CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 31-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Aug-2007 |
31-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
789.2 |
784.2 |
-5.0 |
-0.6% |
802.1 |
| High |
793.9 |
798.5 |
4.6 |
0.6% |
802.1 |
| Low |
779.0 |
784.2 |
5.2 |
0.7% |
768.1 |
| Close |
784.6 |
794.8 |
10.2 |
1.3% |
794.8 |
| Range |
14.9 |
14.3 |
-0.6 |
-4.0% |
34.0 |
| ATR |
20.6 |
20.2 |
-0.5 |
-2.2% |
0.0 |
| Volume |
220,996 |
216,742 |
-4,254 |
-1.9% |
993,186 |
|
| Daily Pivots for day following 31-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
835.4 |
829.4 |
802.7 |
|
| R3 |
821.1 |
815.1 |
798.7 |
|
| R2 |
806.8 |
806.8 |
797.4 |
|
| R1 |
800.8 |
800.8 |
796.1 |
803.8 |
| PP |
792.5 |
792.5 |
792.5 |
794.0 |
| S1 |
786.5 |
786.5 |
793.5 |
789.5 |
| S2 |
778.2 |
778.2 |
792.2 |
|
| S3 |
763.9 |
772.2 |
790.9 |
|
| S4 |
749.6 |
757.9 |
786.9 |
|
|
| Weekly Pivots for week ending 31-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
890.3 |
876.6 |
813.5 |
|
| R3 |
856.3 |
842.6 |
804.2 |
|
| R2 |
822.3 |
822.3 |
801.0 |
|
| R1 |
808.6 |
808.6 |
797.9 |
798.5 |
| PP |
788.3 |
788.3 |
788.3 |
783.3 |
| S1 |
774.6 |
774.6 |
791.7 |
764.5 |
| S2 |
754.3 |
754.3 |
788.6 |
|
| S3 |
720.3 |
740.6 |
785.5 |
|
| S4 |
686.3 |
706.6 |
776.1 |
|
|
| 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% |
17.1 |
2.1% |
79% |
False |
False |
198,637 |
| 10 |
809.5 |
768.1 |
41.4 |
5.2% |
16.1 |
2.0% |
64% |
False |
False |
242,197 |
| 20 |
809.5 |
737.7 |
71.8 |
9.0% |
22.7 |
2.9% |
80% |
False |
False |
326,912 |
| 40 |
862.2 |
737.7 |
124.5 |
15.7% |
20.1 |
2.5% |
46% |
False |
False |
303,811 |
| 60 |
862.2 |
737.7 |
124.5 |
15.7% |
17.8 |
2.2% |
46% |
False |
False |
286,011 |
| 80 |
865.8 |
737.7 |
128.1 |
16.1% |
16.3 |
2.1% |
45% |
False |
False |
215,902 |
| 100 |
865.8 |
737.7 |
128.1 |
16.1% |
15.0 |
1.9% |
45% |
False |
False |
172,755 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
859.3 |
|
2.618 |
835.9 |
|
1.618 |
821.6 |
|
1.000 |
812.8 |
|
0.618 |
807.3 |
|
HIGH |
798.5 |
|
0.618 |
793.0 |
|
0.500 |
791.4 |
|
0.382 |
789.7 |
|
LOW |
784.2 |
|
0.618 |
775.4 |
|
1.000 |
769.9 |
|
1.618 |
761.1 |
|
2.618 |
746.8 |
|
4.250 |
723.4 |
|
|
| Fisher Pivots for day following 31-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
793.7 |
791.1 |
| PP |
792.5 |
787.3 |
| S1 |
791.4 |
783.6 |
|