CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 06-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Aug-2007 |
06-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
788.0 |
757.3 |
-30.7 |
-3.9% |
774.0 |
| High |
790.5 |
770.2 |
-20.3 |
-2.6% |
798.4 |
| Low |
754.9 |
744.7 |
-10.2 |
-1.4% |
754.9 |
| Close |
759.9 |
766.3 |
6.4 |
0.8% |
759.9 |
| Range |
35.6 |
25.5 |
-10.1 |
-28.4% |
43.5 |
| ATR |
18.1 |
18.6 |
0.5 |
2.9% |
0.0 |
| Volume |
297,304 |
358,292 |
60,988 |
20.5% |
1,793,035 |
|
| Daily Pivots for day following 06-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
836.9 |
827.1 |
780.3 |
|
| R3 |
811.4 |
801.6 |
773.3 |
|
| R2 |
785.9 |
785.9 |
771.0 |
|
| R1 |
776.1 |
776.1 |
768.6 |
781.0 |
| PP |
760.4 |
760.4 |
760.4 |
762.9 |
| S1 |
750.6 |
750.6 |
764.0 |
755.5 |
| S2 |
734.9 |
734.9 |
761.6 |
|
| S3 |
709.4 |
725.1 |
759.3 |
|
| S4 |
683.9 |
699.6 |
752.3 |
|
|
| 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 |
744.7 |
53.7 |
7.0% |
23.4 |
3.1% |
40% |
False |
True |
352,097 |
| 10 |
839.5 |
744.7 |
94.8 |
12.4% |
24.7 |
3.2% |
23% |
False |
True |
361,183 |
| 20 |
862.2 |
744.7 |
117.5 |
15.3% |
18.5 |
2.4% |
18% |
False |
True |
292,011 |
| 40 |
862.2 |
744.7 |
117.5 |
15.3% |
15.5 |
2.0% |
18% |
False |
True |
265,953 |
| 60 |
865.8 |
744.7 |
121.1 |
15.8% |
14.4 |
1.9% |
18% |
False |
True |
184,869 |
| 80 |
865.8 |
744.7 |
121.1 |
15.8% |
13.2 |
1.7% |
18% |
False |
True |
138,694 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
878.6 |
|
2.618 |
837.0 |
|
1.618 |
811.5 |
|
1.000 |
795.7 |
|
0.618 |
786.0 |
|
HIGH |
770.2 |
|
0.618 |
760.5 |
|
0.500 |
757.5 |
|
0.382 |
754.4 |
|
LOW |
744.7 |
|
0.618 |
728.9 |
|
1.000 |
719.2 |
|
1.618 |
703.4 |
|
2.618 |
677.9 |
|
4.250 |
636.3 |
|
|
| Fisher Pivots for day following 06-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
763.4 |
767.6 |
| PP |
760.4 |
767.2 |
| S1 |
757.5 |
766.7 |
|