CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 15-Sep-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Sep-2008 |
15-Sep-2008 |
Change |
Change % |
Previous Week |
| Open |
721.1 |
717.0 |
-4.1 |
-0.6% |
727.7 |
| High |
725.4 |
717.0 |
-8.4 |
-1.2% |
745.9 |
| Low |
711.0 |
688.7 |
-22.3 |
-3.1% |
699.8 |
| Close |
724.3 |
692.1 |
-32.2 |
-4.4% |
724.3 |
| Range |
14.4 |
28.3 |
13.9 |
96.5% |
46.1 |
| ATR |
19.5 |
20.6 |
1.2 |
5.9% |
0.0 |
| Volume |
174,182 |
120,852 |
-53,330 |
-30.6% |
1,216,205 |
|
| Daily Pivots for day following 15-Sep-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
784.2 |
766.4 |
707.7 |
|
| R3 |
755.9 |
738.1 |
699.9 |
|
| R2 |
727.6 |
727.6 |
697.3 |
|
| R1 |
709.8 |
709.8 |
694.7 |
704.6 |
| PP |
699.3 |
699.3 |
699.3 |
696.6 |
| S1 |
681.5 |
681.5 |
689.5 |
676.3 |
| S2 |
671.0 |
671.0 |
686.9 |
|
| S3 |
642.7 |
653.2 |
684.3 |
|
| S4 |
614.4 |
624.9 |
676.5 |
|
|
| 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 |
740.5 |
688.7 |
51.8 |
7.5% |
23.1 |
3.3% |
7% |
False |
True |
217,691 |
| 10 |
755.9 |
688.7 |
67.2 |
9.7% |
22.7 |
3.3% |
5% |
False |
True |
216,461 |
| 20 |
757.6 |
688.7 |
68.9 |
10.0% |
19.5 |
2.8% |
5% |
False |
True |
198,869 |
| 40 |
764.1 |
688.3 |
75.8 |
11.0% |
18.5 |
2.7% |
5% |
False |
False |
214,226 |
| 60 |
764.1 |
646.2 |
117.9 |
17.0% |
18.9 |
2.7% |
39% |
False |
False |
235,682 |
| 80 |
766.2 |
646.2 |
120.0 |
17.3% |
17.7 |
2.6% |
38% |
False |
False |
195,693 |
| 100 |
766.2 |
646.2 |
120.0 |
17.3% |
16.6 |
2.4% |
38% |
False |
False |
156,591 |
| 120 |
766.2 |
646.2 |
120.0 |
17.3% |
16.2 |
2.3% |
38% |
False |
False |
130,555 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
837.3 |
|
2.618 |
791.1 |
|
1.618 |
762.8 |
|
1.000 |
745.3 |
|
0.618 |
734.5 |
|
HIGH |
717.0 |
|
0.618 |
706.2 |
|
0.500 |
702.9 |
|
0.382 |
699.5 |
|
LOW |
688.7 |
|
0.618 |
671.2 |
|
1.000 |
660.4 |
|
1.618 |
642.9 |
|
2.618 |
614.6 |
|
4.250 |
568.4 |
|
|
| Fisher Pivots for day following 15-Sep-2008 |
| Pivot |
1 day |
3 day |
| R1 |
702.9 |
707.1 |
| PP |
699.3 |
702.1 |
| S1 |
695.7 |
697.1 |
|