E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 18-Jun-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
17-Jun-2009 |
18-Jun-2009 |
Change |
Change % |
Previous Week |
| Open |
908.00 |
905.50 |
-2.50 |
-0.3% |
928.50 |
| High |
914.25 |
917.75 |
3.50 |
0.4% |
952.75 |
| Low |
899.25 |
903.00 |
3.75 |
0.4% |
921.25 |
| Close |
905.25 |
913.25 |
8.00 |
0.9% |
940.75 |
| Range |
15.00 |
14.75 |
-0.25 |
-1.7% |
31.50 |
| ATR |
20.84 |
20.41 |
-0.44 |
-2.1% |
0.00 |
| Volume |
2,267,554 |
2,362,146 |
94,592 |
4.2% |
2,586,962 |
|
| Daily Pivots for day following 18-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
955.50 |
949.25 |
921.25 |
|
| R3 |
940.75 |
934.50 |
917.25 |
|
| R2 |
926.00 |
926.00 |
916.00 |
|
| R1 |
919.75 |
919.75 |
914.50 |
923.00 |
| PP |
911.25 |
911.25 |
911.25 |
913.00 |
| S1 |
905.00 |
905.00 |
912.00 |
908.00 |
| S2 |
896.50 |
896.50 |
910.50 |
|
| S3 |
881.75 |
890.25 |
909.25 |
|
| S4 |
867.00 |
875.50 |
905.25 |
|
|
| Weekly Pivots for week ending 12-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,032.75 |
1,018.25 |
958.00 |
|
| R3 |
1,001.25 |
986.75 |
949.50 |
|
| R2 |
969.75 |
969.75 |
946.50 |
|
| R1 |
955.25 |
955.25 |
943.75 |
962.50 |
| PP |
938.25 |
938.25 |
938.25 |
942.00 |
| S1 |
923.75 |
923.75 |
937.75 |
931.00 |
| S2 |
906.75 |
906.75 |
935.00 |
|
| S3 |
875.25 |
892.25 |
932.00 |
|
| S4 |
843.75 |
860.75 |
923.50 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
942.75 |
899.25 |
43.50 |
4.8% |
16.50 |
1.8% |
32% |
False |
False |
2,068,236 |
| 10 |
953.00 |
899.25 |
53.75 |
5.9% |
18.75 |
2.1% |
26% |
False |
False |
1,108,314 |
| 20 |
953.00 |
872.75 |
80.25 |
8.8% |
20.50 |
2.2% |
50% |
False |
False |
563,634 |
| 40 |
953.00 |
827.75 |
125.25 |
13.7% |
21.25 |
2.3% |
68% |
False |
False |
284,907 |
| 60 |
953.00 |
772.25 |
180.75 |
19.8% |
22.75 |
2.5% |
78% |
False |
False |
190,722 |
| 80 |
953.00 |
662.00 |
291.00 |
31.9% |
24.00 |
2.6% |
86% |
False |
False |
143,081 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
980.50 |
|
2.618 |
956.25 |
|
1.618 |
941.50 |
|
1.000 |
932.50 |
|
0.618 |
926.75 |
|
HIGH |
917.75 |
|
0.618 |
912.00 |
|
0.500 |
910.50 |
|
0.382 |
908.75 |
|
LOW |
903.00 |
|
0.618 |
894.00 |
|
1.000 |
888.25 |
|
1.618 |
879.25 |
|
2.618 |
864.50 |
|
4.250 |
840.25 |
|
|
| Fisher Pivots for day following 18-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
912.25 |
912.75 |
| PP |
911.25 |
912.50 |
| S1 |
910.50 |
912.00 |
|