CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 08-Sep-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Sep-2008 |
08-Sep-2008 |
Change |
Change % |
Previous Week |
| Open |
720.9 |
727.7 |
6.8 |
0.9% |
738.2 |
| High |
722.1 |
745.9 |
23.8 |
3.3% |
755.9 |
| Low |
702.2 |
722.6 |
20.4 |
2.9% |
702.2 |
| Close |
718.5 |
734.3 |
15.8 |
2.2% |
718.5 |
| Range |
19.9 |
23.3 |
3.4 |
17.1% |
53.7 |
| ATR |
18.2 |
18.9 |
0.7 |
3.6% |
0.0 |
| Volume |
232,557 |
248,601 |
16,044 |
6.9% |
827,562 |
|
| Daily Pivots for day following 08-Sep-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
804.2 |
792.5 |
747.1 |
|
| R3 |
780.9 |
769.2 |
740.7 |
|
| R2 |
757.6 |
757.6 |
738.6 |
|
| R1 |
745.9 |
745.9 |
736.4 |
751.8 |
| PP |
734.3 |
734.3 |
734.3 |
737.2 |
| S1 |
722.6 |
722.6 |
732.2 |
728.5 |
| S2 |
711.0 |
711.0 |
730.0 |
|
| S3 |
687.7 |
699.3 |
727.9 |
|
| S4 |
664.4 |
676.0 |
721.5 |
|
|
| Weekly Pivots for week ending 05-Sep-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
886.6 |
856.3 |
748.0 |
|
| R3 |
832.9 |
802.6 |
733.3 |
|
| R2 |
779.2 |
779.2 |
728.3 |
|
| R1 |
748.9 |
748.9 |
723.4 |
737.2 |
| PP |
725.5 |
725.5 |
725.5 |
719.7 |
| S1 |
695.2 |
695.2 |
713.6 |
683.5 |
| S2 |
671.8 |
671.8 |
708.7 |
|
| S3 |
618.1 |
641.5 |
703.7 |
|
| S4 |
564.4 |
587.8 |
689.0 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
755.9 |
702.2 |
53.7 |
7.3% |
22.2 |
3.0% |
60% |
False |
False |
215,232 |
| 10 |
755.9 |
702.2 |
53.7 |
7.3% |
19.1 |
2.6% |
60% |
False |
False |
190,481 |
| 20 |
764.1 |
702.2 |
61.9 |
8.4% |
18.1 |
2.5% |
52% |
False |
False |
206,278 |
| 40 |
764.1 |
646.2 |
117.9 |
16.1% |
18.4 |
2.5% |
75% |
False |
False |
226,119 |
| 60 |
764.1 |
646.2 |
117.9 |
16.1% |
18.0 |
2.4% |
75% |
False |
False |
241,390 |
| 80 |
766.2 |
646.2 |
120.0 |
16.3% |
17.1 |
2.3% |
73% |
False |
False |
182,099 |
| 100 |
766.2 |
646.2 |
120.0 |
16.3% |
16.2 |
2.2% |
73% |
False |
False |
145,722 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
844.9 |
|
2.618 |
806.9 |
|
1.618 |
783.6 |
|
1.000 |
769.2 |
|
0.618 |
760.3 |
|
HIGH |
745.9 |
|
0.618 |
737.0 |
|
0.500 |
734.3 |
|
0.382 |
731.5 |
|
LOW |
722.6 |
|
0.618 |
708.2 |
|
1.000 |
699.3 |
|
1.618 |
684.9 |
|
2.618 |
661.6 |
|
4.250 |
623.6 |
|
|
| Fisher Pivots for day following 08-Sep-2008 |
| Pivot |
1 day |
3 day |
| R1 |
734.3 |
730.9 |
| PP |
734.3 |
727.5 |
| S1 |
734.3 |
724.1 |
|