CME eMini Russell 2000 Future June 2008
| Trading Metrics calculated at close of trading on 24-Mar-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Mar-2008 |
24-Mar-2008 |
Change |
Change % |
Previous Week |
| Open |
662.9 |
675.9 |
13.0 |
2.0% |
663.0 |
| High |
681.8 |
705.4 |
23.6 |
3.5% |
689.8 |
| Low |
657.5 |
675.5 |
18.0 |
2.7% |
640.1 |
| Close |
675.4 |
701.4 |
26.0 |
3.8% |
675.4 |
| Range |
24.3 |
29.9 |
5.6 |
23.0% |
49.7 |
| ATR |
23.2 |
23.7 |
0.5 |
2.1% |
0.0 |
| Volume |
398,445 |
275,108 |
-123,337 |
-31.0% |
1,795,794 |
|
| Daily Pivots for day following 24-Mar-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
783.8 |
772.5 |
717.8 |
|
| R3 |
753.9 |
742.6 |
709.6 |
|
| R2 |
724.0 |
724.0 |
706.9 |
|
| R1 |
712.7 |
712.7 |
704.1 |
718.4 |
| PP |
694.1 |
694.1 |
694.1 |
696.9 |
| S1 |
682.8 |
682.8 |
698.7 |
688.5 |
| S2 |
664.2 |
664.2 |
695.9 |
|
| S3 |
634.3 |
652.9 |
693.2 |
|
| S4 |
604.4 |
623.0 |
685.0 |
|
|
| Weekly Pivots for week ending 21-Mar-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
817.5 |
796.2 |
702.7 |
|
| R3 |
767.8 |
746.5 |
689.1 |
|
| R2 |
718.1 |
718.1 |
684.5 |
|
| R1 |
696.8 |
696.8 |
680.0 |
707.5 |
| PP |
668.4 |
668.4 |
668.4 |
673.8 |
| S1 |
647.1 |
647.1 |
670.8 |
657.8 |
| S2 |
618.7 |
618.7 |
666.3 |
|
| S3 |
569.0 |
597.4 |
661.7 |
|
| S4 |
519.3 |
547.7 |
648.1 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
705.4 |
640.1 |
65.3 |
9.3% |
30.2 |
4.3% |
94% |
True |
False |
414,180 |
| 10 |
705.4 |
640.1 |
65.3 |
9.3% |
28.5 |
4.1% |
94% |
True |
False |
254,737 |
| 20 |
725.2 |
640.1 |
85.1 |
12.1% |
22.4 |
3.2% |
72% |
False |
False |
128,688 |
| 40 |
733.4 |
640.1 |
93.3 |
13.3% |
20.6 |
2.9% |
66% |
False |
False |
64,410 |
| 60 |
805.1 |
638.6 |
166.5 |
23.7% |
21.3 |
3.0% |
38% |
False |
False |
42,972 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
832.5 |
|
2.618 |
783.7 |
|
1.618 |
753.8 |
|
1.000 |
735.3 |
|
0.618 |
723.9 |
|
HIGH |
705.4 |
|
0.618 |
694.0 |
|
0.500 |
690.5 |
|
0.382 |
686.9 |
|
LOW |
675.5 |
|
0.618 |
657.0 |
|
1.000 |
645.6 |
|
1.618 |
627.1 |
|
2.618 |
597.2 |
|
4.250 |
548.4 |
|
|
| Fisher Pivots for day following 24-Mar-2008 |
| Pivot |
1 day |
3 day |
| R1 |
697.8 |
694.8 |
| PP |
694.1 |
688.1 |
| S1 |
690.5 |
681.5 |
|