E-mini S&P 500 Future December 2009
| Trading Metrics calculated at close of trading on 27-Jul-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Jul-2009 |
27-Jul-2009 |
Change |
Change % |
Previous Week |
| Open |
963.00 |
975.00 |
12.00 |
1.2% |
932.25 |
| High |
974.00 |
979.25 |
5.25 |
0.5% |
974.00 |
| Low |
958.50 |
965.00 |
6.50 |
0.7% |
929.75 |
| Close |
973.50 |
975.50 |
2.00 |
0.2% |
973.50 |
| Range |
15.50 |
14.25 |
-1.25 |
-8.1% |
44.25 |
| ATR |
17.47 |
17.24 |
-0.23 |
-1.3% |
0.00 |
| Volume |
4,199 |
1,371 |
-2,828 |
-67.3% |
10,116 |
|
| Daily Pivots for day following 27-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,016.00 |
1,010.00 |
983.25 |
|
| R3 |
1,001.75 |
995.75 |
979.50 |
|
| R2 |
987.50 |
987.50 |
978.00 |
|
| R1 |
981.50 |
981.50 |
976.75 |
984.50 |
| PP |
973.25 |
973.25 |
973.25 |
974.75 |
| S1 |
967.25 |
967.25 |
974.25 |
970.25 |
| S2 |
959.00 |
959.00 |
973.00 |
|
| S3 |
944.75 |
953.00 |
971.50 |
|
| S4 |
930.50 |
938.75 |
967.75 |
|
|
| Weekly Pivots for week ending 24-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,091.75 |
1,077.00 |
997.75 |
|
| R3 |
1,047.50 |
1,032.75 |
985.75 |
|
| R2 |
1,003.25 |
1,003.25 |
981.50 |
|
| R1 |
988.50 |
988.50 |
977.50 |
996.00 |
| PP |
959.00 |
959.00 |
959.00 |
962.75 |
| S1 |
944.25 |
944.25 |
969.50 |
951.50 |
| S2 |
914.75 |
914.75 |
965.50 |
|
| S3 |
870.50 |
900.00 |
961.25 |
|
| S4 |
826.25 |
855.75 |
949.25 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
979.25 |
935.50 |
43.75 |
4.5% |
17.25 |
1.8% |
91% |
True |
False |
1,941 |
| 10 |
979.25 |
888.50 |
90.75 |
9.3% |
16.75 |
1.7% |
96% |
True |
False |
1,911 |
| 20 |
979.25 |
861.25 |
118.00 |
12.1% |
17.00 |
1.7% |
97% |
True |
False |
1,842 |
| 40 |
979.25 |
861.25 |
118.00 |
12.1% |
16.25 |
1.7% |
97% |
True |
False |
1,285 |
| 60 |
979.25 |
861.25 |
118.00 |
12.1% |
17.75 |
1.8% |
97% |
True |
False |
868 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1,039.75 |
|
2.618 |
1,016.50 |
|
1.618 |
1,002.25 |
|
1.000 |
993.50 |
|
0.618 |
988.00 |
|
HIGH |
979.25 |
|
0.618 |
973.75 |
|
0.500 |
972.00 |
|
0.382 |
970.50 |
|
LOW |
965.00 |
|
0.618 |
956.25 |
|
1.000 |
950.75 |
|
1.618 |
942.00 |
|
2.618 |
927.75 |
|
4.250 |
904.50 |
|
|
| Fisher Pivots for day following 27-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
974.50 |
971.00 |
| PP |
973.25 |
966.50 |
| S1 |
972.00 |
962.00 |
|