CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 31-Jul-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Jul-2008 |
31-Jul-2008 |
Change |
Change % |
Previous Week |
| Open |
714.0 |
717.9 |
3.9 |
0.5% |
690.6 |
| High |
722.4 |
721.6 |
-0.8 |
-0.1% |
727.1 |
| Low |
707.6 |
708.3 |
0.7 |
0.1% |
688.3 |
| Close |
717.8 |
715.5 |
-2.3 |
-0.3% |
708.4 |
| Range |
14.8 |
13.3 |
-1.5 |
-10.1% |
38.8 |
| ATR |
18.4 |
18.0 |
-0.4 |
-2.0% |
0.0 |
| Volume |
231,413 |
223,806 |
-7,607 |
-3.3% |
1,234,166 |
|
| Daily Pivots for day following 31-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
755.0 |
748.6 |
722.8 |
|
| R3 |
741.7 |
735.3 |
719.2 |
|
| R2 |
728.4 |
728.4 |
717.9 |
|
| R1 |
722.0 |
722.0 |
716.7 |
718.6 |
| PP |
715.1 |
715.1 |
715.1 |
713.4 |
| S1 |
708.7 |
708.7 |
714.3 |
705.3 |
| S2 |
701.8 |
701.8 |
713.1 |
|
| S3 |
688.5 |
695.4 |
711.8 |
|
| S4 |
675.2 |
682.1 |
708.2 |
|
|
| 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 |
722.4 |
693.5 |
28.9 |
4.0% |
15.8 |
2.2% |
76% |
False |
False |
219,517 |
| 10 |
727.1 |
685.6 |
41.5 |
5.8% |
16.9 |
2.4% |
72% |
False |
False |
237,087 |
| 20 |
727.1 |
646.2 |
80.9 |
11.3% |
20.0 |
2.8% |
86% |
False |
False |
265,154 |
| 40 |
766.2 |
646.2 |
120.0 |
16.8% |
17.9 |
2.5% |
58% |
False |
False |
229,152 |
| 60 |
766.2 |
646.2 |
120.0 |
16.8% |
16.0 |
2.2% |
58% |
False |
False |
152,905 |
| 80 |
766.2 |
646.2 |
120.0 |
16.8% |
15.5 |
2.2% |
58% |
False |
False |
114,778 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
778.1 |
|
2.618 |
756.4 |
|
1.618 |
743.1 |
|
1.000 |
734.9 |
|
0.618 |
729.8 |
|
HIGH |
721.6 |
|
0.618 |
716.5 |
|
0.500 |
715.0 |
|
0.382 |
713.4 |
|
LOW |
708.3 |
|
0.618 |
700.1 |
|
1.000 |
695.0 |
|
1.618 |
686.8 |
|
2.618 |
673.5 |
|
4.250 |
651.8 |
|
|
| Fisher Pivots for day following 31-Jul-2008 |
| Pivot |
1 day |
3 day |
| R1 |
715.3 |
713.2 |
| PP |
715.1 |
710.9 |
| S1 |
715.0 |
708.6 |
|