CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 21-Jul-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
18-Jul-2008 |
21-Jul-2008 |
Change |
Change % |
Previous Week |
| Open |
690.5 |
690.6 |
0.1 |
0.0% |
673.7 |
| High |
700.3 |
699.8 |
-0.5 |
-0.1% |
700.3 |
| Low |
685.6 |
688.3 |
2.7 |
0.4% |
646.2 |
| Close |
690.7 |
699.4 |
8.7 |
1.3% |
690.7 |
| Range |
14.7 |
11.5 |
-3.2 |
-21.8% |
54.1 |
| ATR |
19.1 |
18.5 |
-0.5 |
-2.8% |
0.0 |
| Volume |
285,287 |
236,990 |
-48,297 |
-16.9% |
1,564,164 |
|
| Daily Pivots for day following 21-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
730.3 |
726.4 |
705.7 |
|
| R3 |
718.8 |
714.9 |
702.6 |
|
| R2 |
707.3 |
707.3 |
701.5 |
|
| R1 |
703.4 |
703.4 |
700.5 |
705.4 |
| PP |
695.8 |
695.8 |
695.8 |
696.8 |
| S1 |
691.9 |
691.9 |
698.3 |
693.9 |
| S2 |
684.3 |
684.3 |
697.3 |
|
| S3 |
672.8 |
680.4 |
696.2 |
|
| S4 |
661.3 |
668.9 |
693.1 |
|
|
| Weekly Pivots for week ending 18-Jul-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
841.4 |
820.1 |
720.5 |
|
| R3 |
787.3 |
766.0 |
705.6 |
|
| R2 |
733.2 |
733.2 |
700.6 |
|
| R1 |
711.9 |
711.9 |
695.7 |
722.6 |
| PP |
679.1 |
679.1 |
679.1 |
684.4 |
| S1 |
657.8 |
657.8 |
685.7 |
668.5 |
| S2 |
625.0 |
625.0 |
680.8 |
|
| S3 |
570.9 |
603.7 |
675.8 |
|
| S4 |
516.8 |
549.6 |
660.9 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
700.3 |
646.2 |
54.1 |
7.7% |
20.1 |
2.9% |
98% |
False |
False |
290,558 |
| 10 |
700.3 |
646.2 |
54.1 |
7.7% |
22.0 |
3.1% |
98% |
False |
False |
295,854 |
| 20 |
731.5 |
646.2 |
85.3 |
12.2% |
19.3 |
2.8% |
62% |
False |
False |
274,947 |
| 40 |
766.2 |
646.2 |
120.0 |
17.2% |
16.9 |
2.4% |
44% |
False |
False |
183,083 |
| 60 |
766.2 |
646.2 |
120.0 |
17.2% |
15.3 |
2.2% |
44% |
False |
False |
122,113 |
| 80 |
766.2 |
646.2 |
120.0 |
17.2% |
15.1 |
2.2% |
44% |
False |
False |
91,681 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
748.7 |
|
2.618 |
729.9 |
|
1.618 |
718.4 |
|
1.000 |
711.3 |
|
0.618 |
706.9 |
|
HIGH |
699.8 |
|
0.618 |
695.4 |
|
0.500 |
694.1 |
|
0.382 |
692.7 |
|
LOW |
688.3 |
|
0.618 |
681.2 |
|
1.000 |
676.8 |
|
1.618 |
669.7 |
|
2.618 |
658.2 |
|
4.250 |
639.4 |
|
|
| Fisher Pivots for day following 21-Jul-2008 |
| Pivot |
1 day |
3 day |
| R1 |
697.6 |
696.7 |
| PP |
695.8 |
694.0 |
| S1 |
694.1 |
691.3 |
|