CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 11-Sep-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Sep-2008 |
11-Sep-2008 |
Change |
Change % |
Previous Week |
| Open |
709.7 |
716.5 |
6.8 |
1.0% |
738.2 |
| High |
723.0 |
720.9 |
-2.1 |
-0.3% |
755.9 |
| Low |
705.3 |
699.8 |
-5.5 |
-0.8% |
702.2 |
| Close |
716.8 |
720.3 |
3.5 |
0.5% |
718.5 |
| Range |
17.7 |
21.1 |
3.4 |
19.2% |
53.7 |
| ATR |
19.8 |
19.9 |
0.1 |
0.5% |
0.0 |
| Volume |
253,663 |
250,903 |
-2,760 |
-1.1% |
827,562 |
|
| Daily Pivots for day following 11-Sep-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
777.0 |
769.7 |
731.9 |
|
| R3 |
755.9 |
748.6 |
726.1 |
|
| R2 |
734.8 |
734.8 |
724.2 |
|
| R1 |
727.5 |
727.5 |
722.2 |
731.2 |
| PP |
713.7 |
713.7 |
713.7 |
715.5 |
| S1 |
706.4 |
706.4 |
718.4 |
710.1 |
| S2 |
692.6 |
692.6 |
716.4 |
|
| S3 |
671.5 |
685.3 |
714.5 |
|
| S4 |
650.4 |
664.2 |
708.7 |
|
|
| Weekly Pivots for week ending 05-Sep-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
886.6 |
856.3 |
748.0 |
|
| R3 |
832.9 |
802.6 |
733.3 |
|
| R2 |
779.2 |
779.2 |
728.3 |
|
| R1 |
748.9 |
748.9 |
723.4 |
737.2 |
| PP |
725.5 |
725.5 |
725.5 |
719.7 |
| S1 |
695.2 |
695.2 |
713.6 |
683.5 |
| S2 |
671.8 |
671.8 |
708.7 |
|
| S3 |
618.1 |
641.5 |
703.7 |
|
| S4 |
564.4 |
587.8 |
689.0 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
745.9 |
699.8 |
46.1 |
6.4% |
23.2 |
3.2% |
44% |
False |
True |
254,916 |
| 10 |
755.9 |
699.8 |
56.1 |
7.8% |
21.4 |
3.0% |
37% |
False |
True |
221,611 |
| 20 |
764.1 |
699.8 |
64.3 |
8.9% |
19.1 |
2.7% |
32% |
False |
True |
207,252 |
| 40 |
764.1 |
682.3 |
81.8 |
11.4% |
18.1 |
2.5% |
46% |
False |
False |
221,062 |
| 60 |
764.1 |
646.2 |
117.9 |
16.4% |
18.6 |
2.6% |
63% |
False |
False |
241,023 |
| 80 |
766.2 |
646.2 |
120.0 |
16.7% |
17.6 |
2.4% |
62% |
False |
False |
192,011 |
| 100 |
766.2 |
646.2 |
120.0 |
16.7% |
16.5 |
2.3% |
62% |
False |
False |
153,644 |
| 120 |
766.2 |
646.2 |
120.0 |
16.7% |
16.0 |
2.2% |
62% |
False |
False |
128,097 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
810.6 |
|
2.618 |
776.1 |
|
1.618 |
755.0 |
|
1.000 |
742.0 |
|
0.618 |
733.9 |
|
HIGH |
720.9 |
|
0.618 |
712.8 |
|
0.500 |
710.4 |
|
0.382 |
707.9 |
|
LOW |
699.8 |
|
0.618 |
686.8 |
|
1.000 |
678.7 |
|
1.618 |
665.7 |
|
2.618 |
644.6 |
|
4.250 |
610.1 |
|
|
| Fisher Pivots for day following 11-Sep-2008 |
| Pivot |
1 day |
3 day |
| R1 |
717.0 |
720.3 |
| PP |
713.7 |
720.2 |
| S1 |
710.4 |
720.2 |
|