E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 02-Jun-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Jun-2009 |
02-Jun-2009 |
Change |
Change % |
Previous Week |
| Open |
916.50 |
934.50 |
18.00 |
2.0% |
883.00 |
| High |
942.75 |
944.00 |
1.25 |
0.1% |
921.75 |
| Low |
912.25 |
930.00 |
17.75 |
1.9% |
872.75 |
| Close |
934.50 |
938.00 |
3.50 |
0.4% |
913.50 |
| Range |
30.50 |
14.00 |
-16.50 |
-54.1% |
49.00 |
| ATR |
23.69 |
22.99 |
-0.69 |
-2.9% |
0.00 |
| Volume |
13,309 |
20,515 |
7,206 |
54.1% |
51,131 |
|
| Daily Pivots for day following 02-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
979.25 |
972.75 |
945.75 |
|
| R3 |
965.25 |
958.75 |
941.75 |
|
| R2 |
951.25 |
951.25 |
940.50 |
|
| R1 |
944.75 |
944.75 |
939.25 |
948.00 |
| PP |
937.25 |
937.25 |
937.25 |
939.00 |
| S1 |
930.75 |
930.75 |
936.75 |
934.00 |
| S2 |
923.25 |
923.25 |
935.50 |
|
| S3 |
909.25 |
916.75 |
934.25 |
|
| S4 |
895.25 |
902.75 |
930.25 |
|
|
| Weekly Pivots for week ending 29-May-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,049.75 |
1,030.50 |
940.50 |
|
| R3 |
1,000.75 |
981.50 |
927.00 |
|
| R2 |
951.75 |
951.75 |
922.50 |
|
| R1 |
932.50 |
932.50 |
918.00 |
942.00 |
| PP |
902.75 |
902.75 |
902.75 |
907.50 |
| S1 |
883.50 |
883.50 |
909.00 |
893.00 |
| S2 |
853.75 |
853.75 |
904.50 |
|
| S3 |
804.75 |
834.50 |
900.00 |
|
| S4 |
755.75 |
785.50 |
886.50 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
944.00 |
881.50 |
62.50 |
6.7% |
22.75 |
2.4% |
90% |
True |
False |
15,304 |
| 10 |
944.00 |
872.75 |
71.25 |
7.6% |
21.75 |
2.3% |
92% |
True |
False |
11,954 |
| 20 |
944.00 |
871.00 |
73.00 |
7.8% |
22.50 |
2.4% |
92% |
True |
False |
9,249 |
| 40 |
944.00 |
799.25 |
144.75 |
15.4% |
23.00 |
2.4% |
96% |
True |
False |
6,471 |
| 60 |
944.00 |
665.50 |
278.50 |
29.7% |
24.75 |
2.6% |
98% |
True |
False |
4,588 |
| 80 |
944.00 |
662.00 |
282.00 |
30.1% |
24.50 |
2.6% |
98% |
True |
False |
3,453 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,003.50 |
|
2.618 |
980.75 |
|
1.618 |
966.75 |
|
1.000 |
958.00 |
|
0.618 |
952.75 |
|
HIGH |
944.00 |
|
0.618 |
938.75 |
|
0.500 |
937.00 |
|
0.382 |
935.25 |
|
LOW |
930.00 |
|
0.618 |
921.25 |
|
1.000 |
916.00 |
|
1.618 |
907.25 |
|
2.618 |
893.25 |
|
4.250 |
870.50 |
|
|
| Fisher Pivots for day following 02-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
937.75 |
932.25 |
| PP |
937.25 |
926.75 |
| S1 |
937.00 |
921.00 |
|