CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 04-Aug-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Aug-2008 |
04-Aug-2008 |
Change |
Change % |
Previous Week |
| Open |
714.3 |
716.9 |
2.6 |
0.4% |
708.7 |
| High |
719.3 |
718.8 |
-0.5 |
-0.1% |
722.4 |
| Low |
704.5 |
699.4 |
-5.1 |
-0.7% |
693.5 |
| Close |
717.2 |
704.0 |
-13.2 |
-1.8% |
717.2 |
| Range |
14.8 |
19.4 |
4.6 |
31.1% |
28.9 |
| ATR |
17.8 |
17.9 |
0.1 |
0.6% |
0.0 |
| Volume |
222,913 |
233,332 |
10,419 |
4.7% |
1,074,331 |
|
| Daily Pivots for day following 04-Aug-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
765.6 |
754.2 |
714.7 |
|
| R3 |
746.2 |
734.8 |
709.3 |
|
| R2 |
726.8 |
726.8 |
707.6 |
|
| R1 |
715.4 |
715.4 |
705.8 |
711.4 |
| PP |
707.4 |
707.4 |
707.4 |
705.4 |
| S1 |
696.0 |
696.0 |
702.2 |
692.0 |
| S2 |
688.0 |
688.0 |
700.4 |
|
| S3 |
668.6 |
676.6 |
698.7 |
|
| S4 |
649.2 |
657.2 |
693.3 |
|
|
| Weekly Pivots for week ending 01-Aug-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
797.7 |
786.4 |
733.1 |
|
| R3 |
768.8 |
757.5 |
725.1 |
|
| R2 |
739.9 |
739.9 |
722.5 |
|
| R1 |
728.6 |
728.6 |
719.8 |
734.3 |
| PP |
711.0 |
711.0 |
711.0 |
713.9 |
| S1 |
699.7 |
699.7 |
714.6 |
705.4 |
| S2 |
682.1 |
682.1 |
711.9 |
|
| S3 |
653.2 |
670.8 |
709.3 |
|
| S4 |
624.3 |
641.9 |
701.3 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
722.4 |
694.8 |
27.6 |
3.9% |
16.7 |
2.4% |
33% |
False |
False |
220,213 |
| 10 |
727.1 |
691.0 |
36.1 |
5.1% |
17.7 |
2.5% |
36% |
False |
False |
230,483 |
| 20 |
727.1 |
646.2 |
80.9 |
11.5% |
19.8 |
2.8% |
71% |
False |
False |
263,169 |
| 40 |
744.5 |
646.2 |
98.3 |
14.0% |
17.5 |
2.5% |
59% |
False |
False |
240,494 |
| 60 |
766.2 |
646.2 |
120.0 |
17.0% |
16.3 |
2.3% |
48% |
False |
False |
160,500 |
| 80 |
766.2 |
646.2 |
120.0 |
17.0% |
15.4 |
2.2% |
48% |
False |
False |
120,479 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
801.3 |
|
2.618 |
769.6 |
|
1.618 |
750.2 |
|
1.000 |
738.2 |
|
0.618 |
730.8 |
|
HIGH |
718.8 |
|
0.618 |
711.4 |
|
0.500 |
709.1 |
|
0.382 |
706.8 |
|
LOW |
699.4 |
|
0.618 |
687.4 |
|
1.000 |
680.0 |
|
1.618 |
668.0 |
|
2.618 |
648.6 |
|
4.250 |
617.0 |
|
|
| Fisher Pivots for day following 04-Aug-2008 |
| Pivot |
1 day |
3 day |
| R1 |
709.1 |
710.5 |
| PP |
707.4 |
708.3 |
| S1 |
705.7 |
706.2 |
|