E-mini S&P 500 Future December 2009
| Trading Metrics calculated at close of trading on 20-Jul-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
17-Jul-2009 |
20-Jul-2009 |
Change |
Change % |
Previous Week |
| Open |
930.25 |
932.25 |
2.00 |
0.2% |
871.50 |
| High |
934.00 |
944.50 |
10.50 |
1.1% |
936.25 |
| Low |
924.00 |
929.75 |
5.75 |
0.6% |
861.50 |
| Close |
932.50 |
944.50 |
12.00 |
1.3% |
932.50 |
| Range |
10.00 |
14.75 |
4.75 |
47.5% |
74.75 |
| ATR |
17.46 |
17.27 |
-0.19 |
-1.1% |
0.00 |
| Volume |
1,237 |
1,780 |
543 |
43.9% |
9,847 |
|
| Daily Pivots for day following 20-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
983.75 |
979.00 |
952.50 |
|
| R3 |
969.00 |
964.25 |
948.50 |
|
| R2 |
954.25 |
954.25 |
947.25 |
|
| R1 |
949.50 |
949.50 |
945.75 |
952.00 |
| PP |
939.50 |
939.50 |
939.50 |
940.75 |
| S1 |
934.75 |
934.75 |
943.25 |
937.00 |
| S2 |
924.75 |
924.75 |
941.75 |
|
| S3 |
910.00 |
920.00 |
940.50 |
|
| S4 |
895.25 |
905.25 |
936.50 |
|
|
| Weekly Pivots for week ending 17-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,134.25 |
1,108.25 |
973.50 |
|
| R3 |
1,059.50 |
1,033.50 |
953.00 |
|
| R2 |
984.75 |
984.75 |
946.25 |
|
| R1 |
958.75 |
958.75 |
939.25 |
971.75 |
| PP |
910.00 |
910.00 |
910.00 |
916.50 |
| S1 |
884.00 |
884.00 |
925.75 |
897.00 |
| S2 |
835.25 |
835.25 |
918.75 |
|
| S3 |
760.50 |
809.25 |
912.00 |
|
| S4 |
685.75 |
734.50 |
891.50 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
944.50 |
888.50 |
56.00 |
5.9% |
16.25 |
1.7% |
100% |
True |
False |
1,882 |
| 10 |
944.50 |
861.25 |
83.25 |
8.8% |
17.50 |
1.8% |
100% |
True |
False |
2,021 |
| 20 |
944.50 |
861.25 |
83.25 |
8.8% |
16.75 |
1.8% |
100% |
True |
False |
1,909 |
| 40 |
948.00 |
861.25 |
86.75 |
9.2% |
17.00 |
1.8% |
96% |
False |
False |
1,044 |
| 60 |
948.00 |
833.50 |
114.50 |
12.1% |
17.50 |
1.9% |
97% |
False |
False |
707 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,007.25 |
|
2.618 |
983.00 |
|
1.618 |
968.25 |
|
1.000 |
959.25 |
|
0.618 |
953.50 |
|
HIGH |
944.50 |
|
0.618 |
938.75 |
|
0.500 |
937.00 |
|
0.382 |
935.50 |
|
LOW |
929.75 |
|
0.618 |
920.75 |
|
1.000 |
915.00 |
|
1.618 |
906.00 |
|
2.618 |
891.25 |
|
4.250 |
867.00 |
|
|
| Fisher Pivots for day following 20-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
942.00 |
940.00 |
| PP |
939.50 |
935.25 |
| S1 |
937.00 |
930.75 |
|