CME eMini Russell 2000 Future March 2008
| Trading Metrics calculated at close of trading on 20-Mar-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Mar-2008 |
20-Mar-2008 |
Change |
Change % |
Previous Week |
| Open |
682.5 |
664.5 |
-18.0 |
-2.6% |
660.0 |
| High |
690.8 |
677.8 |
-13.0 |
-1.9% |
690.8 |
| Low |
662.6 |
658.6 |
-4.0 |
-0.6% |
642.3 |
| Close |
664.4 |
677.8 |
13.4 |
2.0% |
664.4 |
| Range |
28.2 |
19.2 |
-9.0 |
-31.8% |
48.5 |
| ATR |
23.7 |
23.4 |
-0.3 |
-1.3% |
0.0 |
| Volume |
165,141 |
99,974 |
-65,167 |
-39.5% |
1,555,975 |
|
| Daily Pivots for day following 20-Mar-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
729.1 |
722.7 |
688.4 |
|
| R3 |
709.9 |
703.5 |
683.1 |
|
| R2 |
690.7 |
690.7 |
681.4 |
|
| R1 |
684.3 |
684.3 |
679.6 |
687.5 |
| PP |
671.4 |
671.4 |
671.4 |
673.0 |
| S1 |
665.0 |
665.0 |
676.1 |
668.2 |
| S2 |
652.2 |
652.2 |
674.3 |
|
| S3 |
632.9 |
645.8 |
672.5 |
|
| S4 |
613.7 |
626.5 |
667.3 |
|
|
| Weekly Pivots for week ending 14-Mar-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
811.3 |
786.4 |
691.1 |
|
| R3 |
762.8 |
737.9 |
677.7 |
|
| R2 |
714.3 |
714.3 |
673.3 |
|
| R1 |
689.4 |
689.4 |
668.8 |
701.9 |
| PP |
665.8 |
665.8 |
665.8 |
672.1 |
| S1 |
640.9 |
640.9 |
660.0 |
653.4 |
| S2 |
617.3 |
617.3 |
655.5 |
|
| S3 |
568.8 |
592.4 |
651.1 |
|
| S4 |
520.3 |
543.9 |
637.7 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
690.8 |
643.4 |
47.4 |
7.0% |
29.6 |
4.4% |
73% |
False |
False |
197,022 |
| 10 |
690.8 |
642.3 |
48.5 |
7.2% |
26.3 |
3.9% |
73% |
False |
False |
251,308 |
| 20 |
725.2 |
642.3 |
82.9 |
12.2% |
22.4 |
3.3% |
43% |
False |
False |
256,162 |
| 40 |
733.8 |
642.3 |
91.5 |
13.5% |
21.5 |
3.2% |
39% |
False |
False |
262,157 |
| 60 |
804.7 |
637.5 |
167.2 |
24.7% |
22.0 |
3.3% |
24% |
False |
False |
262,366 |
| 80 |
804.7 |
637.5 |
167.2 |
24.7% |
21.3 |
3.1% |
24% |
False |
False |
220,656 |
| 100 |
838.5 |
637.5 |
201.0 |
29.7% |
20.7 |
3.0% |
20% |
False |
False |
176,572 |
| 120 |
863.7 |
637.5 |
226.2 |
33.4% |
19.8 |
2.9% |
18% |
False |
False |
147,159 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
759.6 |
|
2.618 |
728.2 |
|
1.618 |
709.0 |
|
1.000 |
697.1 |
|
0.618 |
689.7 |
|
HIGH |
677.8 |
|
0.618 |
670.5 |
|
0.500 |
668.2 |
|
0.382 |
665.9 |
|
LOW |
658.6 |
|
0.618 |
646.7 |
|
1.000 |
639.4 |
|
1.618 |
627.5 |
|
2.618 |
608.2 |
|
4.250 |
576.8 |
|
|
| Fisher Pivots for day following 20-Mar-2008 |
| Pivot |
1 day |
3 day |
| R1 |
674.6 |
675.5 |
| PP |
671.4 |
673.2 |
| S1 |
668.2 |
670.9 |
|