CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 12-Sep-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Sep-2008 |
12-Sep-2008 |
Change |
Change % |
Previous Week |
| Open |
716.5 |
721.1 |
4.6 |
0.6% |
727.7 |
| High |
720.9 |
725.4 |
4.5 |
0.6% |
745.9 |
| Low |
699.8 |
711.0 |
11.2 |
1.6% |
699.8 |
| Close |
720.3 |
724.3 |
4.0 |
0.6% |
724.3 |
| Range |
21.1 |
14.4 |
-6.7 |
-31.8% |
46.1 |
| ATR |
19.9 |
19.5 |
-0.4 |
-2.0% |
0.0 |
| Volume |
250,903 |
174,182 |
-76,721 |
-30.6% |
1,216,205 |
|
| Daily Pivots for day following 12-Sep-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
763.4 |
758.3 |
732.2 |
|
| R3 |
749.0 |
743.9 |
728.3 |
|
| R2 |
734.6 |
734.6 |
726.9 |
|
| R1 |
729.5 |
729.5 |
725.6 |
732.1 |
| PP |
720.2 |
720.2 |
720.2 |
721.5 |
| S1 |
715.1 |
715.1 |
723.0 |
717.7 |
| S2 |
705.8 |
705.8 |
721.7 |
|
| S3 |
691.4 |
700.7 |
720.3 |
|
| S4 |
677.0 |
686.3 |
716.4 |
|
|
| Weekly Pivots for week ending 12-Sep-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
861.6 |
839.1 |
749.7 |
|
| R3 |
815.5 |
793.0 |
737.0 |
|
| R2 |
769.4 |
769.4 |
732.8 |
|
| R1 |
746.9 |
746.9 |
728.5 |
735.1 |
| PP |
723.3 |
723.3 |
723.3 |
717.5 |
| S1 |
700.8 |
700.8 |
720.1 |
689.0 |
| S2 |
677.2 |
677.2 |
715.8 |
|
| S3 |
631.1 |
654.7 |
711.6 |
|
| S4 |
585.0 |
608.6 |
698.9 |
|
|
| 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% |
22.1 |
3.0% |
53% |
False |
False |
243,241 |
| 10 |
755.9 |
699.8 |
56.1 |
7.7% |
20.8 |
2.9% |
44% |
False |
False |
222,242 |
| 20 |
764.1 |
699.8 |
64.3 |
8.9% |
19.0 |
2.6% |
38% |
False |
False |
203,868 |
| 40 |
764.1 |
685.6 |
78.5 |
10.8% |
18.1 |
2.5% |
49% |
False |
False |
218,337 |
| 60 |
764.1 |
646.2 |
117.9 |
16.3% |
18.6 |
2.6% |
66% |
False |
False |
239,166 |
| 80 |
766.2 |
646.2 |
120.0 |
16.6% |
17.5 |
2.4% |
65% |
False |
False |
194,184 |
| 100 |
766.2 |
646.2 |
120.0 |
16.6% |
16.6 |
2.3% |
65% |
False |
False |
155,385 |
| 120 |
766.2 |
646.2 |
120.0 |
16.6% |
16.1 |
2.2% |
65% |
False |
False |
129,548 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
786.6 |
|
2.618 |
763.1 |
|
1.618 |
748.7 |
|
1.000 |
739.8 |
|
0.618 |
734.3 |
|
HIGH |
725.4 |
|
0.618 |
719.9 |
|
0.500 |
718.2 |
|
0.382 |
716.5 |
|
LOW |
711.0 |
|
0.618 |
702.1 |
|
1.000 |
696.6 |
|
1.618 |
687.7 |
|
2.618 |
673.3 |
|
4.250 |
649.8 |
|
|
| Fisher Pivots for day following 12-Sep-2008 |
| Pivot |
1 day |
3 day |
| R1 |
722.3 |
720.4 |
| PP |
720.2 |
716.5 |
| S1 |
718.2 |
712.6 |
|