CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 17-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
16-Aug-2007 |
17-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
758.1 |
774.3 |
16.2 |
2.1% |
788.1 |
| High |
775.3 |
806.2 |
30.9 |
4.0% |
806.2 |
| Low |
737.7 |
761.0 |
23.3 |
3.2% |
737.7 |
| Close |
774.5 |
789.9 |
15.4 |
2.0% |
789.9 |
| Range |
37.6 |
45.2 |
7.6 |
20.2% |
68.5 |
| ATR |
22.9 |
24.5 |
1.6 |
7.0% |
0.0 |
| Volume |
376,838 |
644,255 |
267,417 |
71.0% |
2,103,038 |
|
| Daily Pivots for day following 17-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
921.3 |
900.8 |
814.8 |
|
| R3 |
876.1 |
855.6 |
802.3 |
|
| R2 |
830.9 |
830.9 |
798.2 |
|
| R1 |
810.4 |
810.4 |
794.0 |
820.7 |
| PP |
785.7 |
785.7 |
785.7 |
790.8 |
| S1 |
765.2 |
765.2 |
785.8 |
775.5 |
| S2 |
740.5 |
740.5 |
781.6 |
|
| S3 |
695.3 |
720.0 |
777.5 |
|
| S4 |
650.1 |
674.8 |
765.0 |
|
|
| Weekly Pivots for week ending 17-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
983.4 |
955.2 |
827.6 |
|
| R3 |
914.9 |
886.7 |
808.7 |
|
| R2 |
846.4 |
846.4 |
802.5 |
|
| R1 |
818.2 |
818.2 |
796.2 |
832.3 |
| PP |
777.9 |
777.9 |
777.9 |
785.0 |
| S1 |
749.7 |
749.7 |
783.6 |
763.8 |
| S2 |
709.4 |
709.4 |
777.3 |
|
| S3 |
640.9 |
681.2 |
771.1 |
|
| S4 |
572.4 |
612.7 |
752.2 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
806.2 |
737.7 |
68.5 |
8.7% |
31.3 |
4.0% |
76% |
True |
False |
420,607 |
| 10 |
807.2 |
737.7 |
69.5 |
8.8% |
29.3 |
3.7% |
75% |
False |
False |
411,627 |
| 20 |
847.3 |
737.7 |
109.6 |
13.9% |
26.2 |
3.3% |
48% |
False |
False |
386,313 |
| 40 |
862.2 |
737.7 |
124.5 |
15.8% |
19.2 |
2.4% |
42% |
False |
False |
299,906 |
| 60 |
865.8 |
737.7 |
128.1 |
16.2% |
17.1 |
2.2% |
41% |
False |
False |
247,188 |
| 80 |
865.8 |
737.7 |
128.1 |
16.2% |
15.6 |
2.0% |
41% |
False |
False |
185,657 |
| 100 |
865.8 |
737.7 |
128.1 |
16.2% |
14.1 |
1.8% |
41% |
False |
False |
148,545 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
998.3 |
|
2.618 |
924.5 |
|
1.618 |
879.3 |
|
1.000 |
851.4 |
|
0.618 |
834.1 |
|
HIGH |
806.2 |
|
0.618 |
788.9 |
|
0.500 |
783.6 |
|
0.382 |
778.3 |
|
LOW |
761.0 |
|
0.618 |
733.1 |
|
1.000 |
715.8 |
|
1.618 |
687.9 |
|
2.618 |
642.7 |
|
4.250 |
568.9 |
|
|
| Fisher Pivots for day following 17-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
787.8 |
783.9 |
| PP |
785.7 |
777.9 |
| S1 |
783.6 |
772.0 |
|