CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 12-Aug-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Aug-2008 |
12-Aug-2008 |
Change |
Change % |
Previous Week |
| Open |
731.6 |
748.3 |
16.7 |
2.3% |
716.9 |
| High |
757.8 |
753.1 |
-4.7 |
-0.6% |
735.4 |
| Low |
730.5 |
742.0 |
11.5 |
1.6% |
699.4 |
| Close |
750.4 |
747.0 |
-3.4 |
-0.5% |
731.6 |
| Range |
27.3 |
11.1 |
-16.2 |
-59.3% |
36.0 |
| ATR |
18.7 |
18.2 |
-0.5 |
-2.9% |
0.0 |
| Volume |
230,990 |
318,731 |
87,741 |
38.0% |
1,046,541 |
|
| Daily Pivots for day following 12-Aug-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
780.7 |
774.9 |
753.1 |
|
| R3 |
769.6 |
763.8 |
750.1 |
|
| R2 |
758.5 |
758.5 |
749.0 |
|
| R1 |
752.7 |
752.7 |
748.0 |
750.1 |
| PP |
747.4 |
747.4 |
747.4 |
746.0 |
| S1 |
741.6 |
741.6 |
746.0 |
739.0 |
| S2 |
736.3 |
736.3 |
745.0 |
|
| S3 |
725.2 |
730.5 |
743.9 |
|
| S4 |
714.1 |
719.4 |
740.9 |
|
|
| 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 |
710.9 |
46.9 |
6.3% |
18.5 |
2.5% |
77% |
False |
False |
231,458 |
| 10 |
757.8 |
699.4 |
58.4 |
7.8% |
17.4 |
2.3% |
82% |
False |
False |
227,439 |
| 20 |
757.8 |
656.0 |
101.8 |
13.6% |
18.0 |
2.4% |
89% |
False |
False |
242,026 |
| 40 |
757.8 |
646.2 |
111.6 |
14.9% |
18.2 |
2.4% |
90% |
False |
False |
259,333 |
| 60 |
766.2 |
646.2 |
120.0 |
16.1% |
17.0 |
2.3% |
84% |
False |
False |
183,196 |
| 80 |
766.2 |
646.2 |
120.0 |
16.1% |
16.0 |
2.1% |
84% |
False |
False |
137,440 |
| 100 |
766.2 |
646.2 |
120.0 |
16.1% |
15.4 |
2.1% |
84% |
False |
False |
110,024 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
800.3 |
|
2.618 |
782.2 |
|
1.618 |
771.1 |
|
1.000 |
764.2 |
|
0.618 |
760.0 |
|
HIGH |
753.1 |
|
0.618 |
748.9 |
|
0.500 |
747.6 |
|
0.382 |
746.2 |
|
LOW |
742.0 |
|
0.618 |
735.1 |
|
1.000 |
730.9 |
|
1.618 |
724.0 |
|
2.618 |
712.9 |
|
4.250 |
694.8 |
|
|
| Fisher Pivots for day following 12-Aug-2008 |
| Pivot |
1 day |
3 day |
| R1 |
747.6 |
742.8 |
| PP |
747.4 |
738.7 |
| S1 |
747.2 |
734.5 |
|