CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 18-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
17-Sep-2007 |
18-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
783.0 |
775.9 |
-7.1 |
-0.9% |
779.9 |
| High |
783.0 |
809.6 |
26.6 |
3.4% |
788.2 |
| Low |
774.6 |
772.8 |
-1.8 |
-0.2% |
759.1 |
| Close |
775.3 |
808.9 |
33.6 |
4.3% |
783.8 |
| Range |
8.4 |
36.8 |
28.4 |
338.1% |
29.1 |
| ATR |
17.3 |
18.7 |
1.4 |
8.1% |
0.0 |
| Volume |
102,117 |
135,250 |
33,133 |
32.4% |
1,226,648 |
|
| Daily Pivots for day following 18-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
907.5 |
895.0 |
829.1 |
|
| R3 |
870.7 |
858.2 |
819.0 |
|
| R2 |
833.9 |
833.9 |
815.6 |
|
| R1 |
821.4 |
821.4 |
812.3 |
827.7 |
| PP |
797.1 |
797.1 |
797.1 |
800.2 |
| S1 |
784.6 |
784.6 |
805.5 |
790.9 |
| S2 |
760.3 |
760.3 |
802.2 |
|
| S3 |
723.5 |
747.8 |
798.8 |
|
| S4 |
686.7 |
711.0 |
788.7 |
|
|
| 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 |
809.6 |
769.7 |
39.9 |
4.9% |
16.6 |
2.0% |
98% |
True |
False |
182,192 |
| 10 |
809.6 |
759.1 |
50.5 |
6.2% |
16.7 |
2.1% |
99% |
True |
False |
205,917 |
| 20 |
809.6 |
759.1 |
50.5 |
6.2% |
16.6 |
2.0% |
99% |
True |
False |
209,653 |
| 40 |
839.5 |
737.7 |
101.8 |
12.6% |
21.5 |
2.7% |
70% |
False |
False |
300,654 |
| 60 |
862.2 |
737.7 |
124.5 |
15.4% |
18.4 |
2.3% |
57% |
False |
False |
272,850 |
| 80 |
865.8 |
737.7 |
128.1 |
15.8% |
16.9 |
2.1% |
56% |
False |
False |
243,590 |
| 100 |
865.8 |
737.7 |
128.1 |
15.8% |
15.8 |
2.0% |
56% |
False |
False |
195,088 |
| 120 |
865.8 |
737.7 |
128.1 |
15.8% |
14.5 |
1.8% |
56% |
False |
False |
162,589 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
966.0 |
|
2.618 |
905.9 |
|
1.618 |
869.1 |
|
1.000 |
846.4 |
|
0.618 |
832.3 |
|
HIGH |
809.6 |
|
0.618 |
795.5 |
|
0.500 |
791.2 |
|
0.382 |
786.9 |
|
LOW |
772.8 |
|
0.618 |
750.1 |
|
1.000 |
736.0 |
|
1.618 |
713.3 |
|
2.618 |
676.5 |
|
4.250 |
616.4 |
|
|
| Fisher Pivots for day following 18-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
803.0 |
802.5 |
| PP |
797.1 |
796.1 |
| S1 |
791.2 |
789.7 |
|