CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 01-Jul-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Jun-2008 |
01-Jul-2008 |
Change |
Change % |
Previous Week |
| Open |
698.3 |
690.0 |
-8.3 |
-1.2% |
725.7 |
| High |
701.9 |
691.9 |
-10.0 |
-1.4% |
731.5 |
| Low |
688.5 |
675.1 |
-13.4 |
-1.9% |
690.9 |
| Close |
691.7 |
690.1 |
-1.6 |
-0.2% |
698.9 |
| Range |
13.4 |
16.8 |
3.4 |
25.4% |
40.6 |
| ATR |
14.3 |
14.5 |
0.2 |
1.2% |
0.0 |
| Volume |
254,705 |
240,523 |
-14,182 |
-5.6% |
1,230,627 |
|
| Daily Pivots for day following 01-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
736.1 |
729.9 |
699.3 |
|
| R3 |
719.3 |
713.1 |
694.7 |
|
| R2 |
702.5 |
702.5 |
693.2 |
|
| R1 |
696.3 |
696.3 |
691.6 |
699.4 |
| PP |
685.7 |
685.7 |
685.7 |
687.3 |
| S1 |
679.5 |
679.5 |
688.6 |
682.6 |
| S2 |
668.9 |
668.9 |
687.0 |
|
| S3 |
652.1 |
662.7 |
685.5 |
|
| S4 |
635.3 |
645.9 |
680.9 |
|
|
| 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 |
721.1 |
675.1 |
46.0 |
6.7% |
15.1 |
2.2% |
33% |
False |
True |
248,167 |
| 10 |
739.0 |
675.1 |
63.9 |
9.3% |
14.8 |
2.1% |
23% |
False |
True |
265,127 |
| 20 |
766.2 |
675.1 |
91.1 |
13.2% |
15.3 |
2.2% |
16% |
False |
True |
177,354 |
| 40 |
766.2 |
675.1 |
91.1 |
13.2% |
13.9 |
2.0% |
16% |
False |
True |
88,824 |
| 60 |
766.2 |
675.1 |
91.1 |
13.2% |
13.9 |
2.0% |
16% |
False |
True |
59,343 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
763.3 |
|
2.618 |
735.9 |
|
1.618 |
719.1 |
|
1.000 |
708.7 |
|
0.618 |
702.3 |
|
HIGH |
691.9 |
|
0.618 |
685.5 |
|
0.500 |
683.5 |
|
0.382 |
681.5 |
|
LOW |
675.1 |
|
0.618 |
664.7 |
|
1.000 |
658.3 |
|
1.618 |
647.9 |
|
2.618 |
631.1 |
|
4.250 |
603.7 |
|
|
| Fisher Pivots for day following 01-Jul-2008 |
| Pivot |
1 day |
3 day |
| R1 |
687.9 |
689.6 |
| PP |
685.7 |
689.1 |
| S1 |
683.5 |
688.6 |
|