CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 17-Sep-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
16-Sep-2008 |
17-Sep-2008 |
Change |
Change % |
Previous Week |
| Open |
693.0 |
714.7 |
21.7 |
3.1% |
727.7 |
| High |
714.7 |
721.1 |
6.4 |
0.9% |
745.9 |
| Low |
676.2 |
675.0 |
-1.2 |
-0.2% |
699.8 |
| Close |
713.9 |
681.0 |
-32.9 |
-4.6% |
724.3 |
| Range |
38.5 |
46.1 |
7.6 |
19.7% |
46.1 |
| ATR |
21.9 |
23.6 |
1.7 |
7.9% |
0.0 |
| Volume |
103,173 |
123,806 |
20,633 |
20.0% |
1,216,205 |
|
| Daily Pivots for day following 17-Sep-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
830.7 |
801.9 |
706.4 |
|
| R3 |
784.6 |
755.8 |
693.7 |
|
| R2 |
738.5 |
738.5 |
689.5 |
|
| R1 |
709.7 |
709.7 |
685.2 |
701.1 |
| PP |
692.4 |
692.4 |
692.4 |
688.0 |
| S1 |
663.6 |
663.6 |
676.8 |
655.0 |
| S2 |
646.3 |
646.3 |
672.5 |
|
| S3 |
600.2 |
617.5 |
668.3 |
|
| S4 |
554.1 |
571.4 |
655.6 |
|
|
| 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 |
675.0 |
50.4 |
7.4% |
29.7 |
4.4% |
12% |
False |
True |
154,583 |
| 10 |
745.9 |
675.0 |
70.9 |
10.4% |
27.1 |
4.0% |
8% |
False |
True |
202,747 |
| 20 |
755.9 |
675.0 |
80.9 |
11.9% |
21.8 |
3.2% |
7% |
False |
True |
191,164 |
| 40 |
764.1 |
675.0 |
89.1 |
13.1% |
19.6 |
2.9% |
7% |
False |
True |
209,353 |
| 60 |
764.1 |
646.2 |
117.9 |
17.3% |
19.7 |
2.9% |
30% |
False |
False |
229,494 |
| 80 |
766.2 |
646.2 |
120.0 |
17.6% |
18.4 |
2.7% |
29% |
False |
False |
198,529 |
| 100 |
766.2 |
646.2 |
120.0 |
17.6% |
17.2 |
2.5% |
29% |
False |
False |
158,857 |
| 120 |
766.2 |
646.2 |
120.0 |
17.6% |
16.7 |
2.5% |
29% |
False |
False |
132,446 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
917.0 |
|
2.618 |
841.8 |
|
1.618 |
795.7 |
|
1.000 |
767.2 |
|
0.618 |
749.6 |
|
HIGH |
721.1 |
|
0.618 |
703.5 |
|
0.500 |
698.1 |
|
0.382 |
692.6 |
|
LOW |
675.0 |
|
0.618 |
646.5 |
|
1.000 |
628.9 |
|
1.618 |
600.4 |
|
2.618 |
554.3 |
|
4.250 |
479.1 |
|
|
| Fisher Pivots for day following 17-Sep-2008 |
| Pivot |
1 day |
3 day |
| R1 |
698.1 |
698.1 |
| PP |
692.4 |
692.4 |
| S1 |
686.7 |
686.7 |
|