CME eMini Russell 2000 Future March 2008
| Trading Metrics calculated at close of trading on 12-Mar-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Mar-2008 |
12-Mar-2008 |
Change |
Change % |
Previous Week |
| Open |
647.2 |
673.9 |
26.7 |
4.1% |
688.1 |
| High |
675.2 |
682.0 |
6.8 |
1.0% |
690.0 |
| Low |
644.2 |
666.3 |
22.1 |
3.4% |
653.1 |
| Close |
674.3 |
667.4 |
-6.9 |
-1.0% |
660.6 |
| Range |
31.0 |
15.7 |
-15.3 |
-49.4% |
36.9 |
| ATR |
20.6 |
20.3 |
-0.4 |
-1.7% |
0.0 |
| Volume |
265,780 |
365,075 |
99,295 |
37.4% |
1,369,635 |
|
| Daily Pivots for day following 12-Mar-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
719.0 |
708.9 |
676.0 |
|
| R3 |
703.3 |
693.2 |
671.7 |
|
| R2 |
687.6 |
687.6 |
670.3 |
|
| R1 |
677.5 |
677.5 |
668.8 |
674.7 |
| PP |
671.9 |
671.9 |
671.9 |
670.5 |
| S1 |
661.8 |
661.8 |
666.0 |
659.0 |
| S2 |
656.2 |
656.2 |
664.5 |
|
| S3 |
640.5 |
646.1 |
663.1 |
|
| S4 |
624.8 |
630.4 |
658.8 |
|
|
| 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% |
23.2 |
3.5% |
53% |
False |
False |
305,176 |
| 10 |
717.3 |
642.3 |
75.0 |
11.2% |
20.0 |
3.0% |
33% |
False |
False |
278,826 |
| 20 |
725.4 |
642.3 |
83.1 |
12.5% |
19.3 |
2.9% |
30% |
False |
False |
262,442 |
| 40 |
733.8 |
637.5 |
96.3 |
14.4% |
21.7 |
3.3% |
31% |
False |
False |
282,133 |
| 60 |
804.7 |
637.5 |
167.2 |
25.1% |
20.9 |
3.1% |
18% |
False |
False |
270,992 |
| 80 |
804.7 |
637.5 |
167.2 |
25.1% |
20.1 |
3.0% |
18% |
False |
False |
204,682 |
| 100 |
838.5 |
637.5 |
201.0 |
30.1% |
20.2 |
3.0% |
15% |
False |
False |
163,777 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
748.7 |
|
2.618 |
723.1 |
|
1.618 |
707.4 |
|
1.000 |
697.7 |
|
0.618 |
691.7 |
|
HIGH |
682.0 |
|
0.618 |
676.0 |
|
0.500 |
674.2 |
|
0.382 |
672.3 |
|
LOW |
666.3 |
|
0.618 |
656.6 |
|
1.000 |
650.6 |
|
1.618 |
640.9 |
|
2.618 |
625.2 |
|
4.250 |
599.6 |
|
|
| Fisher Pivots for day following 12-Mar-2008 |
| Pivot |
1 day |
3 day |
| R1 |
674.2 |
665.7 |
| PP |
671.9 |
663.9 |
| S1 |
669.7 |
662.2 |
|