CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 13-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Sep-2007 |
13-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
788.6 |
783.3 |
-5.3 |
-0.7% |
798.6 |
| High |
790.1 |
793.5 |
3.4 |
0.4% |
813.2 |
| Low |
782.2 |
779.8 |
-2.4 |
-0.3% |
778.8 |
| Close |
783.7 |
784.9 |
1.2 |
0.2% |
786.0 |
| Range |
7.9 |
13.7 |
5.8 |
73.4% |
34.4 |
| ATR |
17.9 |
17.6 |
-0.3 |
-1.7% |
0.0 |
| Volume |
15,644 |
78,588 |
62,944 |
402.4% |
13,082 |
|
| Daily Pivots for day following 13-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
827.2 |
819.7 |
792.4 |
|
| R3 |
813.5 |
806.0 |
788.7 |
|
| R2 |
799.8 |
799.8 |
787.4 |
|
| R1 |
792.3 |
792.3 |
786.2 |
796.1 |
| PP |
786.1 |
786.1 |
786.1 |
787.9 |
| S1 |
778.6 |
778.6 |
783.6 |
782.4 |
| S2 |
772.4 |
772.4 |
782.4 |
|
| S3 |
758.7 |
764.9 |
781.1 |
|
| S4 |
745.0 |
751.2 |
777.4 |
|
|
| 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 |
800.0 |
764.4 |
35.6 |
4.5% |
16.4 |
2.1% |
58% |
False |
False |
24,862 |
| 10 |
813.2 |
764.4 |
48.8 |
6.2% |
15.0 |
1.9% |
42% |
False |
False |
13,192 |
| 20 |
815.5 |
743.5 |
72.0 |
9.2% |
17.6 |
2.2% |
58% |
False |
False |
6,762 |
| 40 |
866.0 |
743.5 |
122.5 |
15.6% |
20.3 |
2.6% |
34% |
False |
False |
3,552 |
| 60 |
869.4 |
743.5 |
125.9 |
16.0% |
17.0 |
2.2% |
33% |
False |
False |
2,447 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
851.7 |
|
2.618 |
829.4 |
|
1.618 |
815.7 |
|
1.000 |
807.2 |
|
0.618 |
802.0 |
|
HIGH |
793.5 |
|
0.618 |
788.3 |
|
0.500 |
786.7 |
|
0.382 |
785.0 |
|
LOW |
779.8 |
|
0.618 |
771.3 |
|
1.000 |
766.1 |
|
1.618 |
757.6 |
|
2.618 |
743.9 |
|
4.250 |
721.6 |
|
|
| Fisher Pivots for day following 13-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
786.7 |
784.5 |
| PP |
786.1 |
784.1 |
| S1 |
785.5 |
783.7 |
|