.75 |
| PP |
898.25 |
898.25 |
898.25 |
900.50 |
| S1 |
888.25 |
888.25 |
898.00 |
893.25 |
| S2 |
876.75 |
876.75 |
896.00 |
|
| S3 |
855.25 |
866.75 |
894.00 |
|
| S4 |
833.75 |
845.25 |
888.25 |
|
|
| Weekly Pivots for week ending 26-Dec-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
987.25 |
967.00 |
890.25 |
|
| R3 |
948.50 |
928.25 |
879.75 |
|
| R2 |
909.75 |
909.75 |
876.00 |
|
| R1 |
889.50 |
889.50 |
872.50 |
880.25 |
| PP |
871.00 |
871.00 |
871.00 |
866.50 |
| S1 |
850.75 |
850.75 |
865.50 |
841.50 |
| S2 |
832.25 |
832.25 |
862.00 |
|
| S3 |
793.50 |
812.00 |
858.25 |
|
| S4 |
754.75 |
773.25 |
847.75 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
908.00 |
853.25 |
54.75 |
6.1% |
16.25 |
1.8% |
85% |
True |
False |
565,665 |
| 10 |
918.25 |
852.75 |
65.50 |
7.3% |
24.00 |
2.7% |
72% |
False |
False |
1,289,549 |
| 20 |
918.75 |
816.25 |
102.50 |
11.4% |
34.00 |
3.8% |
82% |
False |
False |
1,044,532 |
| 40 |
1,006.50 |
737.25 |
269.25 |
29.9% |
44.75 |
5.0% |
60% |
False |
False |
526,204 |
| 60 |
1,077.75 |
737.25 |
340.50 |
37.8% |
55.50 |
6.2% |
48% |
False |
False |
352,479 |
| 80 |
1,281.75 |
737.25 |
544.50 |
60.5% |
54.00 |
6.0% |
30% |
False |
False |
265,177 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
999.50 |
|
2.618 |
964.25 |
|
1.618 |
942.75 |
|
1.000 |
929.50 |
|
0.618 |
921.25 |
|
HIGH |
908.00 |
|
0.618 |
899.75 |
|
0.500 |
897.25 |
|
0.382 |
894.75 |
|
LOW |
886.50 |
|
0.618 |
873.25 |
|
1.000 |
865.00 |
|
1.618 |
851.75 |
|
2.618 |
830.25 |
|
4.250 |
795.00 |
|
|
| Fisher Pivots for day following 31-Dec-2008 |
| Pivot |
1 day |
3 day |
| R1 |
899.00 |
893.50 |
| PP |
898.25 |
887.00 |
| S1 |
897.25 |
880.50 |
|