E-mini S&P 500 Future June 2009
| Trading Metrics calculated at close of trading on 25-Mar-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Mar-2009 |
25-Mar-2009 |
Change |
Change % |
Previous Week |
| Open |
818.00 |
803.25 |
-14.75 |
-1.8% |
750.75 |
| High |
820.00 |
823.50 |
3.50 |
0.4% |
801.50 |
| Low |
801.25 |
787.00 |
-14.25 |
-1.8% |
746.00 |
| Close |
803.50 |
808.25 |
4.75 |
0.6% |
764.00 |
| Range |
18.75 |
36.50 |
17.75 |
94.7% |
55.50 |
| ATR |
30.68 |
31.10 |
0.42 |
1.4% |
0.00 |
| Volume |
2,915,781 |
2,433,671 |
-482,110 |
-16.5% |
14,453,984 |
|
| Daily Pivots for day following 25-Mar-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
915.75 |
898.50 |
828.25 |
|
| R3 |
879.25 |
862.00 |
818.25 |
|
| R2 |
842.75 |
842.75 |
815.00 |
|
| R1 |
825.50 |
825.50 |
811.50 |
834.00 |
| PP |
806.25 |
806.25 |
806.25 |
810.50 |
| S1 |
789.00 |
789.00 |
805.00 |
797.50 |
| S2 |
769.75 |
769.75 |
801.50 |
|
| S3 |
733.25 |
752.50 |
798.25 |
|
| S4 |
696.75 |
716.00 |
788.25 |
|
|
| 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 |
823.50 |
761.50 |
62.00 |
7.7% |
31.75 |
3.9% |
75% |
True |
False |
2,759,806 |
| 10 |
823.50 |
708.00 |
115.50 |
14.3% |
31.50 |
3.9% |
87% |
True |
False |
2,511,977 |
| 20 |
823.50 |
662.75 |
160.75 |
19.9% |
31.50 |
3.9% |
91% |
True |
False |
1,286,036 |
| 40 |
869.75 |
662.75 |
207.00 |
25.6% |
29.25 |
3.6% |
70% |
False |
False |
646,959 |
| 60 |
939.25 |
662.75 |
276.50 |
34.2% |
29.75 |
3.7% |
53% |
False |
False |
432,898 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
978.50 |
|
2.618 |
919.00 |
|
1.618 |
882.50 |
|
1.000 |
860.00 |
|
0.618 |
846.00 |
|
HIGH |
823.50 |
|
0.618 |
809.50 |
|
0.500 |
805.25 |
|
0.382 |
801.00 |
|
LOW |
787.00 |
|
0.618 |
764.50 |
|
1.000 |
750.50 |
|
1.618 |
728.00 |
|
2.618 |
691.50 |
|
4.250 |
632.00 |
|
|
| Fisher Pivots for day following 25-Mar-2009 |
| Pivot |
1 day |
3 day |
| R1 |
807.25 |
803.75 |
| PP |
806.25 |
799.00 |
| S1 |
805.25 |
794.50 |
|