CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 27-Jun-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Jun-2008 |
27-Jun-2008 |
Change |
Change % |
Previous Week |
| Open |
714.2 |
697.1 |
-17.1 |
-2.4% |
725.7 |
| High |
714.8 |
702.0 |
-12.8 |
-1.8% |
731.5 |
| Low |
695.6 |
690.9 |
-4.7 |
-0.7% |
690.9 |
| Close |
696.6 |
698.9 |
2.3 |
0.3% |
698.9 |
| Range |
19.2 |
11.1 |
-8.1 |
-42.2% |
40.6 |
| ATR |
14.6 |
14.4 |
-0.3 |
-1.7% |
0.0 |
| Volume |
228,735 |
259,463 |
30,728 |
13.4% |
1,230,627 |
|
| Daily Pivots for day following 27-Jun-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
730.6 |
725.8 |
705.0 |
|
| R3 |
719.5 |
714.7 |
702.0 |
|
| R2 |
708.4 |
708.4 |
700.9 |
|
| R1 |
703.6 |
703.6 |
699.9 |
706.0 |
| PP |
697.3 |
697.3 |
697.3 |
698.5 |
| S1 |
692.5 |
692.5 |
697.9 |
694.9 |
| S2 |
686.2 |
686.2 |
696.9 |
|
| S3 |
675.1 |
681.4 |
695.8 |
|
| S4 |
664.0 |
670.3 |
692.8 |
|
|
| Weekly Pivots for week ending 27-Jun-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
828.9 |
804.5 |
721.2 |
|
| R3 |
788.3 |
763.9 |
710.1 |
|
| R2 |
747.7 |
747.7 |
706.3 |
|
| R1 |
723.3 |
723.3 |
702.6 |
715.2 |
| PP |
707.1 |
707.1 |
707.1 |
703.1 |
| S1 |
682.7 |
682.7 |
695.2 |
674.6 |
| S2 |
666.5 |
666.5 |
691.5 |
|
| S3 |
625.9 |
642.1 |
687.7 |
|
| S4 |
585.3 |
601.5 |
676.6 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
731.5 |
690.9 |
40.6 |
5.8% |
14.7 |
2.1% |
20% |
False |
True |
246,125 |
| 10 |
744.5 |
690.9 |
53.6 |
7.7% |
13.8 |
2.0% |
15% |
False |
True |
269,117 |
| 20 |
766.2 |
690.9 |
75.3 |
10.8% |
15.3 |
2.2% |
11% |
False |
True |
152,692 |
| 40 |
766.2 |
690.9 |
75.3 |
10.8% |
13.7 |
2.0% |
11% |
False |
True |
76,451 |
| 60 |
766.2 |
683.4 |
82.8 |
11.8% |
13.7 |
2.0% |
19% |
False |
False |
51,090 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
749.2 |
|
2.618 |
731.1 |
|
1.618 |
720.0 |
|
1.000 |
713.1 |
|
0.618 |
708.9 |
|
HIGH |
702.0 |
|
0.618 |
697.8 |
|
0.500 |
696.5 |
|
0.382 |
695.1 |
|
LOW |
690.9 |
|
0.618 |
684.0 |
|
1.000 |
679.8 |
|
1.618 |
672.9 |
|
2.618 |
661.8 |
|
4.250 |
643.7 |
|
|
| Fisher Pivots for day following 27-Jun-2008 |
| Pivot |
1 day |
3 day |
| R1 |
698.1 |
706.0 |
| PP |
697.3 |
703.6 |
| S1 |
696.5 |
701.3 |
|