CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 24-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Sep-2007 |
24-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
815.4 |
815.9 |
0.5 |
0.1% |
788.9 |
| High |
823.6 |
821.5 |
-2.1 |
-0.3% |
829.2 |
| Low |
814.6 |
808.2 |
-6.4 |
-0.8% |
777.5 |
| Close |
816.9 |
811.6 |
-5.3 |
-0.6% |
816.9 |
| Range |
9.0 |
13.3 |
4.3 |
47.8% |
51.7 |
| ATR |
17.3 |
17.0 |
-0.3 |
-1.6% |
0.0 |
| Volume |
274,225 |
158,154 |
-116,071 |
-42.3% |
1,493,148 |
|
| Daily Pivots for day following 24-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
853.7 |
845.9 |
818.9 |
|
| R3 |
840.4 |
832.6 |
815.3 |
|
| R2 |
827.1 |
827.1 |
814.0 |
|
| R1 |
819.3 |
819.3 |
812.8 |
816.6 |
| PP |
813.8 |
813.8 |
813.8 |
812.4 |
| S1 |
806.0 |
806.0 |
810.4 |
803.3 |
| S2 |
800.5 |
800.5 |
809.2 |
|
| S3 |
787.2 |
792.7 |
807.9 |
|
| S4 |
773.9 |
779.4 |
804.3 |
|
|
| Weekly Pivots for week ending 21-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
963.0 |
941.6 |
845.3 |
|
| R3 |
911.3 |
889.9 |
831.1 |
|
| R2 |
859.6 |
859.6 |
826.4 |
|
| R1 |
838.2 |
838.2 |
821.6 |
848.9 |
| PP |
807.9 |
807.9 |
807.9 |
813.2 |
| S1 |
786.5 |
786.5 |
812.2 |
797.2 |
| S2 |
756.2 |
756.2 |
807.4 |
|
| S3 |
704.5 |
734.8 |
802.7 |
|
| S4 |
652.8 |
683.1 |
788.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
829.2 |
777.5 |
51.7 |
6.4% |
17.8 |
2.2% |
66% |
False |
False |
287,361 |
| 10 |
829.2 |
773.8 |
55.4 |
6.8% |
15.1 |
1.9% |
68% |
False |
False |
200,993 |
| 20 |
829.2 |
764.4 |
64.8 |
8.0% |
15.9 |
2.0% |
73% |
False |
False |
101,431 |
| 40 |
829.2 |
743.5 |
85.7 |
10.6% |
19.4 |
2.4% |
79% |
False |
False |
50,844 |
| 60 |
869.4 |
743.5 |
125.9 |
15.5% |
17.3 |
2.1% |
54% |
False |
False |
34,016 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
878.0 |
|
2.618 |
856.3 |
|
1.618 |
843.0 |
|
1.000 |
834.8 |
|
0.618 |
829.7 |
|
HIGH |
821.5 |
|
0.618 |
816.4 |
|
0.500 |
814.9 |
|
0.382 |
813.3 |
|
LOW |
808.2 |
|
0.618 |
800.0 |
|
1.000 |
794.9 |
|
1.618 |
786.7 |
|
2.618 |
773.4 |
|
4.250 |
751.7 |
|
|
| Fisher Pivots for day following 24-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
814.9 |
816.3 |
| PP |
813.8 |
814.7 |
| S1 |
812.7 |
813.2 |
|