CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 07-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
06-Aug-2007 |
07-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
757.3 |
766.4 |
9.1 |
1.2% |
774.0 |
| High |
770.2 |
782.4 |
12.2 |
1.6% |
798.4 |
| Low |
744.7 |
760.3 |
15.6 |
2.1% |
754.9 |
| Close |
766.3 |
777.1 |
10.8 |
1.4% |
759.9 |
| Range |
25.5 |
22.1 |
-3.4 |
-13.3% |
43.5 |
| ATR |
18.6 |
18.9 |
0.2 |
1.3% |
0.0 |
| Volume |
358,292 |
393,559 |
35,267 |
9.8% |
1,793,035 |
|
| Daily Pivots for day following 07-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
839.6 |
830.4 |
789.3 |
|
| R3 |
817.5 |
808.3 |
783.2 |
|
| R2 |
795.4 |
795.4 |
781.2 |
|
| R1 |
786.2 |
786.2 |
779.1 |
790.8 |
| PP |
773.3 |
773.3 |
773.3 |
775.6 |
| S1 |
764.1 |
764.1 |
775.1 |
768.7 |
| S2 |
751.2 |
751.2 |
773.0 |
|
| S3 |
729.1 |
742.0 |
771.0 |
|
| S4 |
707.0 |
719.9 |
764.9 |
|
|
| 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 |
790.5 |
744.7 |
45.8 |
5.9% |
23.1 |
3.0% |
71% |
False |
False |
366,566 |
| 10 |
825.6 |
744.7 |
80.9 |
10.4% |
24.2 |
3.1% |
40% |
False |
False |
380,154 |
| 20 |
862.2 |
744.7 |
117.5 |
15.1% |
18.7 |
2.4% |
28% |
False |
False |
304,896 |
| 40 |
862.2 |
744.7 |
117.5 |
15.1% |
15.8 |
2.0% |
28% |
False |
False |
268,100 |
| 60 |
865.8 |
744.7 |
121.1 |
15.6% |
14.6 |
1.9% |
27% |
False |
False |
191,420 |
| 80 |
865.8 |
744.7 |
121.1 |
15.6% |
13.4 |
1.7% |
27% |
False |
False |
143,613 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
876.3 |
|
2.618 |
840.3 |
|
1.618 |
818.2 |
|
1.000 |
804.5 |
|
0.618 |
796.1 |
|
HIGH |
782.4 |
|
0.618 |
774.0 |
|
0.500 |
771.4 |
|
0.382 |
768.7 |
|
LOW |
760.3 |
|
0.618 |
746.6 |
|
1.000 |
738.2 |
|
1.618 |
724.5 |
|
2.618 |
702.4 |
|
4.250 |
666.4 |
|
|
| Fisher Pivots for day following 07-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
775.2 |
773.9 |
| PP |
773.3 |
770.8 |
| S1 |
771.4 |
767.6 |
|