CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 22-Jul-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Jul-2008 |
22-Jul-2008 |
Change |
Change % |
Previous Week |
| Open |
690.6 |
697.8 |
7.2 |
1.0% |
673.7 |
| High |
699.8 |
718.6 |
18.8 |
2.7% |
700.3 |
| Low |
688.3 |
691.0 |
2.7 |
0.4% |
646.2 |
| Close |
699.4 |
717.1 |
17.7 |
2.5% |
690.7 |
| Range |
11.5 |
27.6 |
16.1 |
140.0% |
54.1 |
| ATR |
18.5 |
19.2 |
0.6 |
3.5% |
0.0 |
| Volume |
236,990 |
184,895 |
-52,095 |
-22.0% |
1,564,164 |
|
| Daily Pivots for day following 22-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
791.7 |
782.0 |
732.3 |
|
| R3 |
764.1 |
754.4 |
724.7 |
|
| R2 |
736.5 |
736.5 |
722.2 |
|
| R1 |
726.8 |
726.8 |
719.6 |
731.7 |
| PP |
708.9 |
708.9 |
708.9 |
711.3 |
| S1 |
699.2 |
699.2 |
714.6 |
704.1 |
| S2 |
681.3 |
681.3 |
712.0 |
|
| S3 |
653.7 |
671.6 |
709.5 |
|
| S4 |
626.1 |
644.0 |
701.9 |
|
|
| 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 |
718.6 |
656.0 |
62.6 |
8.7% |
19.9 |
2.8% |
98% |
True |
False |
271,533 |
| 10 |
718.6 |
646.2 |
72.4 |
10.1% |
21.3 |
3.0% |
98% |
True |
False |
285,754 |
| 20 |
721.1 |
646.2 |
74.9 |
10.4% |
20.0 |
2.8% |
95% |
False |
False |
269,775 |
| 40 |
766.2 |
646.2 |
120.0 |
16.7% |
17.3 |
2.4% |
59% |
False |
False |
187,704 |
| 60 |
766.2 |
646.2 |
120.0 |
16.7% |
15.6 |
2.2% |
59% |
False |
False |
125,192 |
| 80 |
766.2 |
646.2 |
120.0 |
16.7% |
15.2 |
2.1% |
59% |
False |
False |
93,992 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
835.9 |
|
2.618 |
790.9 |
|
1.618 |
763.3 |
|
1.000 |
746.2 |
|
0.618 |
735.7 |
|
HIGH |
718.6 |
|
0.618 |
708.1 |
|
0.500 |
704.8 |
|
0.382 |
701.5 |
|
LOW |
691.0 |
|
0.618 |
673.9 |
|
1.000 |
663.4 |
|
1.618 |
646.3 |
|
2.618 |
618.7 |
|
4.250 |
573.7 |
|
|
| Fisher Pivots for day following 22-Jul-2008 |
| Pivot |
1 day |
3 day |
| R1 |
713.0 |
712.1 |
| PP |
708.9 |
707.1 |
| S1 |
704.8 |
702.1 |
|