CME eMini Russell 2000 Future March 2008
| Trading Metrics calculated at close of trading on 11-Mar-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Mar-2008 |
11-Mar-2008 |
Change |
Change % |
Previous Week |
| Open |
660.0 |
647.2 |
-12.8 |
-1.9% |
688.1 |
| High |
665.4 |
675.2 |
9.8 |
1.5% |
690.0 |
| Low |
642.3 |
644.2 |
1.9 |
0.3% |
653.1 |
| Close |
647.1 |
674.3 |
27.2 |
4.2% |
660.6 |
| Range |
23.1 |
31.0 |
7.9 |
34.2% |
36.9 |
| ATR |
19.8 |
20.6 |
0.8 |
4.0% |
0.0 |
| Volume |
328,717 |
265,780 |
-62,937 |
-19.1% |
1,369,635 |
|
| Daily Pivots for day following 11-Mar-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
757.6 |
746.9 |
691.4 |
|
| R3 |
726.6 |
715.9 |
682.8 |
|
| R2 |
695.6 |
695.6 |
680.0 |
|
| R1 |
684.9 |
684.9 |
677.1 |
690.3 |
| PP |
664.6 |
664.6 |
664.6 |
667.2 |
| S1 |
653.9 |
653.9 |
671.5 |
659.3 |
| S2 |
633.6 |
633.6 |
668.6 |
|
| S3 |
602.6 |
622.9 |
665.8 |
|
| S4 |
571.6 |
591.9 |
657.3 |
|
|
| Weekly Pivots for week ending 07-Mar-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
778.6 |
756.5 |
680.9 |
|
| R3 |
741.7 |
719.6 |
670.7 |
|
| R2 |
704.8 |
704.8 |
667.4 |
|
| R1 |
682.7 |
682.7 |
664.0 |
675.3 |
| PP |
667.9 |
667.9 |
667.9 |
664.2 |
| S1 |
645.8 |
645.8 |
657.2 |
638.4 |
| S2 |
631.0 |
631.0 |
653.8 |
|
| S3 |
594.1 |
608.9 |
650.5 |
|
| S4 |
557.2 |
572.0 |
640.3 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
690.0 |
642.3 |
47.7 |
7.1% |
22.7 |
3.4% |
67% |
False |
False |
291,188 |
| 10 |
725.2 |
642.3 |
82.9 |
12.3% |
19.9 |
3.0% |
39% |
False |
False |
268,431 |
| 20 |
725.4 |
642.3 |
83.1 |
12.3% |
19.3 |
2.9% |
39% |
False |
False |
255,575 |
| 40 |
733.8 |
637.5 |
96.3 |
14.3% |
21.7 |
3.2% |
38% |
False |
False |
280,056 |
| 60 |
804.7 |
637.5 |
167.2 |
24.8% |
20.9 |
3.1% |
22% |
False |
False |
265,705 |
| 80 |
804.7 |
637.5 |
167.2 |
24.8% |
20.1 |
3.0% |
22% |
False |
False |
200,121 |
| 100 |
838.5 |
637.5 |
201.0 |
29.8% |
20.1 |
3.0% |
18% |
False |
False |
160,127 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
807.0 |
|
2.618 |
756.4 |
|
1.618 |
725.4 |
|
1.000 |
706.2 |
|
0.618 |
694.4 |
|
HIGH |
675.2 |
|
0.618 |
663.4 |
|
0.500 |
659.7 |
|
0.382 |
656.0 |
|
LOW |
644.2 |
|
0.618 |
625.0 |
|
1.000 |
613.2 |
|
1.618 |
594.0 |
|
2.618 |
563.0 |
|
4.250 |
512.5 |
|
|
| Fisher Pivots for day following 11-Mar-2008 |
| Pivot |
1 day |
3 day |
| R1 |
669.4 |
669.1 |
| PP |
664.6 |
663.9 |
| S1 |
659.7 |
658.8 |
|