CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 29-Jul-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
28-Jul-2008 |
29-Jul-2008 |
Change |
Change % |
Previous Week |
| Open |
708.7 |
695.8 |
-12.9 |
-1.8% |
690.6 |
| High |
710.3 |
716.0 |
5.7 |
0.8% |
727.1 |
| Low |
693.5 |
694.8 |
1.3 |
0.2% |
688.3 |
| Close |
696.9 |
713.6 |
16.7 |
2.4% |
708.4 |
| Range |
16.8 |
21.2 |
4.4 |
26.2% |
38.8 |
| ATR |
18.5 |
18.7 |
0.2 |
1.1% |
0.0 |
| Volume |
206,597 |
189,602 |
-16,995 |
-8.2% |
1,234,166 |
|
| Daily Pivots for day following 29-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
771.7 |
763.9 |
725.3 |
|
| R3 |
750.5 |
742.7 |
719.4 |
|
| R2 |
729.3 |
729.3 |
717.5 |
|
| R1 |
721.5 |
721.5 |
715.5 |
725.4 |
| PP |
708.1 |
708.1 |
708.1 |
710.1 |
| S1 |
700.3 |
700.3 |
711.7 |
704.2 |
| S2 |
686.9 |
686.9 |
709.7 |
|
| S3 |
665.7 |
679.1 |
707.8 |
|
| S4 |
644.5 |
657.9 |
701.9 |
|
|
| 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 |
693.5 |
33.6 |
4.7% |
17.4 |
2.4% |
60% |
False |
False |
241,696 |
| 10 |
727.1 |
656.0 |
71.1 |
10.0% |
18.7 |
2.6% |
81% |
False |
False |
256,614 |
| 20 |
727.1 |
646.2 |
80.9 |
11.3% |
20.7 |
2.9% |
83% |
False |
False |
270,349 |
| 40 |
766.2 |
646.2 |
120.0 |
16.8% |
18.0 |
2.5% |
56% |
False |
False |
217,875 |
| 60 |
766.2 |
646.2 |
120.0 |
16.8% |
16.1 |
2.3% |
56% |
False |
False |
145,326 |
| 80 |
766.2 |
646.2 |
120.0 |
16.8% |
15.5 |
2.2% |
56% |
False |
False |
109,088 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
806.1 |
|
2.618 |
771.5 |
|
1.618 |
750.3 |
|
1.000 |
737.2 |
|
0.618 |
729.1 |
|
HIGH |
716.0 |
|
0.618 |
707.9 |
|
0.500 |
705.4 |
|
0.382 |
702.9 |
|
LOW |
694.8 |
|
0.618 |
681.7 |
|
1.000 |
673.6 |
|
1.618 |
660.5 |
|
2.618 |
639.3 |
|
4.250 |
604.7 |
|
|
| Fisher Pivots for day following 29-Jul-2008 |
| Pivot |
1 day |
3 day |
| R1 |
710.9 |
710.7 |
| PP |
708.1 |
707.7 |
| S1 |
705.4 |
704.8 |
|