CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 16-Jul-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Jul-2007 |
16-Jul-2007 |
Change |
Change % |
Previous Week |
| Open |
858.4 |
859.4 |
1.0 |
0.1% |
859.1 |
| High |
862.2 |
861.5 |
-0.7 |
-0.1% |
862.2 |
| Low |
856.3 |
851.8 |
-4.5 |
-0.5% |
838.9 |
| Close |
859.3 |
854.6 |
-4.7 |
-0.5% |
859.3 |
| Range |
5.9 |
9.7 |
3.8 |
64.4% |
23.3 |
| ATR |
11.9 |
11.7 |
-0.2 |
-1.3% |
0.0 |
| Volume |
194,276 |
145,620 |
-48,656 |
-25.0% |
956,796 |
|
| Daily Pivots for day following 16-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
885.1 |
879.5 |
859.9 |
|
| R3 |
875.4 |
869.8 |
857.3 |
|
| R2 |
865.7 |
865.7 |
856.4 |
|
| R1 |
860.1 |
860.1 |
855.5 |
858.1 |
| PP |
856.0 |
856.0 |
856.0 |
854.9 |
| S1 |
850.4 |
850.4 |
853.7 |
848.4 |
| S2 |
846.3 |
846.3 |
852.8 |
|
| S3 |
836.6 |
840.7 |
851.9 |
|
| S4 |
826.9 |
831.0 |
849.3 |
|
|
| Weekly Pivots for week ending 13-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
923.4 |
914.6 |
872.1 |
|
| R3 |
900.1 |
891.3 |
865.7 |
|
| R2 |
876.8 |
876.8 |
863.6 |
|
| R1 |
868.0 |
868.0 |
861.4 |
872.4 |
| PP |
853.5 |
853.5 |
853.5 |
855.7 |
| S1 |
844.7 |
844.7 |
857.2 |
849.1 |
| S2 |
830.2 |
830.2 |
855.0 |
|
| S3 |
806.9 |
821.4 |
852.9 |
|
| S4 |
783.6 |
798.1 |
846.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
862.2 |
838.9 |
23.3 |
2.7% |
11.6 |
1.4% |
67% |
False |
False |
194,030 |
| 10 |
862.2 |
838.9 |
23.3 |
2.7% |
10.1 |
1.2% |
67% |
False |
False |
175,869 |
| 20 |
862.2 |
824.2 |
38.0 |
4.4% |
12.0 |
1.4% |
80% |
False |
False |
210,018 |
| 40 |
865.8 |
821.8 |
44.0 |
5.1% |
12.5 |
1.5% |
75% |
False |
False |
155,143 |
| 60 |
865.8 |
818.2 |
47.6 |
5.6% |
11.7 |
1.4% |
76% |
False |
False |
103,750 |
| 80 |
865.8 |
804.2 |
61.6 |
7.2% |
10.7 |
1.3% |
82% |
False |
False |
77,833 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
902.7 |
|
2.618 |
886.9 |
|
1.618 |
877.2 |
|
1.000 |
871.2 |
|
0.618 |
867.5 |
|
HIGH |
861.5 |
|
0.618 |
857.8 |
|
0.500 |
856.7 |
|
0.382 |
855.5 |
|
LOW |
851.8 |
|
0.618 |
845.8 |
|
1.000 |
842.1 |
|
1.618 |
836.1 |
|
2.618 |
826.4 |
|
4.250 |
810.6 |
|
|
| Fisher Pivots for day following 16-Jul-2007 |
| Pivot |
1 day |
3 day |
| R1 |
856.7 |
854.6 |
| PP |
856.0 |
854.6 |
| S1 |
855.3 |
854.6 |
|