E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 05-Jun-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
04-Jun-2009 |
05-Jun-2009 |
Change |
Change % |
Previous Week |
| Open |
927.25 |
936.25 |
9.00 |
1.0% |
916.50 |
| High |
937.50 |
953.00 |
15.50 |
1.7% |
953.00 |
| Low |
923.75 |
928.75 |
5.00 |
0.5% |
912.25 |
| Close |
936.00 |
936.00 |
0.00 |
0.0% |
936.00 |
| Range |
13.75 |
24.25 |
10.50 |
76.4% |
40.75 |
| ATR |
22.37 |
22.50 |
0.13 |
0.6% |
0.00 |
| Volume |
55,624 |
29,657 |
-25,967 |
-46.7% |
150,811 |
|
| Daily Pivots for day following 05-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,012.00 |
998.25 |
949.25 |
|
| R3 |
987.75 |
974.00 |
942.75 |
|
| R2 |
963.50 |
963.50 |
940.50 |
|
| R1 |
949.75 |
949.75 |
938.25 |
944.50 |
| PP |
939.25 |
939.25 |
939.25 |
936.50 |
| S1 |
925.50 |
925.50 |
933.75 |
920.25 |
| S2 |
915.00 |
915.00 |
931.50 |
|
| S3 |
890.75 |
901.25 |
929.25 |
|
| S4 |
866.50 |
877.00 |
922.75 |
|
|
| Weekly Pivots for week ending 05-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,056.00 |
1,036.75 |
958.50 |
|
| R3 |
1,015.25 |
996.00 |
947.25 |
|
| R2 |
974.50 |
974.50 |
943.50 |
|
| R1 |
955.25 |
955.25 |
939.75 |
965.00 |
| PP |
933.75 |
933.75 |
933.75 |
938.50 |
| S1 |
914.50 |
914.50 |
932.25 |
924.00 |
| S2 |
893.00 |
893.00 |
928.50 |
|
| S3 |
852.25 |
873.75 |
924.75 |
|
| S4 |
811.50 |
833.00 |
913.50 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
953.00 |
912.25 |
40.75 |
4.4% |
21.25 |
2.3% |
58% |
True |
False |
30,162 |
| 10 |
953.00 |
872.75 |
80.25 |
8.6% |
22.00 |
2.4% |
79% |
True |
False |
21,129 |
| 20 |
953.00 |
871.00 |
82.00 |
8.8% |
22.25 |
2.4% |
79% |
True |
False |
14,075 |
| 40 |
953.00 |
818.50 |
134.50 |
14.4% |
22.50 |
2.4% |
87% |
True |
False |
9,277 |
| 60 |
953.00 |
711.00 |
242.00 |
25.9% |
24.25 |
2.6% |
93% |
True |
False |
6,535 |
| 80 |
953.00 |
662.00 |
291.00 |
31.1% |
24.50 |
2.6% |
94% |
True |
False |
4,915 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,056.00 |
|
2.618 |
1,016.50 |
|
1.618 |
992.25 |
|
1.000 |
977.25 |
|
0.618 |
968.00 |
|
HIGH |
953.00 |
|
0.618 |
943.75 |
|
0.500 |
941.00 |
|
0.382 |
938.00 |
|
LOW |
928.75 |
|
0.618 |
913.75 |
|
1.000 |
904.50 |
|
1.618 |
889.50 |
|
2.618 |
865.25 |
|
4.250 |
825.75 |
|
|
| Fisher Pivots for day following 05-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
941.00 |
935.75 |
| PP |
939.25 |
935.75 |
| S1 |
937.50 |
935.50 |
|