CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 22-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Aug-2007 |
22-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
789.5 |
792.1 |
2.6 |
0.3% |
788.1 |
| High |
796.1 |
802.4 |
6.3 |
0.8% |
806.2 |
| Low |
784.0 |
790.8 |
6.8 |
0.9% |
737.7 |
| Close |
792.1 |
801.0 |
8.9 |
1.1% |
789.9 |
| Range |
12.1 |
11.6 |
-0.5 |
-4.1% |
68.5 |
| ATR |
23.0 |
22.2 |
-0.8 |
-3.5% |
0.0 |
| Volume |
265,370 |
249,400 |
-15,970 |
-6.0% |
2,103,038 |
|
| Daily Pivots for day following 22-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
832.9 |
828.5 |
807.4 |
|
| R3 |
821.3 |
816.9 |
804.2 |
|
| R2 |
809.7 |
809.7 |
803.1 |
|
| R1 |
805.3 |
805.3 |
802.1 |
807.5 |
| PP |
798.1 |
798.1 |
798.1 |
799.2 |
| S1 |
793.7 |
793.7 |
799.9 |
795.9 |
| S2 |
786.5 |
786.5 |
798.9 |
|
| S3 |
774.9 |
782.1 |
797.8 |
|
| S4 |
763.3 |
770.5 |
794.6 |
|
|
| 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 |
8.6% |
24.5 |
3.1% |
92% |
False |
False |
399,833 |
| 10 |
806.2 |
737.7 |
68.5 |
8.6% |
25.4 |
3.2% |
92% |
False |
False |
398,910 |
| 20 |
817.9 |
737.7 |
80.2 |
10.0% |
25.4 |
3.2% |
79% |
False |
False |
390,000 |
| 40 |
862.2 |
737.7 |
124.5 |
15.5% |
19.2 |
2.4% |
51% |
False |
False |
303,375 |
| 60 |
865.8 |
737.7 |
128.1 |
16.0% |
17.2 |
2.1% |
49% |
False |
False |
263,463 |
| 80 |
865.8 |
737.7 |
128.1 |
16.0% |
15.6 |
2.0% |
49% |
False |
False |
197,877 |
| 100 |
865.8 |
737.7 |
128.1 |
16.0% |
14.2 |
1.8% |
49% |
False |
False |
158,321 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
851.7 |
|
2.618 |
832.8 |
|
1.618 |
821.2 |
|
1.000 |
814.0 |
|
0.618 |
809.6 |
|
HIGH |
802.4 |
|
0.618 |
798.0 |
|
0.500 |
796.6 |
|
0.382 |
795.2 |
|
LOW |
790.8 |
|
0.618 |
783.6 |
|
1.000 |
779.2 |
|
1.618 |
772.0 |
|
2.618 |
760.4 |
|
4.250 |
741.5 |
|
|
| Fisher Pivots for day following 22-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
799.5 |
797.8 |
| PP |
798.1 |
794.5 |
| S1 |
796.6 |
791.3 |
|