CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 05-Sep-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
04-Sep-2008 |
05-Sep-2008 |
Change |
Change % |
Previous Week |
| Open |
741.6 |
720.9 |
-20.7 |
-2.8% |
738.2 |
| High |
743.5 |
722.1 |
-21.4 |
-2.9% |
755.9 |
| Low |
715.4 |
702.2 |
-13.2 |
-1.8% |
702.2 |
| Close |
719.7 |
718.5 |
-1.2 |
-0.2% |
718.5 |
| Range |
28.1 |
19.9 |
-8.2 |
-29.2% |
53.7 |
| ATR |
18.1 |
18.2 |
0.1 |
0.7% |
0.0 |
| Volume |
230,884 |
232,557 |
1,673 |
0.7% |
827,562 |
|
| Daily Pivots for day following 05-Sep-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
774.0 |
766.1 |
729.4 |
|
| R3 |
754.1 |
746.2 |
724.0 |
|
| R2 |
734.2 |
734.2 |
722.1 |
|
| R1 |
726.3 |
726.3 |
720.3 |
720.3 |
| PP |
714.3 |
714.3 |
714.3 |
711.3 |
| S1 |
706.4 |
706.4 |
716.7 |
700.4 |
| S2 |
694.4 |
694.4 |
714.9 |
|
| S3 |
674.5 |
686.5 |
713.0 |
|
| S4 |
654.6 |
666.6 |
707.6 |
|
|
| Weekly Pivots for week ending 05-Sep-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
886.6 |
856.3 |
748.0 |
|
| R3 |
832.9 |
802.6 |
733.3 |
|
| R2 |
779.2 |
779.2 |
728.3 |
|
| R1 |
748.9 |
748.9 |
723.4 |
737.2 |
| PP |
725.5 |
725.5 |
725.5 |
719.7 |
| S1 |
695.2 |
695.2 |
713.6 |
683.5 |
| S2 |
671.8 |
671.8 |
708.7 |
|
| S3 |
618.1 |
641.5 |
703.7 |
|
| S4 |
564.4 |
587.8 |
689.0 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
755.9 |
702.2 |
53.7 |
7.5% |
19.6 |
2.7% |
30% |
False |
True |
201,244 |
| 10 |
755.9 |
702.2 |
53.7 |
7.5% |
18.6 |
2.6% |
30% |
False |
True |
182,343 |
| 20 |
764.1 |
702.2 |
61.9 |
8.6% |
18.2 |
2.5% |
26% |
False |
True |
203,905 |
| 40 |
764.1 |
646.2 |
117.9 |
16.4% |
18.4 |
2.6% |
61% |
False |
False |
227,964 |
| 60 |
764.1 |
646.2 |
117.9 |
16.4% |
17.8 |
2.5% |
61% |
False |
False |
238,045 |
| 80 |
766.2 |
646.2 |
120.0 |
16.7% |
17.0 |
2.4% |
60% |
False |
False |
178,994 |
| 100 |
766.2 |
646.2 |
120.0 |
16.7% |
16.1 |
2.2% |
60% |
False |
False |
143,264 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
806.7 |
|
2.618 |
774.2 |
|
1.618 |
754.3 |
|
1.000 |
742.0 |
|
0.618 |
734.4 |
|
HIGH |
722.1 |
|
0.618 |
714.5 |
|
0.500 |
712.2 |
|
0.382 |
709.8 |
|
LOW |
702.2 |
|
0.618 |
689.9 |
|
1.000 |
682.3 |
|
1.618 |
670.0 |
|
2.618 |
650.1 |
|
4.250 |
617.6 |
|
|
| Fisher Pivots for day following 05-Sep-2008 |
| Pivot |
1 day |
3 day |
| R1 |
716.4 |
725.2 |
| PP |
714.3 |
723.0 |
| S1 |
712.2 |
720.7 |
|