E-mini S&P 500 Future June 2009
| Trading Metrics calculated at close of trading on 20-Mar-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Mar-2009 |
20-Mar-2009 |
Change |
Change % |
Previous Week |
| Open |
790.75 |
780.00 |
-10.75 |
-1.4% |
750.75 |
| High |
801.50 |
785.50 |
-16.00 |
-2.0% |
801.50 |
| Low |
777.25 |
761.50 |
-15.75 |
-2.0% |
746.00 |
| Close |
780.00 |
764.00 |
-16.00 |
-2.1% |
764.00 |
| Range |
24.25 |
24.00 |
-0.25 |
-1.0% |
55.50 |
| ATR |
30.08 |
29.64 |
-0.43 |
-1.4% |
0.00 |
| Volume |
3,324,988 |
2,739,197 |
-585,791 |
-17.6% |
14,453,984 |
|
| Daily Pivots for day following 20-Mar-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
842.25 |
827.25 |
777.25 |
|
| R3 |
818.25 |
803.25 |
770.50 |
|
| R2 |
794.25 |
794.25 |
768.50 |
|
| R1 |
779.25 |
779.25 |
766.25 |
774.75 |
| PP |
770.25 |
770.25 |
770.25 |
768.00 |
| S1 |
755.25 |
755.25 |
761.75 |
750.75 |
| S2 |
746.25 |
746.25 |
759.50 |
|
| S3 |
722.25 |
731.25 |
757.50 |
|
| S4 |
698.25 |
707.25 |
750.75 |
|
|
| Weekly Pivots for week ending 20-Mar-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
937.00 |
906.00 |
794.50 |
|
| R3 |
881.50 |
850.50 |
779.25 |
|
| R2 |
826.00 |
826.00 |
774.25 |
|
| R1 |
795.00 |
795.00 |
769.00 |
810.50 |
| PP |
770.50 |
770.50 |
770.50 |
778.25 |
| S1 |
739.50 |
739.50 |
759.00 |
755.00 |
| S2 |
715.00 |
715.00 |
753.75 |
|
| S3 |
659.50 |
684.00 |
748.75 |
|
| S4 |
604.00 |
628.50 |
733.50 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
801.50 |
746.00 |
55.50 |
7.3% |
28.75 |
3.8% |
32% |
False |
False |
2,890,796 |
| 10 |
801.50 |
668.00 |
133.50 |
17.5% |
29.50 |
3.9% |
72% |
False |
False |
1,774,450 |
| 20 |
801.50 |
662.75 |
138.75 |
18.2% |
31.25 |
4.1% |
73% |
False |
False |
901,580 |
| 40 |
871.75 |
662.75 |
209.00 |
27.4% |
28.75 |
3.8% |
48% |
False |
False |
453,798 |
| 60 |
939.25 |
662.75 |
276.50 |
36.2% |
28.75 |
3.8% |
37% |
False |
False |
303,993 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
887.50 |
|
2.618 |
848.25 |
|
1.618 |
824.25 |
|
1.000 |
809.50 |
|
0.618 |
800.25 |
|
HIGH |
785.50 |
|
0.618 |
776.25 |
|
0.500 |
773.50 |
|
0.382 |
770.75 |
|
LOW |
761.50 |
|
0.618 |
746.75 |
|
1.000 |
737.50 |
|
1.618 |
722.75 |
|
2.618 |
698.75 |
|
4.250 |
659.50 |
|
|
| Fisher Pivots for day following 20-Mar-2009 |
| Pivot |
1 day |
3 day |
| R1 |
773.50 |
781.50 |
| PP |
770.25 |
775.75 |
| S1 |
767.25 |
769.75 |
|