E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 15-Jul-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Jul-2009 |
15-Jul-2009 |
Change |
Change % |
Previous Week |
| Open |
895.50 |
906.75 |
11.25 |
1.3% |
892.00 |
| High |
904.00 |
930.75 |
26.75 |
3.0% |
898.25 |
| Low |
892.50 |
906.50 |
14.00 |
1.6% |
865.25 |
| Close |
901.50 |
927.25 |
25.75 |
2.9% |
874.25 |
| Range |
11.50 |
24.25 |
12.75 |
110.9% |
33.00 |
| ATR |
18.67 |
19.43 |
0.76 |
4.0% |
0.00 |
| Volume |
2,053,821 |
2,009,856 |
-43,965 |
-2.1% |
9,795,459 |
|
| Daily Pivots for day following 15-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
994.25 |
985.00 |
940.50 |
|
| R3 |
970.00 |
960.75 |
934.00 |
|
| R2 |
945.75 |
945.75 |
931.75 |
|
| R1 |
936.50 |
936.50 |
929.50 |
941.00 |
| PP |
921.50 |
921.50 |
921.50 |
923.75 |
| S1 |
912.25 |
912.25 |
925.00 |
917.00 |
| S2 |
897.25 |
897.25 |
922.75 |
|
| S3 |
873.00 |
888.00 |
920.50 |
|
| S4 |
848.75 |
863.75 |
914.00 |
|
|
| Weekly Pivots for week ending 10-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
978.25 |
959.25 |
892.50 |
|
| R3 |
945.25 |
926.25 |
883.25 |
|
| R2 |
912.25 |
912.25 |
880.25 |
|
| R1 |
893.25 |
893.25 |
877.25 |
886.25 |
| PP |
879.25 |
879.25 |
879.25 |
875.75 |
| S1 |
860.25 |
860.25 |
871.25 |
853.25 |
| S2 |
846.25 |
846.25 |
868.25 |
|
| S3 |
813.25 |
827.25 |
865.25 |
|
| S4 |
780.25 |
794.25 |
856.00 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
930.75 |
865.50 |
65.25 |
7.0% |
18.00 |
1.9% |
95% |
True |
False |
2,033,506 |
| 10 |
930.75 |
865.25 |
65.50 |
7.1% |
18.75 |
2.0% |
95% |
True |
False |
1,928,227 |
| 20 |
930.75 |
865.25 |
65.50 |
7.1% |
18.00 |
1.9% |
95% |
True |
False |
1,904,370 |
| 40 |
953.00 |
865.25 |
87.75 |
9.5% |
19.50 |
2.1% |
71% |
False |
False |
1,118,693 |
| 60 |
953.00 |
819.75 |
133.25 |
14.4% |
20.50 |
2.2% |
81% |
False |
False |
747,736 |
| 80 |
953.00 |
772.25 |
180.75 |
19.5% |
22.00 |
2.4% |
86% |
False |
False |
561,278 |
| 100 |
953.00 |
662.00 |
291.00 |
31.4% |
23.25 |
2.5% |
91% |
False |
False |
449,042 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,033.75 |
|
2.618 |
994.25 |
|
1.618 |
970.00 |
|
1.000 |
955.00 |
|
0.618 |
945.75 |
|
HIGH |
930.75 |
|
0.618 |
921.50 |
|
0.500 |
918.50 |
|
0.382 |
915.75 |
|
LOW |
906.50 |
|
0.618 |
891.50 |
|
1.000 |
882.25 |
|
1.618 |
867.25 |
|
2.618 |
843.00 |
|
4.250 |
803.50 |
|
|
| Fisher Pivots for day following 15-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
924.50 |
917.50 |
| PP |
921.50 |
907.75 |
| S1 |
918.50 |
898.00 |
|