CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 25-Jul-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Jul-2008 |
25-Jul-2008 |
Change |
Change % |
Previous Week |
| Open |
720.5 |
704.7 |
-15.8 |
-2.2% |
690.6 |
| High |
722.8 |
716.1 |
-6.7 |
-0.9% |
727.1 |
| Low |
700.3 |
703.1 |
2.8 |
0.4% |
688.3 |
| Close |
704.9 |
708.4 |
3.5 |
0.5% |
708.4 |
| Range |
22.5 |
13.0 |
-9.5 |
-42.2% |
38.8 |
| ATR |
19.0 |
18.6 |
-0.4 |
-2.3% |
0.0 |
| Volume |
278,005 |
246,171 |
-31,834 |
-11.5% |
1,234,166 |
|
| Daily Pivots for day following 25-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
748.2 |
741.3 |
715.6 |
|
| R3 |
735.2 |
728.3 |
712.0 |
|
| R2 |
722.2 |
722.2 |
710.8 |
|
| R1 |
715.3 |
715.3 |
709.6 |
718.8 |
| PP |
709.2 |
709.2 |
709.2 |
710.9 |
| S1 |
702.3 |
702.3 |
707.2 |
705.8 |
| S2 |
696.2 |
696.2 |
706.0 |
|
| S3 |
683.2 |
689.3 |
704.8 |
|
| S4 |
670.2 |
676.3 |
701.3 |
|
|
| Weekly Pivots for week ending 25-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
824.3 |
805.2 |
729.7 |
|
| R3 |
785.5 |
766.4 |
719.1 |
|
| R2 |
746.7 |
746.7 |
715.5 |
|
| R1 |
727.6 |
727.6 |
712.0 |
737.2 |
| PP |
707.9 |
707.9 |
707.9 |
712.7 |
| S1 |
688.8 |
688.8 |
704.8 |
698.4 |
| S2 |
669.1 |
669.1 |
701.3 |
|
| S3 |
630.3 |
650.0 |
697.7 |
|
| S4 |
591.5 |
611.2 |
687.1 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
727.1 |
688.3 |
38.8 |
5.5% |
17.6 |
2.5% |
52% |
False |
False |
246,833 |
| 10 |
727.1 |
646.2 |
80.9 |
11.4% |
20.1 |
2.8% |
77% |
False |
False |
279,833 |
| 20 |
727.1 |
646.2 |
80.9 |
11.4% |
20.0 |
2.8% |
77% |
False |
False |
276,247 |
| 40 |
766.2 |
646.2 |
120.0 |
16.9% |
17.5 |
2.5% |
52% |
False |
False |
207,993 |
| 60 |
766.2 |
646.2 |
120.0 |
16.9% |
15.9 |
2.2% |
52% |
False |
False |
138,727 |
| 80 |
766.2 |
646.2 |
120.0 |
16.9% |
15.3 |
2.2% |
52% |
False |
False |
104,143 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
771.4 |
|
2.618 |
750.1 |
|
1.618 |
737.1 |
|
1.000 |
729.1 |
|
0.618 |
724.1 |
|
HIGH |
716.1 |
|
0.618 |
711.1 |
|
0.500 |
709.6 |
|
0.382 |
708.1 |
|
LOW |
703.1 |
|
0.618 |
695.1 |
|
1.000 |
690.1 |
|
1.618 |
682.1 |
|
2.618 |
669.1 |
|
4.250 |
647.9 |
|
|
| Fisher Pivots for day following 25-Jul-2008 |
| Pivot |
1 day |
3 day |
| R1 |
709.6 |
713.7 |
| PP |
709.2 |
711.9 |
| S1 |
708.8 |
710.2 |
|