CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 20-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Sep-2007 |
20-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
808.4 |
818.5 |
10.1 |
1.2% |
779.9 |
| High |
823.9 |
818.5 |
-5.4 |
-0.7% |
788.2 |
| Low |
808.1 |
805.1 |
-3.0 |
-0.4% |
759.1 |
| Close |
819.2 |
810.8 |
-8.4 |
-1.0% |
783.8 |
| Range |
15.8 |
13.4 |
-2.4 |
-15.2% |
29.1 |
| ATR |
18.5 |
18.2 |
-0.3 |
-1.7% |
0.0 |
| Volume |
155,045 |
135,093 |
-19,952 |
-12.9% |
1,226,648 |
|
| Daily Pivots for day following 20-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
851.7 |
844.6 |
818.2 |
|
| R3 |
838.3 |
831.2 |
814.5 |
|
| R2 |
824.9 |
824.9 |
813.3 |
|
| R1 |
817.8 |
817.8 |
812.0 |
814.7 |
| PP |
811.5 |
811.5 |
811.5 |
809.9 |
| S1 |
804.4 |
804.4 |
809.6 |
801.3 |
| S2 |
798.1 |
798.1 |
808.3 |
|
| S3 |
784.7 |
791.0 |
807.1 |
|
| S4 |
771.3 |
777.6 |
803.4 |
|
|
| 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 |
823.9 |
769.7 |
54.2 |
6.7% |
18.0 |
2.2% |
76% |
False |
False |
145,087 |
| 10 |
823.9 |
759.1 |
64.8 |
8.0% |
17.2 |
2.1% |
80% |
False |
False |
194,693 |
| 20 |
823.9 |
759.1 |
64.8 |
8.0% |
16.8 |
2.1% |
80% |
False |
False |
198,422 |
| 40 |
823.9 |
737.7 |
86.2 |
10.6% |
21.1 |
2.6% |
85% |
False |
False |
294,211 |
| 60 |
862.2 |
737.7 |
124.5 |
15.4% |
18.4 |
2.3% |
59% |
False |
False |
268,391 |
| 80 |
865.8 |
737.7 |
128.1 |
15.8% |
17.1 |
2.1% |
57% |
False |
False |
247,202 |
| 100 |
865.8 |
737.7 |
128.1 |
15.8% |
15.9 |
2.0% |
57% |
False |
False |
197,986 |
| 120 |
865.8 |
737.7 |
128.1 |
15.8% |
14.6 |
1.8% |
57% |
False |
False |
165,005 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
875.5 |
|
2.618 |
853.6 |
|
1.618 |
840.2 |
|
1.000 |
831.9 |
|
0.618 |
826.8 |
|
HIGH |
818.5 |
|
0.618 |
813.4 |
|
0.500 |
811.8 |
|
0.382 |
810.2 |
|
LOW |
805.1 |
|
0.618 |
796.8 |
|
1.000 |
791.7 |
|
1.618 |
783.4 |
|
2.618 |
770.0 |
|
4.250 |
748.2 |
|
|
| Fisher Pivots for day following 20-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
811.8 |
806.7 |
| PP |
811.5 |
802.5 |
| S1 |
811.1 |
798.4 |
|