CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 12-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Sep-2007 |
12-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
774.9 |
788.6 |
13.7 |
1.8% |
798.6 |
| High |
789.4 |
790.1 |
0.7 |
0.1% |
813.2 |
| Low |
773.8 |
782.2 |
8.4 |
1.1% |
778.8 |
| Close |
788.9 |
783.7 |
-5.2 |
-0.7% |
786.0 |
| Range |
15.6 |
7.9 |
-7.7 |
-49.4% |
34.4 |
| ATR |
18.7 |
17.9 |
-0.8 |
-4.1% |
0.0 |
| Volume |
20,273 |
15,644 |
-4,629 |
-22.8% |
13,082 |
|
| Daily Pivots for day following 12-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
809.0 |
804.3 |
788.0 |
|
| R3 |
801.1 |
796.4 |
785.9 |
|
| R2 |
793.2 |
793.2 |
785.1 |
|
| R1 |
788.5 |
788.5 |
784.4 |
786.9 |
| PP |
785.3 |
785.3 |
785.3 |
784.6 |
| S1 |
780.6 |
780.6 |
783.0 |
779.0 |
| S2 |
777.4 |
777.4 |
782.3 |
|
| S3 |
769.5 |
772.7 |
781.5 |
|
| S4 |
761.6 |
764.8 |
779.4 |
|
|
| Weekly Pivots for week ending 07-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
895.9 |
875.3 |
804.9 |
|
| R3 |
861.5 |
840.9 |
795.5 |
|
| R2 |
827.1 |
827.1 |
792.3 |
|
| R1 |
806.5 |
806.5 |
789.2 |
799.6 |
| PP |
792.7 |
792.7 |
792.7 |
789.2 |
| S1 |
772.1 |
772.1 |
782.8 |
765.2 |
| S2 |
758.3 |
758.3 |
779.7 |
|
| S3 |
723.9 |
737.7 |
776.5 |
|
| S4 |
689.5 |
703.3 |
767.1 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
803.4 |
764.4 |
39.0 |
5.0% |
16.0 |
2.0% |
49% |
False |
False |
9,659 |
| 10 |
813.2 |
764.4 |
48.8 |
6.2% |
15.7 |
2.0% |
40% |
False |
False |
5,395 |
| 20 |
815.5 |
743.5 |
72.0 |
9.2% |
18.2 |
2.3% |
56% |
False |
False |
2,839 |
| 40 |
866.0 |
743.5 |
122.5 |
15.6% |
20.3 |
2.6% |
33% |
False |
False |
1,592 |
| 60 |
869.4 |
743.5 |
125.9 |
16.1% |
17.0 |
2.2% |
32% |
False |
False |
1,137 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
823.7 |
|
2.618 |
810.8 |
|
1.618 |
802.9 |
|
1.000 |
798.0 |
|
0.618 |
795.0 |
|
HIGH |
790.1 |
|
0.618 |
787.1 |
|
0.500 |
786.2 |
|
0.382 |
785.2 |
|
LOW |
782.2 |
|
0.618 |
777.3 |
|
1.000 |
774.3 |
|
1.618 |
769.4 |
|
2.618 |
761.5 |
|
4.250 |
748.6 |
|
|
| Fisher Pivots for day following 12-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
786.2 |
781.6 |
| PP |
785.3 |
779.4 |
| S1 |
784.5 |
777.3 |
|