CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 01-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-Jul-2007 |
01-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
786.5 |
777.5 |
-9.0 |
-1.1% |
840.7 |
| High |
798.4 |
785.9 |
-12.5 |
-1.6% |
847.3 |
| Low |
774.5 |
764.7 |
-9.8 |
-1.3% |
771.1 |
| Close |
781.0 |
781.4 |
0.4 |
0.1% |
772.6 |
| Range |
23.9 |
21.2 |
-2.7 |
-11.3% |
76.2 |
| ATR |
16.9 |
17.2 |
0.3 |
1.8% |
0.0 |
| Volume |
321,211 |
359,812 |
38,601 |
12.0% |
1,816,962 |
|
| Daily Pivots for day following 01-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
840.9 |
832.4 |
793.1 |
|
| R3 |
819.7 |
811.2 |
787.2 |
|
| R2 |
798.5 |
798.5 |
785.3 |
|
| R1 |
790.0 |
790.0 |
783.3 |
794.3 |
| PP |
777.3 |
777.3 |
777.3 |
779.5 |
| S1 |
768.8 |
768.8 |
779.5 |
773.1 |
| S2 |
756.1 |
756.1 |
777.5 |
|
| S3 |
734.9 |
747.6 |
775.6 |
|
| S4 |
713.7 |
726.4 |
769.7 |
|
|
| 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 |
817.9 |
764.7 |
53.2 |
6.8% |
25.7 |
3.3% |
31% |
False |
True |
396,898 |
| 10 |
858.8 |
764.7 |
94.1 |
12.0% |
21.6 |
2.8% |
18% |
False |
True |
341,014 |
| 20 |
862.2 |
764.7 |
97.5 |
12.5% |
16.1 |
2.1% |
17% |
False |
True |
255,920 |
| 40 |
862.2 |
764.7 |
97.5 |
12.5% |
15.1 |
1.9% |
17% |
False |
True |
249,353 |
| 60 |
865.8 |
764.7 |
101.1 |
12.9% |
13.8 |
1.8% |
17% |
False |
True |
166,882 |
| 80 |
865.8 |
764.7 |
101.1 |
12.9% |
12.7 |
1.6% |
17% |
False |
True |
125,205 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
876.0 |
|
2.618 |
841.4 |
|
1.618 |
820.2 |
|
1.000 |
807.1 |
|
0.618 |
799.0 |
|
HIGH |
785.9 |
|
0.618 |
777.8 |
|
0.500 |
775.3 |
|
0.382 |
772.8 |
|
LOW |
764.7 |
|
0.618 |
751.6 |
|
1.000 |
743.5 |
|
1.618 |
730.4 |
|
2.618 |
709.2 |
|
4.250 |
674.6 |
|
|
| Fisher Pivots for day following 01-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
779.4 |
781.6 |
| PP |
777.3 |
781.5 |
| S1 |
775.3 |
781.5 |
|