CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 24-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Aug-2007 |
24-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
800.9 |
790.2 |
-10.7 |
-1.3% |
789.9 |
| High |
809.5 |
801.9 |
-7.6 |
-0.9% |
809.5 |
| Low |
787.6 |
787.9 |
0.3 |
0.0% |
780.1 |
| Close |
791.0 |
801.7 |
10.7 |
1.4% |
801.7 |
| Range |
21.9 |
14.0 |
-7.9 |
-36.1% |
29.4 |
| ATR |
22.2 |
21.6 |
-0.6 |
-2.6% |
0.0 |
| Volume |
213,988 |
236,727 |
22,739 |
10.6% |
1,428,787 |
|
| Daily Pivots for day following 24-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
839.2 |
834.4 |
809.4 |
|
| R3 |
825.2 |
820.4 |
805.6 |
|
| R2 |
811.2 |
811.2 |
804.3 |
|
| R1 |
806.4 |
806.4 |
803.0 |
808.8 |
| PP |
797.2 |
797.2 |
797.2 |
798.4 |
| S1 |
792.4 |
792.4 |
800.4 |
794.8 |
| S2 |
783.2 |
783.2 |
799.1 |
|
| S3 |
769.2 |
778.4 |
797.9 |
|
| S4 |
755.2 |
764.4 |
794.0 |
|
|
| Weekly Pivots for week ending 24-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
885.3 |
872.9 |
817.9 |
|
| R3 |
855.9 |
843.5 |
809.8 |
|
| R2 |
826.5 |
826.5 |
807.1 |
|
| R1 |
814.1 |
814.1 |
804.4 |
820.3 |
| PP |
797.1 |
797.1 |
797.1 |
800.2 |
| S1 |
784.7 |
784.7 |
799.0 |
790.9 |
| S2 |
767.7 |
767.7 |
796.3 |
|
| S3 |
738.3 |
755.3 |
793.6 |
|
| S4 |
708.9 |
725.9 |
785.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
809.5 |
780.1 |
29.4 |
3.7% |
15.1 |
1.9% |
73% |
False |
False |
285,757 |
| 10 |
809.5 |
737.7 |
71.8 |
9.0% |
23.2 |
2.9% |
89% |
False |
False |
353,182 |
| 20 |
809.5 |
737.7 |
71.8 |
9.0% |
24.0 |
3.0% |
89% |
False |
False |
366,904 |
| 40 |
862.2 |
737.7 |
124.5 |
15.5% |
19.3 |
2.4% |
51% |
False |
False |
300,778 |
| 60 |
865.8 |
737.7 |
128.1 |
16.0% |
17.4 |
2.2% |
50% |
False |
False |
270,930 |
| 80 |
865.8 |
737.7 |
128.1 |
16.0% |
15.8 |
2.0% |
50% |
False |
False |
203,499 |
| 100 |
865.8 |
737.7 |
128.1 |
16.0% |
14.4 |
1.8% |
50% |
False |
False |
162,827 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
861.4 |
|
2.618 |
838.6 |
|
1.618 |
824.6 |
|
1.000 |
815.9 |
|
0.618 |
810.6 |
|
HIGH |
801.9 |
|
0.618 |
796.6 |
|
0.500 |
794.9 |
|
0.382 |
793.2 |
|
LOW |
787.9 |
|
0.618 |
779.2 |
|
1.000 |
773.9 |
|
1.618 |
765.2 |
|
2.618 |
751.2 |
|
4.250 |
728.4 |
|
|
| Fisher Pivots for day following 24-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
799.4 |
800.7 |
| PP |
797.2 |
799.6 |
| S1 |
794.9 |
798.6 |
|