CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 26-Jul-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Jul-2007 |
26-Jul-2007 |
Change |
Change % |
Previous Week |
| Open |
817.5 |
814.3 |
-3.2 |
-0.4% |
859.4 |
| High |
825.6 |
817.9 |
-7.7 |
-0.9% |
861.5 |
| Low |
806.1 |
782.6 |
-23.5 |
-2.9% |
834.6 |
| Close |
815.0 |
792.2 |
-22.8 |
-2.8% |
841.4 |
| Range |
19.5 |
35.3 |
15.8 |
81.0% |
26.9 |
| ATR |
13.6 |
15.1 |
1.6 |
11.4% |
0.0 |
| Volume |
344,037 |
374,323 |
30,286 |
8.8% |
1,047,403 |
|
| Daily Pivots for day following 26-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
903.5 |
883.1 |
811.6 |
|
| R3 |
868.2 |
847.8 |
801.9 |
|
| R2 |
832.9 |
832.9 |
798.7 |
|
| R1 |
812.5 |
812.5 |
795.4 |
805.1 |
| PP |
797.6 |
797.6 |
797.6 |
793.8 |
| S1 |
777.2 |
777.2 |
789.0 |
769.8 |
| S2 |
762.3 |
762.3 |
785.7 |
|
| S3 |
727.0 |
741.9 |
782.5 |
|
| S4 |
691.7 |
706.6 |
772.8 |
|
|
| 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 |
856.6 |
782.6 |
74.0 |
9.3% |
22.6 |
2.8% |
13% |
False |
True |
296,419 |
| 10 |
862.2 |
782.6 |
79.6 |
10.0% |
16.1 |
2.0% |
12% |
False |
True |
252,033 |
| 20 |
862.2 |
782.6 |
79.6 |
10.0% |
13.7 |
1.7% |
12% |
False |
True |
221,684 |
| 40 |
865.8 |
782.6 |
83.2 |
10.5% |
13.6 |
1.7% |
12% |
False |
True |
209,536 |
| 60 |
865.8 |
782.6 |
83.2 |
10.5% |
12.8 |
1.6% |
12% |
False |
True |
140,072 |
| 80 |
865.8 |
782.6 |
83.2 |
10.5% |
11.7 |
1.5% |
12% |
False |
True |
105,080 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
967.9 |
|
2.618 |
910.3 |
|
1.618 |
875.0 |
|
1.000 |
853.2 |
|
0.618 |
839.7 |
|
HIGH |
817.9 |
|
0.618 |
804.4 |
|
0.500 |
800.3 |
|
0.382 |
796.1 |
|
LOW |
782.6 |
|
0.618 |
760.8 |
|
1.000 |
747.3 |
|
1.618 |
725.5 |
|
2.618 |
690.2 |
|
4.250 |
632.6 |
|
|
| Fisher Pivots for day following 26-Jul-2007 |
| Pivot |
1 day |
3 day |
| R1 |
800.3 |
811.1 |
| PP |
797.6 |
804.8 |
| S1 |
794.9 |
798.5 |
|