CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 30-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Aug-2007 |
30-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
770.0 |
789.2 |
19.2 |
2.5% |
789.9 |
| High |
789.8 |
793.9 |
4.1 |
0.5% |
809.5 |
| Low |
768.7 |
779.0 |
10.3 |
1.3% |
780.1 |
| Close |
789.4 |
784.6 |
-4.8 |
-0.6% |
801.7 |
| Range |
21.1 |
14.9 |
-6.2 |
-29.4% |
29.4 |
| ATR |
21.1 |
20.6 |
-0.4 |
-2.1% |
0.0 |
| Volume |
224,825 |
220,996 |
-3,829 |
-1.7% |
1,428,787 |
|
| Daily Pivots for day following 30-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
830.5 |
822.5 |
792.8 |
|
| R3 |
815.6 |
807.6 |
788.7 |
|
| R2 |
800.7 |
800.7 |
787.3 |
|
| R1 |
792.7 |
792.7 |
786.0 |
789.3 |
| PP |
785.8 |
785.8 |
785.8 |
784.1 |
| S1 |
777.8 |
777.8 |
783.2 |
774.4 |
| S2 |
770.9 |
770.9 |
781.9 |
|
| S3 |
756.0 |
762.9 |
780.5 |
|
| S4 |
741.1 |
748.0 |
776.4 |
|
|
| 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 |
802.1 |
768.1 |
34.0 |
4.3% |
17.0 |
2.2% |
49% |
False |
False |
202,634 |
| 10 |
809.5 |
761.0 |
48.5 |
6.2% |
19.2 |
2.4% |
49% |
False |
False |
284,948 |
| 20 |
809.5 |
737.7 |
71.8 |
9.2% |
23.8 |
3.0% |
65% |
False |
False |
330,940 |
| 40 |
862.2 |
737.7 |
124.5 |
15.9% |
20.0 |
2.5% |
38% |
False |
False |
301,877 |
| 60 |
862.2 |
737.7 |
124.5 |
15.9% |
17.9 |
2.3% |
38% |
False |
False |
283,085 |
| 80 |
865.8 |
737.7 |
128.1 |
16.3% |
16.3 |
2.1% |
37% |
False |
False |
213,195 |
| 100 |
865.8 |
737.7 |
128.1 |
16.3% |
15.0 |
1.9% |
37% |
False |
False |
170,589 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
857.2 |
|
2.618 |
832.9 |
|
1.618 |
818.0 |
|
1.000 |
808.8 |
|
0.618 |
803.1 |
|
HIGH |
793.9 |
|
0.618 |
788.2 |
|
0.500 |
786.5 |
|
0.382 |
784.7 |
|
LOW |
779.0 |
|
0.618 |
769.8 |
|
1.000 |
764.1 |
|
1.618 |
754.9 |
|
2.618 |
740.0 |
|
4.250 |
715.7 |
|
|
| Fisher Pivots for day following 30-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
786.5 |
783.4 |
| PP |
785.8 |
782.2 |
| S1 |
785.2 |
781.0 |
|