CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 14-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Sep-2007 |
14-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
778.1 |
779.5 |
1.4 |
0.2% |
779.9 |
| High |
788.2 |
785.5 |
-2.7 |
-0.3% |
788.2 |
| Low |
774.4 |
769.7 |
-4.7 |
-0.6% |
759.1 |
| Close |
779.6 |
783.8 |
4.2 |
0.5% |
783.8 |
| Range |
13.8 |
15.8 |
2.0 |
14.5% |
29.1 |
| ATR |
18.1 |
17.9 |
-0.2 |
-0.9% |
0.0 |
| Volume |
257,101 |
197,933 |
-59,168 |
-23.0% |
1,226,648 |
|
| Daily Pivots for day following 14-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
827.1 |
821.2 |
792.5 |
|
| R3 |
811.3 |
805.4 |
788.1 |
|
| R2 |
795.5 |
795.5 |
786.7 |
|
| R1 |
789.6 |
789.6 |
785.2 |
792.6 |
| PP |
779.7 |
779.7 |
779.7 |
781.1 |
| S1 |
773.8 |
773.8 |
782.4 |
776.8 |
| S2 |
763.9 |
763.9 |
780.9 |
|
| S3 |
748.1 |
758.0 |
779.5 |
|
| S4 |
732.3 |
742.2 |
775.1 |
|
|
| Weekly Pivots for week ending 14-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
864.3 |
853.2 |
799.8 |
|
| R3 |
835.2 |
824.1 |
791.8 |
|
| R2 |
806.1 |
806.1 |
789.1 |
|
| R1 |
795.0 |
795.0 |
786.5 |
800.6 |
| PP |
777.0 |
777.0 |
777.0 |
779.8 |
| S1 |
765.9 |
765.9 |
781.1 |
771.5 |
| S2 |
747.9 |
747.9 |
778.5 |
|
| S3 |
718.8 |
736.8 |
775.8 |
|
| S4 |
689.7 |
707.7 |
767.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
788.2 |
759.1 |
29.1 |
3.7% |
15.3 |
1.9% |
85% |
False |
False |
245,329 |
| 10 |
807.4 |
759.1 |
48.3 |
6.2% |
15.6 |
2.0% |
51% |
False |
False |
221,378 |
| 20 |
809.5 |
759.1 |
50.4 |
6.4% |
17.4 |
2.2% |
49% |
False |
False |
253,163 |
| 40 |
856.6 |
737.7 |
118.9 |
15.2% |
21.2 |
2.7% |
39% |
False |
False |
308,718 |
| 60 |
862.2 |
737.7 |
124.5 |
15.9% |
18.0 |
2.3% |
37% |
False |
False |
277,699 |
| 80 |
865.8 |
737.7 |
128.1 |
16.3% |
16.7 |
2.1% |
36% |
False |
False |
240,635 |
| 100 |
865.8 |
737.7 |
128.1 |
16.3% |
15.6 |
2.0% |
36% |
False |
False |
192,717 |
| 120 |
865.8 |
737.7 |
128.1 |
16.3% |
14.3 |
1.8% |
36% |
False |
False |
160,613 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
852.7 |
|
2.618 |
826.9 |
|
1.618 |
811.1 |
|
1.000 |
801.3 |
|
0.618 |
795.3 |
|
HIGH |
785.5 |
|
0.618 |
779.5 |
|
0.500 |
777.6 |
|
0.382 |
775.7 |
|
LOW |
769.7 |
|
0.618 |
759.9 |
|
1.000 |
753.9 |
|
1.618 |
744.1 |
|
2.618 |
728.3 |
|
4.250 |
702.6 |
|
|
| Fisher Pivots for day following 14-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
781.7 |
782.2 |
| PP |
779.7 |
780.6 |
| S1 |
777.6 |
779.0 |
|