E-mini S&P 500 Future September 2009

Trading Metrics calculated at close of trading on 01-Jul-2009

Day Change Summary
	Previous	Current
	30-Jun-2009	01-Jul-2009	Change	Change %	Previous Week
Open	921.50	915.75	-5.75	-0.6%	914.50
High	926.25	928.25	2.00	0.2%	919.25
Low	908.25	913.50	5.25	0.6%	884.25
Close	915.50	919.25	3.75	0.4%	914.00
Range	18.00	14.75	-3.25	-18.1%	35.00
ATR	19.29	18.97	-0.32	-1.7%	0.00
Volume	1,346,711	2,062,874	716,163	53.2%	9,530,440

Daily Pivots for day following 01-Jul-2009
	Classic	Woodie	Camarilla	DeMark
R4	964.50	956.75	927.25
R3	949.75	942.00	923.25
R2	935.00	935.00	922.00
R1	927.25	927.25	920.50	931.00
PP	920.25	920.25	920.25	922.25
S1	912.50	912.50	918.00	916.50
S2	905.50	905.50	916.50
S3	890.75	897.75	915.25
S4	876.00	883.00	911.25

Weekly Pivots for week ending 26-Jun-2009
	Classic	Woodie	Camarilla	DeMark
R4	1,010.75	997.50	933.25
R3	975.75	962.50	923.50
R2	940.75	940.75	920.50
R1	927.50	927.50	917.25	916.50
PP	905.75	905.75	905.75	900.50
S1	892.50	892.50	910.75	881.50
S2	870.75	870.75	907.50
S3	835.75	857.50	904.50
S4	800.75	822.50	894.75

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	928.25	891.00	37.25	4.1%	17.25	1.9%	76%	True	False	1,769,536
10	928.25	884.25	44.00	4.8%	17.50	1.9%	80%	True	False	1,860,045
20	953.00	884.25	68.75	7.5%	18.00	2.0%	51%	False	False	1,368,853
40	953.00	871.00	82.00	8.9%	20.50	2.2%	59%	False	False	689,766
60	953.00	799.25	153.75	16.7%	21.25	2.3%	78%	False	False	461,100
80	953.00	665.50	287.50	31.3%	23.00	2.5%	88%	False	False	346,049
100	953.00	662.00	291.00	31.7%	23.50	2.5%	88%	False	False	276,850

Crabel Price Patterns
NR	True
NR4	False
NR5	False
NR7	False
WS	False
WS4	False
WS5	False
WS7	False
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	True
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	3.73
Narrowest range in 3 trading days

Fibonacci Retracements and Extensions
4.250	991.00
2.618	966.75
1.618	952.00
1.000	943.00
0.618	937.25
HIGH	928.25
0.618	922.50
0.500	921.00
0.382	919.25
LOW	913.50
0.618	904.50
1.000	898.75
1.618	889.75
2.618	875.00
4.250	850.75

Fisher Pivots for day following 01-Jul-2009
Pivot	1 day	3 day
R1	921.00	918.75
PP	920.25	918.25
S1	919.75	917.75

Download as Excel Spreadsheet

These figures are updated between 7pm and 10pm EST after a trading day.

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