CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 30-Jul-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Jul-2007 |
30-Jul-2007 |
Change |
Change % |
Previous Week |
| Open |
792.6 |
774.0 |
-18.6 |
-2.3% |
840.7 |
| High |
799.3 |
791.4 |
-7.9 |
-1.0% |
847.3 |
| Low |
771.1 |
771.3 |
0.2 |
0.0% |
771.1 |
| Close |
772.6 |
786.8 |
14.2 |
1.8% |
772.6 |
| Range |
28.2 |
20.1 |
-8.1 |
-28.7% |
76.2 |
| ATR |
16.1 |
16.4 |
0.3 |
1.8% |
0.0 |
| Volume |
538,302 |
390,842 |
-147,460 |
-27.4% |
1,816,962 |
|
| Daily Pivots for day following 30-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
843.5 |
835.2 |
797.9 |
|
| R3 |
823.4 |
815.1 |
792.3 |
|
| R2 |
803.3 |
803.3 |
790.5 |
|
| R1 |
795.0 |
795.0 |
788.6 |
799.2 |
| PP |
783.2 |
783.2 |
783.2 |
785.2 |
| S1 |
774.9 |
774.9 |
785.0 |
779.1 |
| S2 |
763.1 |
763.1 |
783.1 |
|
| S3 |
743.0 |
754.8 |
781.3 |
|
| S4 |
722.9 |
734.7 |
775.7 |
|
|
| 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 |
839.5 |
771.1 |
68.4 |
8.7% |
26.0 |
3.3% |
23% |
False |
False |
370,270 |
| 10 |
860.6 |
771.1 |
89.5 |
11.4% |
19.4 |
2.5% |
18% |
False |
False |
310,958 |
| 20 |
862.2 |
771.1 |
91.1 |
11.6% |
14.7 |
1.9% |
17% |
False |
False |
243,414 |
| 40 |
863.8 |
771.1 |
92.7 |
11.8% |
14.4 |
1.8% |
17% |
False |
False |
232,689 |
| 60 |
865.8 |
771.1 |
94.7 |
12.0% |
13.2 |
1.7% |
17% |
False |
False |
155,538 |
| 80 |
865.8 |
771.1 |
94.7 |
12.0% |
12.2 |
1.5% |
17% |
False |
False |
116,693 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
876.8 |
|
2.618 |
844.0 |
|
1.618 |
823.9 |
|
1.000 |
811.5 |
|
0.618 |
803.8 |
|
HIGH |
791.4 |
|
0.618 |
783.7 |
|
0.500 |
781.4 |
|
0.382 |
779.0 |
|
LOW |
771.3 |
|
0.618 |
758.9 |
|
1.000 |
751.2 |
|
1.618 |
738.8 |
|
2.618 |
718.7 |
|
4.250 |
685.9 |
|
|
| Fisher Pivots for day following 30-Jul-2007 |
| Pivot |
1 day |
3 day |
| R1 |
785.0 |
794.5 |
| PP |
783.2 |
791.9 |
| S1 |
781.4 |
789.4 |
|