CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 11-Aug-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
08-Aug-2008 |
11-Aug-2008 |
Change |
Change % |
Previous Week |
| Open |
715.6 |
731.6 |
16.0 |
2.2% |
716.9 |
| High |
735.4 |
757.8 |
22.4 |
3.0% |
735.4 |
| Low |
711.2 |
730.5 |
19.3 |
2.7% |
699.4 |
| Close |
731.6 |
750.4 |
18.8 |
2.6% |
731.6 |
| Range |
24.2 |
27.3 |
3.1 |
12.8% |
36.0 |
| ATR |
18.0 |
18.7 |
0.7 |
3.7% |
0.0 |
| Volume |
201,151 |
230,990 |
29,839 |
14.8% |
1,046,541 |
|
| Daily Pivots for day following 11-Aug-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
828.1 |
816.6 |
765.4 |
|
| R3 |
800.8 |
789.3 |
757.9 |
|
| R2 |
773.5 |
773.5 |
755.4 |
|
| R1 |
762.0 |
762.0 |
752.9 |
767.8 |
| PP |
746.2 |
746.2 |
746.2 |
749.1 |
| S1 |
734.7 |
734.7 |
747.9 |
740.5 |
| S2 |
718.9 |
718.9 |
745.4 |
|
| S3 |
691.6 |
707.4 |
742.9 |
|
| S4 |
664.3 |
680.1 |
735.4 |
|
|
| Weekly Pivots for week ending 08-Aug-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
830.1 |
816.9 |
751.4 |
|
| R3 |
794.1 |
780.9 |
741.5 |
|
| R2 |
758.1 |
758.1 |
738.2 |
|
| R1 |
744.9 |
744.9 |
734.9 |
751.5 |
| PP |
722.1 |
722.1 |
722.1 |
725.5 |
| S1 |
708.9 |
708.9 |
728.3 |
715.5 |
| S2 |
686.1 |
686.1 |
725.0 |
|
| S3 |
650.1 |
672.9 |
721.7 |
|
| S4 |
614.1 |
636.9 |
711.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
757.8 |
703.0 |
54.8 |
7.3% |
20.0 |
2.7% |
86% |
True |
False |
208,839 |
| 10 |
757.8 |
694.8 |
63.0 |
8.4% |
18.4 |
2.4% |
88% |
True |
False |
214,526 |
| 20 |
757.8 |
646.2 |
111.6 |
14.9% |
18.9 |
2.5% |
93% |
True |
False |
240,091 |
| 40 |
757.8 |
646.2 |
111.6 |
14.9% |
18.2 |
2.4% |
93% |
True |
False |
257,713 |
| 60 |
766.2 |
646.2 |
120.0 |
16.0% |
17.0 |
2.3% |
87% |
False |
False |
177,885 |
| 80 |
766.2 |
646.2 |
120.0 |
16.0% |
15.9 |
2.1% |
87% |
False |
False |
133,456 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
873.8 |
|
2.618 |
829.3 |
|
1.618 |
802.0 |
|
1.000 |
785.1 |
|
0.618 |
774.7 |
|
HIGH |
757.8 |
|
0.618 |
747.4 |
|
0.500 |
744.2 |
|
0.382 |
740.9 |
|
LOW |
730.5 |
|
0.618 |
713.6 |
|
1.000 |
703.2 |
|
1.618 |
686.3 |
|
2.618 |
659.0 |
|
4.250 |
614.5 |
|
|
| Fisher Pivots for day following 11-Aug-2008 |
| Pivot |
1 day |
3 day |
| R1 |
748.3 |
745.1 |
| PP |
746.2 |
739.7 |
| S1 |
744.2 |
734.4 |
|