CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 15-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Aug-2007 |
15-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
782.4 |
769.0 |
-13.4 |
-1.7% |
757.3 |
| High |
787.8 |
779.4 |
-8.4 |
-1.1% |
807.2 |
| Low |
765.1 |
752.6 |
-12.5 |
-1.6% |
744.7 |
| Close |
769.4 |
757.8 |
-11.6 |
-1.5% |
787.5 |
| Range |
22.7 |
26.8 |
4.1 |
18.1% |
62.5 |
| ATR |
21.4 |
21.8 |
0.4 |
1.8% |
0.0 |
| Volume |
291,930 |
299,816 |
7,886 |
2.7% |
2,013,237 |
|
| Daily Pivots for day following 15-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
843.7 |
827.5 |
772.5 |
|
| R3 |
816.9 |
800.7 |
765.2 |
|
| R2 |
790.1 |
790.1 |
762.7 |
|
| R1 |
773.9 |
773.9 |
760.3 |
768.6 |
| PP |
763.3 |
763.3 |
763.3 |
760.6 |
| S1 |
747.1 |
747.1 |
755.3 |
741.8 |
| S2 |
736.5 |
736.5 |
752.9 |
|
| S3 |
709.7 |
720.3 |
750.4 |
|
| S4 |
682.9 |
693.5 |
743.1 |
|
|
| 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 |
805.3 |
752.6 |
52.7 |
7.0% |
26.3 |
3.5% |
10% |
False |
True |
397,987 |
| 10 |
807.2 |
744.7 |
62.5 |
8.2% |
25.7 |
3.4% |
21% |
False |
False |
381,635 |
| 20 |
858.8 |
744.7 |
114.1 |
15.1% |
23.6 |
3.1% |
11% |
False |
False |
361,325 |
| 40 |
862.2 |
744.7 |
117.5 |
15.5% |
17.9 |
2.4% |
11% |
False |
False |
285,278 |
| 60 |
865.8 |
744.7 |
121.1 |
16.0% |
16.1 |
2.1% |
11% |
False |
False |
230,198 |
| 80 |
865.8 |
744.7 |
121.1 |
16.0% |
14.8 |
2.0% |
11% |
False |
False |
172,895 |
| 100 |
865.8 |
744.7 |
121.1 |
16.0% |
13.4 |
1.8% |
11% |
False |
False |
138,335 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
893.3 |
|
2.618 |
849.6 |
|
1.618 |
822.8 |
|
1.000 |
806.2 |
|
0.618 |
796.0 |
|
HIGH |
779.4 |
|
0.618 |
769.2 |
|
0.500 |
766.0 |
|
0.382 |
762.8 |
|
LOW |
752.6 |
|
0.618 |
736.0 |
|
1.000 |
725.8 |
|
1.618 |
709.2 |
|
2.618 |
682.4 |
|
4.250 |
638.7 |
|
|
| Fisher Pivots for day following 15-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
766.0 |
779.0 |
| PP |
763.3 |
771.9 |
| S1 |
760.5 |
764.9 |
|