CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 16-Sep-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Sep-2008 |
16-Sep-2008 |
Change |
Change % |
Previous Week |
| Open |
717.0 |
693.0 |
-24.0 |
-3.3% |
727.7 |
| High |
717.0 |
714.7 |
-2.3 |
-0.3% |
745.9 |
| Low |
688.7 |
676.2 |
-12.5 |
-1.8% |
699.8 |
| Close |
692.1 |
713.9 |
21.8 |
3.1% |
724.3 |
| Range |
28.3 |
38.5 |
10.2 |
36.0% |
46.1 |
| ATR |
20.6 |
21.9 |
1.3 |
6.2% |
0.0 |
| Volume |
120,852 |
103,173 |
-17,679 |
-14.6% |
1,216,205 |
|
| Daily Pivots for day following 16-Sep-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
817.1 |
804.0 |
735.1 |
|
| R3 |
778.6 |
765.5 |
724.5 |
|
| R2 |
740.1 |
740.1 |
721.0 |
|
| R1 |
727.0 |
727.0 |
717.4 |
733.6 |
| PP |
701.6 |
701.6 |
701.6 |
704.9 |
| S1 |
688.5 |
688.5 |
710.4 |
695.1 |
| S2 |
663.1 |
663.1 |
706.8 |
|
| S3 |
624.6 |
650.0 |
703.3 |
|
| S4 |
586.1 |
611.5 |
692.7 |
|
|
| 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 |
725.4 |
676.2 |
49.2 |
6.9% |
24.0 |
3.4% |
77% |
False |
True |
180,554 |
| 10 |
748.2 |
676.2 |
72.0 |
10.1% |
24.0 |
3.4% |
52% |
False |
True |
212,026 |
| 20 |
755.9 |
676.2 |
79.7 |
11.2% |
20.4 |
2.9% |
47% |
False |
True |
194,372 |
| 40 |
764.1 |
676.2 |
87.9 |
12.3% |
19.1 |
2.7% |
43% |
False |
True |
210,881 |
| 60 |
764.1 |
646.2 |
117.9 |
16.5% |
19.2 |
2.7% |
57% |
False |
False |
232,236 |
| 80 |
766.2 |
646.2 |
120.0 |
16.8% |
18.0 |
2.5% |
56% |
False |
False |
196,982 |
| 100 |
766.2 |
646.2 |
120.0 |
16.8% |
16.9 |
2.4% |
56% |
False |
False |
157,620 |
| 120 |
766.2 |
646.2 |
120.0 |
16.8% |
16.4 |
2.3% |
56% |
False |
False |
131,414 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
878.3 |
|
2.618 |
815.5 |
|
1.618 |
777.0 |
|
1.000 |
753.2 |
|
0.618 |
738.5 |
|
HIGH |
714.7 |
|
0.618 |
700.0 |
|
0.500 |
695.5 |
|
0.382 |
690.9 |
|
LOW |
676.2 |
|
0.618 |
652.4 |
|
1.000 |
637.7 |
|
1.618 |
613.9 |
|
2.618 |
575.4 |
|
4.250 |
512.6 |
|
|
| Fisher Pivots for day following 16-Sep-2008 |
| Pivot |
1 day |
3 day |
| R1 |
707.8 |
709.5 |
| PP |
701.6 |
705.2 |
| S1 |
695.5 |
700.8 |
|