CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 27-Jul-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Jul-2007 |
27-Jul-2007 |
Change |
Change % |
Previous Week |
| Open |
814.3 |
792.6 |
-21.7 |
-2.7% |
840.7 |
| High |
817.9 |
799.3 |
-18.6 |
-2.3% |
847.3 |
| Low |
782.6 |
771.1 |
-11.5 |
-1.5% |
771.1 |
| Close |
792.2 |
772.6 |
-19.6 |
-2.5% |
772.6 |
| Range |
35.3 |
28.2 |
-7.1 |
-20.1% |
76.2 |
| ATR |
15.1 |
16.1 |
0.9 |
6.2% |
0.0 |
| Volume |
374,323 |
538,302 |
163,979 |
43.8% |
1,816,962 |
|
| Daily Pivots for day following 27-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
865.6 |
847.3 |
788.1 |
|
| R3 |
837.4 |
819.1 |
780.4 |
|
| R2 |
809.2 |
809.2 |
777.8 |
|
| R1 |
790.9 |
790.9 |
775.2 |
786.0 |
| PP |
781.0 |
781.0 |
781.0 |
778.5 |
| S1 |
762.7 |
762.7 |
770.0 |
757.8 |
| S2 |
752.8 |
752.8 |
767.4 |
|
| S3 |
724.6 |
734.5 |
764.8 |
|
| S4 |
696.4 |
706.3 |
757.1 |
|
|
| Weekly Pivots for week ending 27-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,025.6 |
975.3 |
814.5 |
|
| R3 |
949.4 |
899.1 |
793.6 |
|
| R2 |
873.2 |
873.2 |
786.6 |
|
| R1 |
822.9 |
822.9 |
779.6 |
810.0 |
| PP |
797.0 |
797.0 |
797.0 |
790.5 |
| S1 |
746.7 |
746.7 |
765.6 |
733.8 |
| S2 |
720.8 |
720.8 |
758.6 |
|
| S3 |
644.6 |
670.5 |
751.6 |
|
| S4 |
568.4 |
594.3 |
730.7 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
847.3 |
771.1 |
76.2 |
9.9% |
23.8 |
3.1% |
2% |
False |
True |
363,392 |
| 10 |
861.5 |
771.1 |
90.4 |
11.7% |
18.3 |
2.4% |
2% |
False |
True |
286,436 |
| 20 |
862.2 |
771.1 |
91.1 |
11.8% |
14.6 |
1.9% |
2% |
False |
True |
234,651 |
| 40 |
865.8 |
771.1 |
94.7 |
12.3% |
14.1 |
1.8% |
2% |
False |
True |
222,944 |
| 60 |
865.8 |
771.1 |
94.7 |
12.3% |
13.0 |
1.7% |
2% |
False |
True |
149,030 |
| 80 |
865.8 |
771.1 |
94.7 |
12.3% |
12.0 |
1.6% |
2% |
False |
True |
111,808 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
919.2 |
|
2.618 |
873.1 |
|
1.618 |
844.9 |
|
1.000 |
827.5 |
|
0.618 |
816.7 |
|
HIGH |
799.3 |
|
0.618 |
788.5 |
|
0.500 |
785.2 |
|
0.382 |
781.9 |
|
LOW |
771.1 |
|
0.618 |
753.7 |
|
1.000 |
742.9 |
|
1.618 |
725.5 |
|
2.618 |
697.3 |
|
4.250 |
651.3 |
|
|
| Fisher Pivots for day following 27-Jul-2007 |
| Pivot |
1 day |
3 day |
| R1 |
785.2 |
798.4 |
| PP |
781.0 |
789.8 |
| S1 |
776.8 |
781.2 |
|