CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 15-Jul-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Jul-2008 |
15-Jul-2008 |
Change |
Change % |
Previous Week |
| Open |
673.7 |
662.3 |
-11.4 |
-1.7% |
663.3 |
| High |
684.1 |
674.5 |
-9.6 |
-1.4% |
684.6 |
| Low |
659.5 |
646.2 |
-13.3 |
-2.0% |
649.1 |
| Close |
662.6 |
659.6 |
-3.0 |
-0.5% |
673.6 |
| Range |
24.6 |
28.3 |
3.7 |
15.0% |
35.5 |
| ATR |
18.2 |
18.9 |
0.7 |
4.0% |
0.0 |
| Volume |
348,360 |
280,024 |
-68,336 |
-19.6% |
1,348,246 |
|
| Daily Pivots for day following 15-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
745.0 |
730.6 |
675.2 |
|
| R3 |
716.7 |
702.3 |
667.4 |
|
| R2 |
688.4 |
688.4 |
664.8 |
|
| R1 |
674.0 |
674.0 |
662.2 |
667.1 |
| PP |
660.1 |
660.1 |
660.1 |
656.6 |
| S1 |
645.7 |
645.7 |
657.0 |
638.8 |
| S2 |
631.8 |
631.8 |
654.4 |
|
| S3 |
603.5 |
617.4 |
651.8 |
|
| S4 |
575.2 |
589.1 |
644.0 |
|
|
| 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 |
646.2 |
38.4 |
5.8% |
22.7 |
3.4% |
35% |
False |
True |
299,975 |
| 10 |
695.3 |
646.2 |
49.1 |
7.4% |
22.7 |
3.4% |
27% |
False |
True |
284,084 |
| 20 |
744.5 |
646.2 |
98.3 |
14.9% |
18.4 |
2.8% |
14% |
False |
True |
276,640 |
| 40 |
766.2 |
646.2 |
120.0 |
18.2% |
16.5 |
2.5% |
11% |
False |
True |
153,781 |
| 60 |
766.2 |
646.2 |
120.0 |
18.2% |
15.3 |
2.3% |
11% |
False |
True |
102,578 |
| 80 |
766.2 |
646.2 |
120.0 |
18.2% |
14.7 |
2.2% |
11% |
False |
True |
77,023 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
794.8 |
|
2.618 |
748.6 |
|
1.618 |
720.3 |
|
1.000 |
702.8 |
|
0.618 |
692.0 |
|
HIGH |
674.5 |
|
0.618 |
663.7 |
|
0.500 |
660.4 |
|
0.382 |
657.0 |
|
LOW |
646.2 |
|
0.618 |
628.7 |
|
1.000 |
617.9 |
|
1.618 |
600.4 |
|
2.618 |
572.1 |
|
4.250 |
525.9 |
|
|
| Fisher Pivots for day following 15-Jul-2008 |
| Pivot |
1 day |
3 day |
| R1 |
660.4 |
665.2 |
| PP |
660.1 |
663.3 |
| S1 |
659.9 |
661.5 |
|