CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 07-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
06-Sep-2007 |
07-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
794.3 |
793.4 |
-0.9 |
-0.1% |
793.6 |
| High |
797.2 |
794.4 |
-2.8 |
-0.4% |
807.4 |
| Low |
785.7 |
773.0 |
-12.7 |
-1.6% |
773.0 |
| Close |
793.6 |
780.3 |
-13.3 |
-1.7% |
780.3 |
| Range |
11.5 |
21.4 |
9.9 |
86.1% |
34.4 |
| ATR |
19.0 |
19.2 |
0.2 |
0.9% |
0.0 |
| Volume |
225,100 |
192,784 |
-32,316 |
-14.4% |
770,391 |
|
| Daily Pivots for day following 07-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
846.8 |
834.9 |
792.1 |
|
| R3 |
825.4 |
813.5 |
786.2 |
|
| R2 |
804.0 |
804.0 |
784.2 |
|
| R1 |
792.1 |
792.1 |
782.3 |
787.4 |
| PP |
782.6 |
782.6 |
782.6 |
780.2 |
| S1 |
770.7 |
770.7 |
778.3 |
766.0 |
| S2 |
761.2 |
761.2 |
776.4 |
|
| S3 |
739.8 |
749.3 |
774.4 |
|
| S4 |
718.4 |
727.9 |
768.5 |
|
|
| Weekly Pivots for week ending 07-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
890.1 |
869.6 |
799.2 |
|
| R3 |
855.7 |
835.2 |
789.8 |
|
| R2 |
821.3 |
821.3 |
786.6 |
|
| R1 |
800.8 |
800.8 |
783.5 |
793.9 |
| PP |
786.9 |
786.9 |
786.9 |
783.4 |
| S1 |
766.4 |
766.4 |
777.1 |
759.5 |
| S2 |
752.5 |
752.5 |
774.0 |
|
| S3 |
718.1 |
732.0 |
770.8 |
|
| S4 |
683.7 |
697.6 |
761.4 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
807.4 |
773.0 |
34.4 |
4.4% |
15.9 |
2.0% |
21% |
False |
True |
197,426 |
| 10 |
807.4 |
768.1 |
39.3 |
5.0% |
16.4 |
2.1% |
31% |
False |
False |
200,030 |
| 20 |
809.5 |
737.7 |
71.8 |
9.2% |
20.9 |
2.7% |
59% |
False |
False |
288,421 |
| 40 |
862.2 |
737.7 |
124.5 |
16.0% |
20.5 |
2.6% |
34% |
False |
False |
304,007 |
| 60 |
862.2 |
737.7 |
124.5 |
16.0% |
17.8 |
2.3% |
34% |
False |
False |
276,715 |
| 80 |
865.8 |
737.7 |
128.1 |
16.4% |
16.5 |
2.1% |
33% |
False |
False |
225,393 |
| 100 |
865.8 |
737.7 |
128.1 |
16.4% |
15.2 |
2.0% |
33% |
False |
False |
180,455 |
| 120 |
865.8 |
737.7 |
128.1 |
16.4% |
14.0 |
1.8% |
33% |
False |
False |
150,397 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
885.4 |
|
2.618 |
850.4 |
|
1.618 |
829.0 |
|
1.000 |
815.8 |
|
0.618 |
807.6 |
|
HIGH |
794.4 |
|
0.618 |
786.2 |
|
0.500 |
783.7 |
|
0.382 |
781.2 |
|
LOW |
773.0 |
|
0.618 |
759.8 |
|
1.000 |
751.6 |
|
1.618 |
738.4 |
|
2.618 |
717.0 |
|
4.250 |
682.1 |
|
|
| Fisher Pivots for day following 07-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
783.7 |
787.0 |
| PP |
782.6 |
784.8 |
| S1 |
781.4 |
782.5 |
|