E-mini S&P 500 Future December 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 |
891.75 |
899.75 |
8.00 |
0.9% |
886.25 |
| High |
899.25 |
926.25 |
27.00 |
3.0% |
893.75 |
| Low |
888.50 |
899.75 |
11.25 |
1.3% |
861.25 |
| Close |
897.00 |
922.75 |
25.75 |
2.9% |
869.75 |
| Range |
10.75 |
26.50 |
15.75 |
146.5% |
32.50 |
| ATR |
17.07 |
17.94 |
0.87 |
5.1% |
0.00 |
| Volume |
4,182 |
979 |
-3,203 |
-76.6% |
10,265 |
|
| Daily Pivots for day following 15-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
995.75 |
985.75 |
937.25 |
|
| R3 |
969.25 |
959.25 |
930.00 |
|
| R2 |
942.75 |
942.75 |
927.50 |
|
| R1 |
932.75 |
932.75 |
925.25 |
937.75 |
| PP |
916.25 |
916.25 |
916.25 |
918.75 |
| S1 |
906.25 |
906.25 |
920.25 |
911.25 |
| S2 |
889.75 |
889.75 |
918.00 |
|
| S3 |
863.25 |
879.75 |
915.50 |
|
| S4 |
836.75 |
853.25 |
908.25 |
|
|
| Weekly Pivots for week ending 10-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
972.50 |
953.50 |
887.50 |
|
| R3 |
940.00 |
921.00 |
878.75 |
|
| R2 |
907.50 |
907.50 |
875.75 |
|
| R1 |
888.50 |
888.50 |
872.75 |
881.75 |
| PP |
875.00 |
875.00 |
875.00 |
871.50 |
| S1 |
856.00 |
856.00 |
866.75 |
849.25 |
| S2 |
842.50 |
842.50 |
863.75 |
|
| S3 |
810.00 |
823.50 |
860.75 |
|
| S4 |
777.50 |
791.00 |
852.00 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
926.25 |
861.50 |
64.75 |
7.0% |
18.00 |
2.0% |
95% |
True |
False |
2,506 |
| 10 |
926.25 |
861.25 |
65.00 |
7.0% |
17.75 |
1.9% |
95% |
True |
False |
2,039 |
| 20 |
926.25 |
861.25 |
65.00 |
7.0% |
17.50 |
1.9% |
95% |
True |
False |
1,769 |
| 40 |
948.00 |
861.25 |
86.75 |
9.4% |
17.25 |
1.9% |
71% |
False |
False |
940 |
| 60 |
948.00 |
828.00 |
120.00 |
13.0% |
17.75 |
1.9% |
79% |
False |
False |
637 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,039.00 |
|
2.618 |
995.75 |
|
1.618 |
969.25 |
|
1.000 |
952.75 |
|
0.618 |
942.75 |
|
HIGH |
926.25 |
|
0.618 |
916.25 |
|
0.500 |
913.00 |
|
0.382 |
909.75 |
|
LOW |
899.75 |
|
0.618 |
883.25 |
|
1.000 |
873.25 |
|
1.618 |
856.75 |
|
2.618 |
830.25 |
|
4.250 |
787.00 |
|
|
| Fisher Pivots for day following 15-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
919.50 |
913.00 |
| PP |
916.25 |
903.50 |
| S1 |
913.00 |
894.00 |
|