CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 18-Jul-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
17-Jul-2008 |
18-Jul-2008 |
Change |
Change % |
Previous Week |
| Open |
683.8 |
690.5 |
6.7 |
1.0% |
673.7 |
| High |
697.4 |
700.3 |
2.9 |
0.4% |
700.3 |
| Low |
682.3 |
685.6 |
3.3 |
0.5% |
646.2 |
| Close |
692.6 |
690.7 |
-1.9 |
-0.3% |
690.7 |
| Range |
15.1 |
14.7 |
-0.4 |
-2.6% |
54.1 |
| ATR |
19.4 |
19.1 |
-0.3 |
-1.7% |
0.0 |
| Volume |
283,193 |
285,287 |
2,094 |
0.7% |
1,564,164 |
|
| Daily Pivots for day following 18-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
736.3 |
728.2 |
698.8 |
|
| R3 |
721.6 |
713.5 |
694.7 |
|
| R2 |
706.9 |
706.9 |
693.4 |
|
| R1 |
698.8 |
698.8 |
692.0 |
702.9 |
| PP |
692.2 |
692.2 |
692.2 |
694.2 |
| S1 |
684.1 |
684.1 |
689.4 |
688.2 |
| S2 |
677.5 |
677.5 |
688.0 |
|
| S3 |
662.8 |
669.4 |
686.7 |
|
| S4 |
648.1 |
654.7 |
682.6 |
|
|
| Weekly Pivots for week ending 18-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
841.4 |
820.1 |
720.5 |
|
| R3 |
787.3 |
766.0 |
705.6 |
|
| R2 |
733.2 |
733.2 |
700.6 |
|
| R1 |
711.9 |
711.9 |
695.7 |
722.6 |
| PP |
679.1 |
679.1 |
679.1 |
684.4 |
| S1 |
657.8 |
657.8 |
685.7 |
668.5 |
| S2 |
625.0 |
625.0 |
680.8 |
|
| S3 |
570.9 |
603.7 |
675.8 |
|
| S4 |
516.8 |
549.6 |
660.9 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
700.3 |
646.2 |
54.1 |
7.8% |
22.7 |
3.3% |
82% |
True |
False |
312,832 |
| 10 |
700.3 |
646.2 |
54.1 |
7.8% |
23.0 |
3.3% |
82% |
True |
False |
291,241 |
| 20 |
738.4 |
646.2 |
92.2 |
13.3% |
19.7 |
2.9% |
48% |
False |
False |
278,594 |
| 40 |
766.2 |
646.2 |
120.0 |
17.4% |
17.0 |
2.5% |
37% |
False |
False |
177,160 |
| 60 |
766.2 |
646.2 |
120.0 |
17.4% |
15.4 |
2.2% |
37% |
False |
False |
118,168 |
| 80 |
766.2 |
646.2 |
120.0 |
17.4% |
15.1 |
2.2% |
37% |
False |
False |
88,719 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
762.8 |
|
2.618 |
738.8 |
|
1.618 |
724.1 |
|
1.000 |
715.0 |
|
0.618 |
709.4 |
|
HIGH |
700.3 |
|
0.618 |
694.7 |
|
0.500 |
693.0 |
|
0.382 |
691.2 |
|
LOW |
685.6 |
|
0.618 |
676.5 |
|
1.000 |
670.9 |
|
1.618 |
661.8 |
|
2.618 |
647.1 |
|
4.250 |
623.1 |
|
|
| Fisher Pivots for day following 18-Jul-2008 |
| Pivot |
1 day |
3 day |
| R1 |
693.0 |
686.5 |
| PP |
692.2 |
682.3 |
| S1 |
691.5 |
678.2 |
|