CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 23-Jul-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Jul-2008 |
23-Jul-2008 |
Change |
Change % |
Previous Week |
| Open |
697.8 |
715.8 |
18.0 |
2.6% |
673.7 |
| High |
718.6 |
727.1 |
8.5 |
1.2% |
700.3 |
| Low |
691.0 |
713.8 |
22.8 |
3.3% |
646.2 |
| Close |
717.1 |
721.2 |
4.1 |
0.6% |
690.7 |
| Range |
27.6 |
13.3 |
-14.3 |
-51.8% |
54.1 |
| ATR |
19.2 |
18.8 |
-0.4 |
-2.2% |
0.0 |
| Volume |
184,895 |
288,105 |
103,210 |
55.8% |
1,564,164 |
|
| Daily Pivots for day following 23-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
760.6 |
754.2 |
728.5 |
|
| R3 |
747.3 |
740.9 |
724.9 |
|
| R2 |
734.0 |
734.0 |
723.6 |
|
| R1 |
727.6 |
727.6 |
722.4 |
730.8 |
| PP |
720.7 |
720.7 |
720.7 |
722.3 |
| S1 |
714.3 |
714.3 |
720.0 |
717.5 |
| S2 |
707.4 |
707.4 |
718.8 |
|
| S3 |
694.1 |
701.0 |
717.5 |
|
| S4 |
680.8 |
687.7 |
713.9 |
|
|
| 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 |
727.1 |
682.3 |
44.8 |
6.2% |
16.4 |
2.3% |
87% |
True |
False |
255,694 |
| 10 |
727.1 |
646.2 |
80.9 |
11.2% |
20.3 |
2.8% |
93% |
True |
False |
285,502 |
| 20 |
727.1 |
646.2 |
80.9 |
11.2% |
20.0 |
2.8% |
93% |
True |
False |
274,346 |
| 40 |
766.2 |
646.2 |
120.0 |
16.6% |
17.3 |
2.4% |
63% |
False |
False |
194,903 |
| 60 |
766.2 |
646.2 |
120.0 |
16.6% |
15.7 |
2.2% |
63% |
False |
False |
129,993 |
| 80 |
766.2 |
646.2 |
120.0 |
16.6% |
15.1 |
2.1% |
63% |
False |
False |
97,593 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
783.6 |
|
2.618 |
761.9 |
|
1.618 |
748.6 |
|
1.000 |
740.4 |
|
0.618 |
735.3 |
|
HIGH |
727.1 |
|
0.618 |
722.0 |
|
0.500 |
720.5 |
|
0.382 |
718.9 |
|
LOW |
713.8 |
|
0.618 |
705.6 |
|
1.000 |
700.5 |
|
1.618 |
692.3 |
|
2.618 |
679.0 |
|
4.250 |
657.3 |
|
|
| Fisher Pivots for day following 23-Jul-2008 |
| Pivot |
1 day |
3 day |
| R1 |
721.0 |
716.7 |
| PP |
720.7 |
712.2 |
| S1 |
720.5 |
707.7 |
|