CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 28-Jul-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Jul-2008 |
28-Jul-2008 |
Change |
Change % |
Previous Week |
| Open |
704.7 |
708.7 |
4.0 |
0.6% |
690.6 |
| High |
716.1 |
710.3 |
-5.8 |
-0.8% |
727.1 |
| Low |
703.1 |
693.5 |
-9.6 |
-1.4% |
688.3 |
| Close |
708.4 |
696.9 |
-11.5 |
-1.6% |
708.4 |
| Range |
13.0 |
16.8 |
3.8 |
29.2% |
38.8 |
| ATR |
18.6 |
18.5 |
-0.1 |
-0.7% |
0.0 |
| Volume |
246,171 |
206,597 |
-39,574 |
-16.1% |
1,234,166 |
|
| Daily Pivots for day following 28-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
750.6 |
740.6 |
706.1 |
|
| R3 |
733.8 |
723.8 |
701.5 |
|
| R2 |
717.0 |
717.0 |
700.0 |
|
| R1 |
707.0 |
707.0 |
698.4 |
703.6 |
| PP |
700.2 |
700.2 |
700.2 |
698.6 |
| S1 |
690.2 |
690.2 |
695.4 |
686.8 |
| S2 |
683.4 |
683.4 |
693.8 |
|
| S3 |
666.6 |
673.4 |
692.3 |
|
| S4 |
649.8 |
656.6 |
687.7 |
|
|
| 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 |
691.0 |
36.1 |
5.2% |
18.6 |
2.7% |
16% |
False |
False |
240,754 |
| 10 |
727.1 |
646.2 |
80.9 |
11.6% |
19.4 |
2.8% |
63% |
False |
False |
265,656 |
| 20 |
727.1 |
646.2 |
80.9 |
11.6% |
20.3 |
2.9% |
63% |
False |
False |
273,604 |
| 40 |
766.2 |
646.2 |
120.0 |
17.2% |
17.8 |
2.6% |
42% |
False |
False |
213,148 |
| 60 |
766.2 |
646.2 |
120.0 |
17.2% |
15.9 |
2.3% |
42% |
False |
False |
142,168 |
| 80 |
766.2 |
646.2 |
120.0 |
17.2% |
15.3 |
2.2% |
42% |
False |
False |
106,718 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
781.7 |
|
2.618 |
754.3 |
|
1.618 |
737.5 |
|
1.000 |
727.1 |
|
0.618 |
720.7 |
|
HIGH |
710.3 |
|
0.618 |
703.9 |
|
0.500 |
701.9 |
|
0.382 |
699.9 |
|
LOW |
693.5 |
|
0.618 |
683.1 |
|
1.000 |
676.7 |
|
1.618 |
666.3 |
|
2.618 |
649.5 |
|
4.250 |
622.1 |
|
|
| Fisher Pivots for day following 28-Jul-2008 |
| Pivot |
1 day |
3 day |
| R1 |
701.9 |
708.2 |
| PP |
700.2 |
704.4 |
| S1 |
698.6 |
700.7 |
|