CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 09-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
08-Aug-2007 |
09-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
777.0 |
801.0 |
24.0 |
3.1% |
774.0 |
| High |
807.2 |
802.6 |
-4.6 |
-0.6% |
798.4 |
| Low |
776.1 |
781.4 |
5.3 |
0.7% |
754.9 |
| Close |
801.7 |
783.1 |
-18.6 |
-2.3% |
759.9 |
| Range |
31.1 |
21.2 |
-9.9 |
-31.8% |
43.5 |
| ATR |
19.8 |
19.9 |
0.1 |
0.5% |
0.0 |
| Volume |
353,396 |
434,961 |
81,565 |
23.1% |
1,793,035 |
|
| Daily Pivots for day following 09-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
852.6 |
839.1 |
794.8 |
|
| R3 |
831.4 |
817.9 |
788.9 |
|
| R2 |
810.2 |
810.2 |
787.0 |
|
| R1 |
796.7 |
796.7 |
785.0 |
792.9 |
| PP |
789.0 |
789.0 |
789.0 |
787.1 |
| S1 |
775.5 |
775.5 |
781.2 |
771.7 |
| S2 |
767.8 |
767.8 |
779.2 |
|
| S3 |
746.6 |
754.3 |
777.3 |
|
| S4 |
725.4 |
733.1 |
771.4 |
|
|
| 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 |
807.2 |
744.7 |
62.5 |
8.0% |
27.1 |
3.5% |
61% |
False |
False |
367,502 |
| 10 |
807.2 |
744.7 |
62.5 |
8.0% |
24.0 |
3.1% |
61% |
False |
False |
387,154 |
| 20 |
862.2 |
744.7 |
117.5 |
15.0% |
20.1 |
2.6% |
33% |
False |
False |
319,594 |
| 40 |
862.2 |
744.7 |
117.5 |
15.0% |
16.3 |
2.1% |
33% |
False |
False |
270,862 |
| 60 |
865.8 |
744.7 |
121.1 |
15.5% |
15.0 |
1.9% |
32% |
False |
False |
204,383 |
| 80 |
865.8 |
744.7 |
121.1 |
15.5% |
13.8 |
1.8% |
32% |
False |
False |
153,463 |
| 100 |
865.8 |
744.7 |
121.1 |
15.5% |
12.7 |
1.6% |
32% |
False |
False |
122,792 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
892.7 |
|
2.618 |
858.1 |
|
1.618 |
836.9 |
|
1.000 |
823.8 |
|
0.618 |
815.7 |
|
HIGH |
802.6 |
|
0.618 |
794.5 |
|
0.500 |
792.0 |
|
0.382 |
789.5 |
|
LOW |
781.4 |
|
0.618 |
768.3 |
|
1.000 |
760.2 |
|
1.618 |
747.1 |
|
2.618 |
725.9 |
|
4.250 |
691.3 |
|
|
| Fisher Pivots for day following 09-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
792.0 |
783.8 |
| PP |
789.0 |
783.5 |
| S1 |
786.1 |
783.3 |
|