CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 06-Aug-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Aug-2008 |
06-Aug-2008 |
Change |
Change % |
Previous Week |
| Open |
704.2 |
720.6 |
16.4 |
2.3% |
708.7 |
| High |
721.6 |
728.4 |
6.8 |
0.9% |
722.4 |
| Low |
703.0 |
713.4 |
10.4 |
1.5% |
693.5 |
| Close |
721.0 |
725.2 |
4.2 |
0.6% |
717.2 |
| Range |
18.6 |
15.0 |
-3.6 |
-19.4% |
28.9 |
| ATR |
18.0 |
17.8 |
-0.2 |
-1.2% |
0.0 |
| Volume |
205,637 |
219,005 |
13,368 |
6.5% |
1,074,331 |
|
| Daily Pivots for day following 06-Aug-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
767.3 |
761.3 |
733.5 |
|
| R3 |
752.3 |
746.3 |
729.3 |
|
| R2 |
737.3 |
737.3 |
728.0 |
|
| R1 |
731.3 |
731.3 |
726.6 |
734.3 |
| PP |
722.3 |
722.3 |
722.3 |
723.9 |
| S1 |
716.3 |
716.3 |
723.8 |
719.3 |
| S2 |
707.3 |
707.3 |
722.5 |
|
| S3 |
692.3 |
701.3 |
721.1 |
|
| S4 |
677.3 |
686.3 |
717.0 |
|
|
| 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 |
728.4 |
699.4 |
29.0 |
4.0% |
16.2 |
2.2% |
89% |
True |
False |
220,938 |
| 10 |
728.4 |
693.5 |
34.9 |
4.8% |
16.9 |
2.3% |
91% |
True |
False |
225,648 |
| 20 |
728.4 |
646.2 |
82.2 |
11.3% |
18.6 |
2.6% |
96% |
True |
False |
255,575 |
| 40 |
744.5 |
646.2 |
98.3 |
13.6% |
17.7 |
2.4% |
80% |
False |
False |
250,932 |
| 60 |
766.2 |
646.2 |
120.0 |
16.5% |
16.5 |
2.3% |
66% |
False |
False |
167,572 |
| 80 |
766.2 |
646.2 |
120.0 |
16.5% |
15.6 |
2.1% |
66% |
False |
False |
125,762 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
792.2 |
|
2.618 |
767.7 |
|
1.618 |
752.7 |
|
1.000 |
743.4 |
|
0.618 |
737.7 |
|
HIGH |
728.4 |
|
0.618 |
722.7 |
|
0.500 |
720.9 |
|
0.382 |
719.1 |
|
LOW |
713.4 |
|
0.618 |
704.1 |
|
1.000 |
698.4 |
|
1.618 |
689.1 |
|
2.618 |
674.1 |
|
4.250 |
649.7 |
|
|
| Fisher Pivots for day following 06-Aug-2008 |
| Pivot |
1 day |
3 day |
| R1 |
723.8 |
721.4 |
| PP |
722.3 |
717.7 |
| S1 |
720.9 |
713.9 |
|