CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 17-Jul-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
16-Jul-2007 |
17-Jul-2007 |
Change |
Change % |
Previous Week |
| Open |
859.4 |
854.4 |
-5.0 |
-0.6% |
859.1 |
| High |
861.5 |
860.6 |
-0.9 |
-0.1% |
862.2 |
| Low |
851.8 |
852.2 |
0.4 |
0.0% |
838.9 |
| Close |
854.6 |
855.2 |
0.6 |
0.1% |
859.3 |
| Range |
9.7 |
8.4 |
-1.3 |
-13.4% |
23.3 |
| ATR |
11.7 |
11.5 |
-0.2 |
-2.0% |
0.0 |
| Volume |
145,620 |
180,438 |
34,818 |
23.9% |
956,796 |
|
| Daily Pivots for day following 17-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
881.2 |
876.6 |
859.8 |
|
| R3 |
872.8 |
868.2 |
857.5 |
|
| R2 |
864.4 |
864.4 |
856.7 |
|
| R1 |
859.8 |
859.8 |
856.0 |
862.1 |
| PP |
856.0 |
856.0 |
856.0 |
857.2 |
| S1 |
851.4 |
851.4 |
854.4 |
853.7 |
| S2 |
847.6 |
847.6 |
853.7 |
|
| S3 |
839.2 |
843.0 |
852.9 |
|
| S4 |
830.8 |
834.6 |
850.6 |
|
|
| 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% |
9.7 |
1.1% |
70% |
False |
False |
202,947 |
| 10 |
862.2 |
838.9 |
23.3 |
2.7% |
9.6 |
1.1% |
70% |
False |
False |
167,670 |
| 20 |
862.2 |
824.2 |
38.0 |
4.4% |
11.9 |
1.4% |
82% |
False |
False |
207,914 |
| 40 |
865.8 |
824.2 |
41.6 |
4.9% |
12.3 |
1.4% |
75% |
False |
False |
159,644 |
| 60 |
865.8 |
818.2 |
47.6 |
5.6% |
11.7 |
1.4% |
78% |
False |
False |
106,755 |
| 80 |
865.8 |
804.2 |
61.6 |
7.2% |
10.8 |
1.3% |
83% |
False |
False |
80,088 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
896.3 |
|
2.618 |
882.6 |
|
1.618 |
874.2 |
|
1.000 |
869.0 |
|
0.618 |
865.8 |
|
HIGH |
860.6 |
|
0.618 |
857.4 |
|
0.500 |
856.4 |
|
0.382 |
855.4 |
|
LOW |
852.2 |
|
0.618 |
847.0 |
|
1.000 |
843.8 |
|
1.618 |
838.6 |
|
2.618 |
830.2 |
|
4.250 |
816.5 |
|
|
| Fisher Pivots for day following 17-Jul-2007 |
| Pivot |
1 day |
3 day |
| R1 |
856.4 |
857.0 |
| PP |
856.0 |
856.4 |
| S1 |
855.6 |
855.8 |
|