CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 05-Aug-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
04-Aug-2008 |
05-Aug-2008 |
Change |
Change % |
Previous Week |
| Open |
716.9 |
704.2 |
-12.7 |
-1.8% |
708.7 |
| High |
718.8 |
721.6 |
2.8 |
0.4% |
722.4 |
| Low |
699.4 |
703.0 |
3.6 |
0.5% |
693.5 |
| Close |
704.0 |
721.0 |
17.0 |
2.4% |
717.2 |
| Range |
19.4 |
18.6 |
-0.8 |
-4.1% |
28.9 |
| ATR |
17.9 |
18.0 |
0.0 |
0.3% |
0.0 |
| Volume |
233,332 |
205,637 |
-27,695 |
-11.9% |
1,074,331 |
|
| Daily Pivots for day following 05-Aug-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
771.0 |
764.6 |
731.2 |
|
| R3 |
752.4 |
746.0 |
726.1 |
|
| R2 |
733.8 |
733.8 |
724.4 |
|
| R1 |
727.4 |
727.4 |
722.7 |
730.6 |
| PP |
715.2 |
715.2 |
715.2 |
716.8 |
| S1 |
708.8 |
708.8 |
719.3 |
712.0 |
| S2 |
696.6 |
696.6 |
717.6 |
|
| S3 |
678.0 |
690.2 |
715.9 |
|
| S4 |
659.4 |
671.6 |
710.8 |
|
|
| 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 |
699.4 |
23.0 |
3.2% |
16.2 |
2.2% |
94% |
False |
False |
223,420 |
| 10 |
727.1 |
693.5 |
33.6 |
4.7% |
16.8 |
2.3% |
82% |
False |
False |
232,558 |
| 20 |
727.1 |
646.2 |
80.9 |
11.2% |
19.0 |
2.6% |
92% |
False |
False |
259,156 |
| 40 |
744.5 |
646.2 |
98.3 |
13.6% |
17.6 |
2.4% |
76% |
False |
False |
245,573 |
| 60 |
766.2 |
646.2 |
120.0 |
16.6% |
16.4 |
2.3% |
62% |
False |
False |
163,924 |
| 80 |
766.2 |
646.2 |
120.0 |
16.6% |
15.5 |
2.1% |
62% |
False |
False |
123,026 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
800.7 |
|
2.618 |
770.3 |
|
1.618 |
751.7 |
|
1.000 |
740.2 |
|
0.618 |
733.1 |
|
HIGH |
721.6 |
|
0.618 |
714.5 |
|
0.500 |
712.3 |
|
0.382 |
710.1 |
|
LOW |
703.0 |
|
0.618 |
691.5 |
|
1.000 |
684.4 |
|
1.618 |
672.9 |
|
2.618 |
654.3 |
|
4.250 |
624.0 |
|
|
| Fisher Pivots for day following 05-Aug-2008 |
| Pivot |
1 day |
3 day |
| R1 |
718.1 |
717.5 |
| PP |
715.2 |
714.0 |
| S1 |
712.3 |
710.5 |
|