CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 11-Jul-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Jul-2008 |
11-Jul-2008 |
Change |
Change % |
Previous Week |
| Open |
664.0 |
671.2 |
7.2 |
1.1% |
663.3 |
| High |
676.0 |
679.3 |
3.3 |
0.5% |
684.6 |
| Low |
660.8 |
657.6 |
-3.2 |
-0.5% |
649.1 |
| Close |
671.0 |
673.6 |
2.6 |
0.4% |
673.6 |
| Range |
15.2 |
21.7 |
6.5 |
42.8% |
35.5 |
| ATR |
17.4 |
17.7 |
0.3 |
1.8% |
0.0 |
| Volume |
258,477 |
322,395 |
63,918 |
24.7% |
1,348,246 |
|
| Daily Pivots for day following 11-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
735.3 |
726.1 |
685.5 |
|
| R3 |
713.6 |
704.4 |
679.6 |
|
| R2 |
691.9 |
691.9 |
677.6 |
|
| R1 |
682.7 |
682.7 |
675.6 |
687.3 |
| PP |
670.2 |
670.2 |
670.2 |
672.5 |
| S1 |
661.0 |
661.0 |
671.6 |
665.6 |
| S2 |
648.5 |
648.5 |
669.6 |
|
| S3 |
626.8 |
639.3 |
667.6 |
|
| S4 |
605.1 |
617.6 |
661.7 |
|
|
| Weekly Pivots for week ending 11-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
775.6 |
760.1 |
693.1 |
|
| R3 |
740.1 |
724.6 |
683.4 |
|
| R2 |
704.6 |
704.6 |
680.1 |
|
| R1 |
689.1 |
689.1 |
676.9 |
696.9 |
| PP |
669.1 |
669.1 |
669.1 |
673.0 |
| S1 |
653.6 |
653.6 |
670.3 |
661.4 |
| S2 |
633.6 |
633.6 |
667.1 |
|
| S3 |
598.1 |
618.1 |
663.8 |
|
| S4 |
562.6 |
582.6 |
654.1 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
684.6 |
649.1 |
35.5 |
5.3% |
23.3 |
3.5% |
69% |
False |
False |
269,649 |
| 10 |
702.0 |
649.1 |
52.9 |
7.9% |
19.9 |
3.0% |
46% |
False |
False |
272,662 |
| 20 |
744.5 |
649.1 |
95.4 |
14.2% |
17.1 |
2.5% |
26% |
False |
False |
271,934 |
| 40 |
766.2 |
649.1 |
117.1 |
17.4% |
15.8 |
2.3% |
21% |
False |
False |
138,079 |
| 60 |
766.2 |
649.1 |
117.1 |
17.4% |
14.7 |
2.2% |
21% |
False |
False |
92,124 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
771.5 |
|
2.618 |
736.1 |
|
1.618 |
714.4 |
|
1.000 |
701.0 |
|
0.618 |
692.7 |
|
HIGH |
679.3 |
|
0.618 |
671.0 |
|
0.500 |
668.5 |
|
0.382 |
665.9 |
|
LOW |
657.6 |
|
0.618 |
644.2 |
|
1.000 |
635.9 |
|
1.618 |
622.5 |
|
2.618 |
600.8 |
|
4.250 |
565.4 |
|
|
| Fisher Pivots for day following 11-Jul-2008 |
| Pivot |
1 day |
3 day |
| R1 |
671.9 |
672.8 |
| PP |
670.2 |
671.9 |
| S1 |
668.5 |
671.1 |
|