CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 24-Jul-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Jul-2008 |
24-Jul-2008 |
Change |
Change % |
Previous Week |
| Open |
715.8 |
720.5 |
4.7 |
0.7% |
673.7 |
| High |
727.1 |
722.8 |
-4.3 |
-0.6% |
700.3 |
| Low |
713.8 |
700.3 |
-13.5 |
-1.9% |
646.2 |
| Close |
721.2 |
704.9 |
-16.3 |
-2.3% |
690.7 |
| Range |
13.3 |
22.5 |
9.2 |
69.2% |
54.1 |
| ATR |
18.8 |
19.0 |
0.3 |
1.4% |
0.0 |
| Volume |
288,105 |
278,005 |
-10,100 |
-3.5% |
1,564,164 |
|
| Daily Pivots for day following 24-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
776.8 |
763.4 |
717.3 |
|
| R3 |
754.3 |
740.9 |
711.1 |
|
| R2 |
731.8 |
731.8 |
709.0 |
|
| R1 |
718.4 |
718.4 |
707.0 |
713.9 |
| PP |
709.3 |
709.3 |
709.3 |
707.1 |
| S1 |
695.9 |
695.9 |
702.8 |
691.4 |
| S2 |
686.8 |
686.8 |
700.8 |
|
| S3 |
664.3 |
673.4 |
698.7 |
|
| S4 |
641.8 |
650.9 |
692.5 |
|
|
| Weekly Pivots for week ending 18-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
841.4 |
820.1 |
720.5 |
|
| R3 |
787.3 |
766.0 |
705.6 |
|
| R2 |
733.2 |
733.2 |
700.6 |
|
| R1 |
711.9 |
711.9 |
695.7 |
722.6 |
| PP |
679.1 |
679.1 |
679.1 |
684.4 |
| S1 |
657.8 |
657.8 |
685.7 |
668.5 |
| S2 |
625.0 |
625.0 |
680.8 |
|
| S3 |
570.9 |
603.7 |
675.8 |
|
| S4 |
516.8 |
549.6 |
660.9 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
727.1 |
685.6 |
41.5 |
5.9% |
17.9 |
2.5% |
47% |
False |
False |
254,656 |
| 10 |
727.1 |
646.2 |
80.9 |
11.5% |
21.0 |
3.0% |
73% |
False |
False |
287,455 |
| 20 |
727.1 |
646.2 |
80.9 |
11.5% |
20.3 |
2.9% |
73% |
False |
False |
275,376 |
| 40 |
766.2 |
646.2 |
120.0 |
17.0% |
17.6 |
2.5% |
49% |
False |
False |
201,848 |
| 60 |
766.2 |
646.2 |
120.0 |
17.0% |
15.9 |
2.3% |
49% |
False |
False |
134,626 |
| 80 |
766.2 |
646.2 |
120.0 |
17.0% |
15.2 |
2.2% |
49% |
False |
False |
101,068 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
818.4 |
|
2.618 |
781.7 |
|
1.618 |
759.2 |
|
1.000 |
745.3 |
|
0.618 |
736.7 |
|
HIGH |
722.8 |
|
0.618 |
714.2 |
|
0.500 |
711.6 |
|
0.382 |
708.9 |
|
LOW |
700.3 |
|
0.618 |
686.4 |
|
1.000 |
677.8 |
|
1.618 |
663.9 |
|
2.618 |
641.4 |
|
4.250 |
604.7 |
|
|
| Fisher Pivots for day following 24-Jul-2008 |
| Pivot |
1 day |
3 day |
| R1 |
711.6 |
709.1 |
| PP |
709.3 |
707.7 |
| S1 |
707.1 |
706.3 |
|