CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 10-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
09-Aug-2007 |
10-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
801.0 |
783.1 |
-17.9 |
-2.2% |
757.3 |
| High |
802.6 |
804.1 |
1.5 |
0.2% |
807.2 |
| Low |
781.4 |
767.4 |
-14.0 |
-1.8% |
744.7 |
| Close |
783.1 |
787.5 |
4.4 |
0.6% |
787.5 |
| Range |
21.2 |
36.7 |
15.5 |
73.1% |
62.5 |
| ATR |
19.9 |
21.1 |
1.2 |
6.1% |
0.0 |
| Volume |
434,961 |
473,029 |
38,068 |
8.8% |
2,013,237 |
|
| Daily Pivots for day following 10-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
896.4 |
878.7 |
807.7 |
|
| R3 |
859.7 |
842.0 |
797.6 |
|
| R2 |
823.0 |
823.0 |
794.2 |
|
| R1 |
805.3 |
805.3 |
790.9 |
814.2 |
| PP |
786.3 |
786.3 |
786.3 |
790.8 |
| S1 |
768.6 |
768.6 |
784.1 |
777.5 |
| S2 |
749.6 |
749.6 |
780.8 |
|
| S3 |
712.9 |
731.9 |
777.4 |
|
| S4 |
676.2 |
695.2 |
767.3 |
|
|
| Weekly Pivots for week ending 10-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
967.3 |
939.9 |
821.9 |
|
| R3 |
904.8 |
877.4 |
804.7 |
|
| R2 |
842.3 |
842.3 |
799.0 |
|
| R1 |
814.9 |
814.9 |
793.2 |
828.6 |
| PP |
779.8 |
779.8 |
779.8 |
786.7 |
| S1 |
752.4 |
752.4 |
781.8 |
766.1 |
| S2 |
717.3 |
717.3 |
776.0 |
|
| S3 |
654.8 |
689.9 |
770.3 |
|
| S4 |
592.3 |
627.4 |
753.1 |
|
|
| 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 |
7.9% |
27.3 |
3.5% |
68% |
False |
False |
402,647 |
| 10 |
807.2 |
744.7 |
62.5 |
7.9% |
24.8 |
3.2% |
68% |
False |
False |
380,627 |
| 20 |
861.5 |
744.7 |
116.8 |
14.8% |
21.6 |
2.7% |
37% |
False |
False |
333,531 |
| 40 |
862.2 |
744.7 |
117.5 |
14.9% |
16.9 |
2.1% |
36% |
False |
False |
274,504 |
| 60 |
865.8 |
744.7 |
121.1 |
15.4% |
15.5 |
2.0% |
35% |
False |
False |
212,187 |
| 80 |
865.8 |
744.7 |
121.1 |
15.4% |
14.2 |
1.8% |
35% |
False |
False |
159,375 |
| 100 |
865.8 |
744.7 |
121.1 |
15.4% |
12.8 |
1.6% |
35% |
False |
False |
127,519 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
960.1 |
|
2.618 |
900.2 |
|
1.618 |
863.5 |
|
1.000 |
840.8 |
|
0.618 |
826.8 |
|
HIGH |
804.1 |
|
0.618 |
790.1 |
|
0.500 |
785.8 |
|
0.382 |
781.4 |
|
LOW |
767.4 |
|
0.618 |
744.7 |
|
1.000 |
730.7 |
|
1.618 |
708.0 |
|
2.618 |
671.3 |
|
4.250 |
611.4 |
|
|
| Fisher Pivots for day following 10-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
786.9 |
787.4 |
| PP |
786.3 |
787.4 |
| S1 |
785.8 |
787.3 |
|