CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 31-Jul-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Jul-2007 |
31-Jul-2007 |
Change |
Change % |
Previous Week |
| Open |
774.0 |
786.5 |
12.5 |
1.6% |
840.7 |
| High |
791.4 |
798.4 |
7.0 |
0.9% |
847.3 |
| Low |
771.3 |
774.5 |
3.2 |
0.4% |
771.1 |
| Close |
786.8 |
781.0 |
-5.8 |
-0.7% |
772.6 |
| Range |
20.1 |
23.9 |
3.8 |
18.9% |
76.2 |
| ATR |
16.4 |
16.9 |
0.5 |
3.3% |
0.0 |
| Volume |
390,842 |
321,211 |
-69,631 |
-17.8% |
1,816,962 |
|
| Daily Pivots for day following 31-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
856.3 |
842.6 |
794.1 |
|
| R3 |
832.4 |
818.7 |
787.6 |
|
| R2 |
808.5 |
808.5 |
785.4 |
|
| R1 |
794.8 |
794.8 |
783.2 |
789.7 |
| PP |
784.6 |
784.6 |
784.6 |
782.1 |
| S1 |
770.9 |
770.9 |
778.8 |
765.8 |
| S2 |
760.7 |
760.7 |
776.6 |
|
| S3 |
736.8 |
747.0 |
774.4 |
|
| S4 |
712.9 |
723.1 |
767.9 |
|
|
| 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 |
825.6 |
771.1 |
54.5 |
7.0% |
25.4 |
3.3% |
18% |
False |
False |
393,743 |
| 10 |
858.8 |
771.1 |
87.7 |
11.2% |
20.9 |
2.7% |
11% |
False |
False |
325,036 |
| 20 |
862.2 |
771.1 |
91.1 |
11.7% |
15.3 |
2.0% |
11% |
False |
False |
246,353 |
| 40 |
863.6 |
771.1 |
92.5 |
11.8% |
14.8 |
1.9% |
11% |
False |
False |
240,670 |
| 60 |
865.8 |
771.1 |
94.7 |
12.1% |
13.5 |
1.7% |
10% |
False |
False |
160,887 |
| 80 |
865.8 |
771.1 |
94.7 |
12.1% |
12.5 |
1.6% |
10% |
False |
False |
120,707 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
900.0 |
|
2.618 |
861.0 |
|
1.618 |
837.1 |
|
1.000 |
822.3 |
|
0.618 |
813.2 |
|
HIGH |
798.4 |
|
0.618 |
789.3 |
|
0.500 |
786.5 |
|
0.382 |
783.6 |
|
LOW |
774.5 |
|
0.618 |
759.7 |
|
1.000 |
750.6 |
|
1.618 |
735.8 |
|
2.618 |
711.9 |
|
4.250 |
672.9 |
|
|
| Fisher Pivots for day following 31-Jul-2007 |
| Pivot |
1 day |
3 day |
| R1 |
786.5 |
785.2 |
| PP |
784.6 |
783.8 |
| S1 |
782.8 |
782.4 |
|