E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 24-Jun-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Jun-2009 |
24-Jun-2009 |
Change |
Change % |
Previous Week |
| Open |
888.75 |
890.50 |
1.75 |
0.2% |
938.50 |
| High |
894.50 |
906.50 |
12.00 |
1.3% |
938.75 |
| Low |
884.25 |
888.25 |
4.00 |
0.5% |
899.25 |
| Close |
890.25 |
898.00 |
7.75 |
0.9% |
915.75 |
| Range |
10.25 |
18.25 |
8.00 |
78.0% |
39.50 |
| ATR |
19.92 |
19.80 |
-0.12 |
-0.6% |
0.00 |
| Volume |
2,043,793 |
1,834,657 |
-209,136 |
-10.2% |
10,354,803 |
|
| Daily Pivots for day following 24-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
952.25 |
943.50 |
908.00 |
|
| R3 |
934.00 |
925.25 |
903.00 |
|
| R2 |
915.75 |
915.75 |
901.25 |
|
| R1 |
907.00 |
907.00 |
899.75 |
911.50 |
| PP |
897.50 |
897.50 |
897.50 |
899.75 |
| S1 |
888.75 |
888.75 |
896.25 |
893.00 |
| S2 |
879.25 |
879.25 |
894.75 |
|
| S3 |
861.00 |
870.50 |
893.00 |
|
| S4 |
842.75 |
852.25 |
888.00 |
|
|
| Weekly Pivots for week ending 19-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,036.50 |
1,015.50 |
937.50 |
|
| R3 |
997.00 |
976.00 |
926.50 |
|
| R2 |
957.50 |
957.50 |
923.00 |
|
| R1 |
936.50 |
936.50 |
919.25 |
927.25 |
| PP |
918.00 |
918.00 |
918.00 |
913.25 |
| S1 |
897.00 |
897.00 |
912.25 |
887.75 |
| S2 |
878.50 |
878.50 |
908.50 |
|
| S3 |
839.00 |
857.50 |
905.00 |
|
| S4 |
799.50 |
818.00 |
894.00 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
923.00 |
884.25 |
38.75 |
4.3% |
17.50 |
1.9% |
35% |
False |
False |
1,950,554 |
| 10 |
952.75 |
884.25 |
68.50 |
7.6% |
17.50 |
2.0% |
20% |
False |
False |
1,813,156 |
| 20 |
953.00 |
881.50 |
71.50 |
8.0% |
19.50 |
2.2% |
23% |
False |
False |
931,058 |
| 40 |
953.00 |
846.00 |
107.00 |
11.9% |
21.00 |
2.3% |
49% |
False |
False |
469,092 |
| 60 |
953.00 |
776.00 |
177.00 |
19.7% |
22.00 |
2.5% |
69% |
False |
False |
313,758 |
| 80 |
953.00 |
662.00 |
291.00 |
32.4% |
23.75 |
2.6% |
81% |
False |
False |
235,458 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
984.00 |
|
2.618 |
954.25 |
|
1.618 |
936.00 |
|
1.000 |
924.75 |
|
0.618 |
917.75 |
|
HIGH |
906.50 |
|
0.618 |
899.50 |
|
0.500 |
897.50 |
|
0.382 |
895.25 |
|
LOW |
888.25 |
|
0.618 |
877.00 |
|
1.000 |
870.00 |
|
1.618 |
858.75 |
|
2.618 |
840.50 |
|
4.250 |
810.75 |
|
|
| Fisher Pivots for day following 24-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
897.75 |
901.75 |
| PP |
897.50 |
900.50 |
| S1 |
897.50 |
899.25 |
|