CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 23-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Aug-2007 |
23-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
792.1 |
800.9 |
8.8 |
1.1% |
788.1 |
| High |
802.4 |
809.5 |
7.1 |
0.9% |
806.2 |
| Low |
790.8 |
787.6 |
-3.2 |
-0.4% |
737.7 |
| Close |
801.0 |
791.0 |
-10.0 |
-1.2% |
789.9 |
| Range |
11.6 |
21.9 |
10.3 |
88.8% |
68.5 |
| ATR |
22.2 |
22.2 |
0.0 |
-0.1% |
0.0 |
| Volume |
249,400 |
213,988 |
-35,412 |
-14.2% |
2,103,038 |
|
| Daily Pivots for day following 23-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
861.7 |
848.3 |
803.0 |
|
| R3 |
839.8 |
826.4 |
797.0 |
|
| R2 |
817.9 |
817.9 |
795.0 |
|
| R1 |
804.5 |
804.5 |
793.0 |
800.3 |
| PP |
796.0 |
796.0 |
796.0 |
793.9 |
| S1 |
782.6 |
782.6 |
789.0 |
778.4 |
| S2 |
774.1 |
774.1 |
787.0 |
|
| S3 |
752.2 |
760.7 |
785.0 |
|
| S4 |
730.3 |
738.8 |
779.0 |
|
|
| 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 |
809.5 |
761.0 |
48.5 |
6.1% |
21.3 |
2.7% |
62% |
True |
False |
367,263 |
| 10 |
809.5 |
737.7 |
71.8 |
9.1% |
25.5 |
3.2% |
74% |
True |
False |
376,812 |
| 20 |
809.5 |
737.7 |
71.8 |
9.1% |
24.7 |
3.1% |
74% |
True |
False |
381,983 |
| 40 |
862.2 |
737.7 |
124.5 |
15.7% |
19.2 |
2.4% |
43% |
False |
False |
301,834 |
| 60 |
865.8 |
737.7 |
128.1 |
16.2% |
17.3 |
2.2% |
42% |
False |
False |
267,018 |
| 80 |
865.8 |
737.7 |
128.1 |
16.2% |
15.8 |
2.0% |
42% |
False |
False |
200,550 |
| 100 |
865.8 |
737.7 |
128.1 |
16.2% |
14.3 |
1.8% |
42% |
False |
False |
160,460 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
902.6 |
|
2.618 |
866.8 |
|
1.618 |
844.9 |
|
1.000 |
831.4 |
|
0.618 |
823.0 |
|
HIGH |
809.5 |
|
0.618 |
801.1 |
|
0.500 |
798.6 |
|
0.382 |
796.0 |
|
LOW |
787.6 |
|
0.618 |
774.1 |
|
1.000 |
765.7 |
|
1.618 |
752.2 |
|
2.618 |
730.3 |
|
4.250 |
694.5 |
|
|
| Fisher Pivots for day following 23-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
798.6 |
796.8 |
| PP |
796.0 |
794.8 |
| S1 |
793.5 |
792.9 |
|