CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 29-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
28-Aug-2007 |
29-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
790.5 |
770.0 |
-20.5 |
-2.6% |
789.9 |
| High |
790.6 |
789.8 |
-0.8 |
-0.1% |
809.5 |
| Low |
768.1 |
768.7 |
0.6 |
0.1% |
780.1 |
| Close |
770.0 |
789.4 |
19.4 |
2.5% |
801.7 |
| Range |
22.5 |
21.1 |
-1.4 |
-6.2% |
29.4 |
| ATR |
21.1 |
21.1 |
0.0 |
0.0% |
0.0 |
| Volume |
158,962 |
224,825 |
65,863 |
41.4% |
1,428,787 |
|
| Daily Pivots for day following 29-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
845.9 |
838.8 |
801.0 |
|
| R3 |
824.8 |
817.7 |
795.2 |
|
| R2 |
803.7 |
803.7 |
793.3 |
|
| R1 |
796.6 |
796.6 |
791.3 |
800.2 |
| PP |
782.6 |
782.6 |
782.6 |
784.4 |
| S1 |
775.5 |
775.5 |
787.5 |
779.1 |
| S2 |
761.5 |
761.5 |
785.5 |
|
| S3 |
740.4 |
754.4 |
783.6 |
|
| S4 |
719.3 |
733.3 |
777.8 |
|
|
| 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 |
768.1 |
41.4 |
5.2% |
18.4 |
2.3% |
51% |
False |
False |
201,232 |
| 10 |
809.5 |
737.7 |
71.8 |
9.1% |
21.4 |
2.7% |
72% |
False |
False |
300,532 |
| 20 |
809.5 |
737.7 |
71.8 |
9.1% |
23.6 |
3.0% |
72% |
False |
False |
341,084 |
| 40 |
862.2 |
737.7 |
124.5 |
15.8% |
19.8 |
2.5% |
42% |
False |
False |
298,502 |
| 60 |
862.2 |
737.7 |
124.5 |
15.8% |
17.9 |
2.3% |
42% |
False |
False |
279,930 |
| 80 |
865.8 |
737.7 |
128.1 |
16.2% |
16.2 |
2.1% |
40% |
False |
False |
210,433 |
| 100 |
865.8 |
737.7 |
128.1 |
16.2% |
14.9 |
1.9% |
40% |
False |
False |
168,380 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
879.5 |
|
2.618 |
845.0 |
|
1.618 |
823.9 |
|
1.000 |
810.9 |
|
0.618 |
802.8 |
|
HIGH |
789.8 |
|
0.618 |
781.7 |
|
0.500 |
779.3 |
|
0.382 |
776.8 |
|
LOW |
768.7 |
|
0.618 |
755.7 |
|
1.000 |
747.6 |
|
1.618 |
734.6 |
|
2.618 |
713.5 |
|
4.250 |
679.0 |
|
|
| Fisher Pivots for day following 29-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
786.0 |
788.0 |
| PP |
782.6 |
786.5 |
| S1 |
779.3 |
785.1 |
|