CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 03-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Aug-2007 |
03-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
780.5 |
788.0 |
7.5 |
1.0% |
774.0 |
| High |
789.3 |
790.5 |
1.2 |
0.2% |
798.4 |
| Low |
778.3 |
754.9 |
-23.4 |
-3.0% |
754.9 |
| Close |
788.4 |
759.9 |
-28.5 |
-3.6% |
759.9 |
| Range |
11.0 |
35.6 |
24.6 |
223.6% |
43.5 |
| ATR |
16.8 |
18.1 |
1.3 |
8.0% |
0.0 |
| Volume |
423,866 |
297,304 |
-126,562 |
-29.9% |
1,793,035 |
|
| Daily Pivots for day following 03-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
875.2 |
853.2 |
779.5 |
|
| R3 |
839.6 |
817.6 |
769.7 |
|
| R2 |
804.0 |
804.0 |
766.4 |
|
| R1 |
782.0 |
782.0 |
763.2 |
775.2 |
| PP |
768.4 |
768.4 |
768.4 |
765.1 |
| S1 |
746.4 |
746.4 |
756.6 |
739.6 |
| S2 |
732.8 |
732.8 |
753.4 |
|
| S3 |
697.2 |
710.8 |
750.1 |
|
| S4 |
661.6 |
675.2 |
740.3 |
|
|
| Weekly Pivots for week ending 03-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
901.6 |
874.2 |
783.8 |
|
| R3 |
858.1 |
830.7 |
771.9 |
|
| R2 |
814.6 |
814.6 |
767.9 |
|
| R1 |
787.2 |
787.2 |
763.9 |
779.2 |
| PP |
771.1 |
771.1 |
771.1 |
767.0 |
| S1 |
743.7 |
743.7 |
755.9 |
735.7 |
| S2 |
727.6 |
727.6 |
751.9 |
|
| S3 |
684.1 |
700.2 |
747.9 |
|
| S4 |
640.6 |
656.7 |
736.0 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
798.4 |
754.9 |
43.5 |
5.7% |
22.4 |
2.9% |
11% |
False |
True |
358,607 |
| 10 |
847.3 |
754.9 |
92.4 |
12.2% |
23.1 |
3.0% |
5% |
False |
True |
360,999 |
| 20 |
862.2 |
754.9 |
107.3 |
14.1% |
17.5 |
2.3% |
5% |
False |
True |
280,709 |
| 40 |
862.2 |
754.9 |
107.3 |
14.1% |
15.3 |
2.0% |
5% |
False |
True |
265,561 |
| 60 |
865.8 |
754.9 |
110.9 |
14.6% |
14.2 |
1.9% |
5% |
False |
True |
178,899 |
| 80 |
865.8 |
754.9 |
110.9 |
14.6% |
13.1 |
1.7% |
5% |
False |
True |
134,216 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
941.8 |
|
2.618 |
883.7 |
|
1.618 |
848.1 |
|
1.000 |
826.1 |
|
0.618 |
812.5 |
|
HIGH |
790.5 |
|
0.618 |
776.9 |
|
0.500 |
772.7 |
|
0.382 |
768.5 |
|
LOW |
754.9 |
|
0.618 |
732.9 |
|
1.000 |
719.3 |
|
1.618 |
697.3 |
|
2.618 |
661.7 |
|
4.250 |
603.6 |
|
|
| Fisher Pivots for day following 03-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
772.7 |
772.7 |
| PP |
768.4 |
768.4 |
| S1 |
764.2 |
764.2 |
|