CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 03-Oct-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Oct-2007 |
03-Oct-2007 |
Change |
Change % |
Previous Week |
| Open |
829.7 |
835.0 |
5.3 |
0.6% |
815.9 |
| High |
838.3 |
836.8 |
-1.5 |
-0.2% |
821.5 |
| Low |
828.4 |
828.4 |
0.0 |
0.0% |
801.8 |
| Close |
835.0 |
832.4 |
-2.6 |
-0.3% |
813.2 |
| Range |
9.9 |
8.4 |
-1.5 |
-15.2% |
19.7 |
| ATR |
15.3 |
14.8 |
-0.5 |
-3.2% |
0.0 |
| Volume |
227,254 |
202,372 |
-24,882 |
-10.9% |
920,926 |
|
| Daily Pivots for day following 03-Oct-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
857.7 |
853.5 |
837.0 |
|
| R3 |
849.3 |
845.1 |
834.7 |
|
| R2 |
840.9 |
840.9 |
833.9 |
|
| R1 |
836.7 |
836.7 |
833.2 |
834.6 |
| PP |
832.5 |
832.5 |
832.5 |
831.5 |
| S1 |
828.3 |
828.3 |
831.6 |
826.2 |
| S2 |
824.1 |
824.1 |
830.9 |
|
| S3 |
815.7 |
819.9 |
830.1 |
|
| S4 |
807.3 |
811.5 |
827.8 |
|
|
| Weekly Pivots for week ending 28-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
871.3 |
861.9 |
824.0 |
|
| R3 |
851.6 |
842.2 |
818.6 |
|
| R2 |
831.9 |
831.9 |
816.8 |
|
| R1 |
822.5 |
822.5 |
815.0 |
817.4 |
| PP |
812.2 |
812.2 |
812.2 |
809.6 |
| S1 |
802.8 |
802.8 |
811.4 |
797.7 |
| S2 |
792.5 |
792.5 |
809.6 |
|
| S3 |
772.8 |
783.1 |
807.8 |
|
| S4 |
753.1 |
763.4 |
802.4 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
838.3 |
808.1 |
30.2 |
3.6% |
12.2 |
1.5% |
80% |
False |
False |
202,716 |
| 10 |
838.3 |
801.8 |
36.5 |
4.4% |
11.8 |
1.4% |
84% |
False |
False |
219,167 |
| 20 |
838.3 |
764.4 |
73.9 |
8.9% |
14.5 |
1.7% |
92% |
False |
False |
171,545 |
| 40 |
838.3 |
743.5 |
94.8 |
11.4% |
17.6 |
2.1% |
94% |
False |
False |
86,020 |
| 60 |
869.4 |
743.5 |
125.9 |
15.1% |
17.8 |
2.1% |
71% |
False |
False |
57,472 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
872.5 |
|
2.618 |
858.8 |
|
1.618 |
850.4 |
|
1.000 |
845.2 |
|
0.618 |
842.0 |
|
HIGH |
836.8 |
|
0.618 |
833.6 |
|
0.500 |
832.6 |
|
0.382 |
831.6 |
|
LOW |
828.4 |
|
0.618 |
823.2 |
|
1.000 |
820.0 |
|
1.618 |
814.8 |
|
2.618 |
806.4 |
|
4.250 |
792.7 |
|
|
| Fisher Pivots for day following 03-Oct-2007 |
| Pivot |
1 day |
3 day |
| R1 |
832.6 |
829.3 |
| PP |
832.5 |
826.3 |
| S1 |
832.5 |
823.2 |
|