CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 04-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-Aug-2007 |
04-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
784.2 |
793.6 |
9.4 |
1.2% |
802.1 |
| High |
798.5 |
807.4 |
8.9 |
1.1% |
802.1 |
| Low |
784.2 |
788.2 |
4.0 |
0.5% |
768.1 |
| Close |
794.8 |
801.2 |
6.4 |
0.8% |
794.8 |
| Range |
14.3 |
19.2 |
4.9 |
34.3% |
34.0 |
| ATR |
20.2 |
20.1 |
-0.1 |
-0.3% |
0.0 |
| Volume |
216,742 |
175,232 |
-41,510 |
-19.2% |
993,186 |
|
| Daily Pivots for day following 04-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
856.5 |
848.1 |
811.8 |
|
| R3 |
837.3 |
828.9 |
806.5 |
|
| R2 |
818.1 |
818.1 |
804.7 |
|
| R1 |
809.7 |
809.7 |
803.0 |
813.9 |
| PP |
798.9 |
798.9 |
798.9 |
801.1 |
| S1 |
790.5 |
790.5 |
799.4 |
794.7 |
| S2 |
779.7 |
779.7 |
797.7 |
|
| S3 |
760.5 |
771.3 |
795.9 |
|
| S4 |
741.3 |
752.1 |
790.6 |
|
|
| Weekly Pivots for week ending 31-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
890.3 |
876.6 |
813.5 |
|
| R3 |
856.3 |
842.6 |
804.2 |
|
| R2 |
822.3 |
822.3 |
801.0 |
|
| R1 |
808.6 |
808.6 |
797.9 |
798.5 |
| PP |
788.3 |
788.3 |
788.3 |
783.3 |
| S1 |
774.6 |
774.6 |
791.7 |
764.5 |
| S2 |
754.3 |
754.3 |
788.6 |
|
| S3 |
720.3 |
740.6 |
785.5 |
|
| S4 |
686.3 |
706.6 |
776.1 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
807.4 |
768.1 |
39.3 |
4.9% |
18.4 |
2.3% |
84% |
True |
False |
199,351 |
| 10 |
809.5 |
768.1 |
41.4 |
5.2% |
16.4 |
2.0% |
80% |
False |
False |
213,390 |
| 20 |
809.5 |
737.7 |
71.8 |
9.0% |
22.4 |
2.8% |
88% |
False |
False |
317,759 |
| 40 |
862.2 |
737.7 |
124.5 |
15.5% |
20.4 |
2.5% |
51% |
False |
False |
304,885 |
| 60 |
862.2 |
737.7 |
124.5 |
15.5% |
17.8 |
2.2% |
51% |
False |
False |
283,222 |
| 80 |
865.8 |
737.7 |
128.1 |
16.0% |
16.4 |
2.0% |
50% |
False |
False |
218,092 |
| 100 |
865.8 |
737.7 |
128.1 |
16.0% |
15.1 |
1.9% |
50% |
False |
False |
174,507 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
889.0 |
|
2.618 |
857.7 |
|
1.618 |
838.5 |
|
1.000 |
826.6 |
|
0.618 |
819.3 |
|
HIGH |
807.4 |
|
0.618 |
800.1 |
|
0.500 |
797.8 |
|
0.382 |
795.5 |
|
LOW |
788.2 |
|
0.618 |
776.3 |
|
1.000 |
769.0 |
|
1.618 |
757.1 |
|
2.618 |
737.9 |
|
4.250 |
706.6 |
|
|
| Fisher Pivots for day following 04-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
800.1 |
798.5 |
| PP |
798.9 |
795.9 |
| S1 |
797.8 |
793.2 |
|