CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 14-Aug-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Aug-2008 |
14-Aug-2008 |
Change |
Change % |
Previous Week |
| Open |
746.6 |
747.1 |
0.5 |
0.1% |
716.9 |
| High |
751.1 |
757.9 |
6.8 |
0.9% |
735.4 |
| Low |
736.7 |
742.0 |
5.3 |
0.7% |
699.4 |
| Close |
747.2 |
755.0 |
7.8 |
1.0% |
731.6 |
| Range |
14.4 |
15.9 |
1.5 |
10.4% |
36.0 |
| ATR |
17.9 |
17.7 |
-0.1 |
-0.8% |
0.0 |
| Volume |
224,223 |
241,852 |
17,629 |
7.9% |
1,046,541 |
|
| Daily Pivots for day following 14-Aug-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
799.3 |
793.1 |
763.7 |
|
| R3 |
783.4 |
777.2 |
759.4 |
|
| R2 |
767.5 |
767.5 |
757.9 |
|
| R1 |
761.3 |
761.3 |
756.5 |
764.4 |
| PP |
751.6 |
751.6 |
751.6 |
753.2 |
| S1 |
745.4 |
745.4 |
753.5 |
748.5 |
| S2 |
735.7 |
735.7 |
752.1 |
|
| S3 |
719.8 |
729.5 |
750.6 |
|
| S4 |
703.9 |
713.6 |
746.3 |
|
|
| Weekly Pivots for week ending 08-Aug-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
830.1 |
816.9 |
751.4 |
|
| R3 |
794.1 |
780.9 |
741.5 |
|
| R2 |
758.1 |
758.1 |
738.2 |
|
| R1 |
744.9 |
744.9 |
734.9 |
751.5 |
| PP |
722.1 |
722.1 |
722.1 |
725.5 |
| S1 |
708.9 |
708.9 |
728.3 |
715.5 |
| S2 |
686.1 |
686.1 |
725.0 |
|
| S3 |
650.1 |
672.9 |
721.7 |
|
| S4 |
614.1 |
636.9 |
711.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
757.9 |
711.2 |
46.7 |
6.2% |
18.6 |
2.5% |
94% |
True |
False |
243,389 |
| 10 |
757.9 |
699.4 |
58.5 |
7.7% |
17.6 |
2.3% |
95% |
True |
False |
228,525 |
| 20 |
757.9 |
685.6 |
72.3 |
9.6% |
17.2 |
2.3% |
96% |
True |
False |
232,806 |
| 40 |
757.9 |
646.2 |
111.7 |
14.8% |
18.4 |
2.4% |
97% |
True |
False |
256,815 |
| 60 |
766.2 |
646.2 |
120.0 |
15.9% |
17.0 |
2.2% |
91% |
False |
False |
190,957 |
| 80 |
766.2 |
646.2 |
120.0 |
15.9% |
15.9 |
2.1% |
91% |
False |
False |
143,265 |
| 100 |
766.2 |
646.2 |
120.0 |
15.9% |
15.5 |
2.0% |
91% |
False |
False |
114,684 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
825.5 |
|
2.618 |
799.5 |
|
1.618 |
783.6 |
|
1.000 |
773.8 |
|
0.618 |
767.7 |
|
HIGH |
757.9 |
|
0.618 |
751.8 |
|
0.500 |
750.0 |
|
0.382 |
748.1 |
|
LOW |
742.0 |
|
0.618 |
732.2 |
|
1.000 |
726.1 |
|
1.618 |
716.3 |
|
2.618 |
700.4 |
|
4.250 |
674.4 |
|
|
| Fisher Pivots for day following 14-Aug-2008 |
| Pivot |
1 day |
3 day |
| R1 |
753.3 |
752.4 |
| PP |
751.6 |
749.9 |
| S1 |
750.0 |
747.3 |
|