CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 24-Jul-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Jul-2007 |
24-Jul-2007 |
Change |
Change % |
Previous Week |
| Open |
840.7 |
838.2 |
-2.5 |
-0.3% |
859.4 |
| High |
847.3 |
839.5 |
-7.8 |
-0.9% |
861.5 |
| Low |
838.0 |
812.8 |
-25.2 |
-3.0% |
834.6 |
| Close |
838.4 |
818.0 |
-20.4 |
-2.4% |
841.4 |
| Range |
9.3 |
26.7 |
17.4 |
187.1% |
26.9 |
| ATR |
12.1 |
13.1 |
1.0 |
8.6% |
0.0 |
| Volume |
356,452 |
203,848 |
-152,604 |
-42.8% |
1,047,403 |
|
| Daily Pivots for day following 24-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
903.5 |
887.5 |
832.7 |
|
| R3 |
876.8 |
860.8 |
825.3 |
|
| R2 |
850.1 |
850.1 |
822.9 |
|
| R1 |
834.1 |
834.1 |
820.4 |
828.8 |
| PP |
823.4 |
823.4 |
823.4 |
820.8 |
| S1 |
807.4 |
807.4 |
815.6 |
802.1 |
| S2 |
796.7 |
796.7 |
813.1 |
|
| S3 |
770.0 |
780.7 |
810.7 |
|
| S4 |
743.3 |
754.0 |
803.3 |
|
|
| Weekly Pivots for week ending 20-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
926.5 |
910.9 |
856.2 |
|
| R3 |
899.6 |
884.0 |
848.8 |
|
| R2 |
872.7 |
872.7 |
846.3 |
|
| R1 |
857.1 |
857.1 |
843.9 |
851.5 |
| PP |
845.8 |
845.8 |
845.8 |
843.0 |
| S1 |
830.2 |
830.2 |
838.9 |
824.6 |
| S2 |
818.9 |
818.9 |
836.5 |
|
| S3 |
792.0 |
803.3 |
834.0 |
|
| S4 |
765.1 |
776.4 |
826.6 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
858.8 |
812.8 |
46.0 |
5.6% |
16.5 |
2.0% |
11% |
False |
True |
256,329 |
| 10 |
862.2 |
812.8 |
49.4 |
6.0% |
13.1 |
1.6% |
11% |
False |
True |
229,638 |
| 20 |
862.2 |
812.8 |
49.4 |
6.0% |
12.6 |
1.5% |
11% |
False |
True |
213,653 |
| 40 |
865.8 |
812.8 |
53.0 |
6.5% |
12.8 |
1.6% |
10% |
False |
True |
191,601 |
| 60 |
865.8 |
812.8 |
53.0 |
6.5% |
12.4 |
1.5% |
10% |
False |
True |
128,106 |
| 80 |
865.8 |
810.7 |
55.1 |
6.7% |
11.2 |
1.4% |
13% |
False |
False |
96,103 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
953.0 |
|
2.618 |
909.4 |
|
1.618 |
882.7 |
|
1.000 |
866.2 |
|
0.618 |
856.0 |
|
HIGH |
839.5 |
|
0.618 |
829.3 |
|
0.500 |
826.2 |
|
0.382 |
823.0 |
|
LOW |
812.8 |
|
0.618 |
796.3 |
|
1.000 |
786.1 |
|
1.618 |
769.6 |
|
2.618 |
742.9 |
|
4.250 |
699.3 |
|
|
| Fisher Pivots for day following 24-Jul-2007 |
| Pivot |
1 day |
3 day |
| R1 |
826.2 |
834.7 |
| PP |
823.4 |
829.1 |
| S1 |
820.7 |
823.6 |
|