CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 11-Jul-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Jul-2007 |
11-Jul-2007 |
Change |
Change % |
Previous Week |
| Open |
858.3 |
843.9 |
-14.4 |
-1.7% |
840.1 |
| High |
860.2 |
849.0 |
-11.2 |
-1.3% |
860.0 |
| Low |
842.5 |
838.9 |
-3.6 |
-0.4% |
839.4 |
| Close |
843.9 |
848.6 |
4.7 |
0.6% |
859.0 |
| Range |
17.7 |
10.1 |
-7.6 |
-42.9% |
20.6 |
| ATR |
12.3 |
12.2 |
-0.2 |
-1.3% |
0.0 |
| Volume |
135,853 |
266,156 |
130,303 |
95.9% |
656,282 |
|
| Daily Pivots for day following 11-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
875.8 |
872.3 |
854.2 |
|
| R3 |
865.7 |
862.2 |
851.4 |
|
| R2 |
855.6 |
855.6 |
850.5 |
|
| R1 |
852.1 |
852.1 |
849.5 |
853.9 |
| PP |
845.5 |
845.5 |
845.5 |
846.4 |
| S1 |
842.0 |
842.0 |
847.7 |
843.8 |
| S2 |
835.4 |
835.4 |
846.7 |
|
| S3 |
825.3 |
831.9 |
845.8 |
|
| S4 |
815.2 |
821.8 |
843.0 |
|
|
| Weekly Pivots for week ending 06-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
914.6 |
907.4 |
870.3 |
|
| R3 |
894.0 |
886.8 |
864.7 |
|
| R2 |
873.4 |
873.4 |
862.8 |
|
| R1 |
866.2 |
866.2 |
860.9 |
869.8 |
| PP |
852.8 |
852.8 |
852.8 |
854.6 |
| S1 |
845.6 |
845.6 |
857.1 |
849.2 |
| S2 |
832.2 |
832.2 |
855.2 |
|
| S3 |
811.6 |
825.0 |
853.3 |
|
| S4 |
791.0 |
804.4 |
847.7 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
861.4 |
838.9 |
22.5 |
2.7% |
10.5 |
1.2% |
43% |
False |
True |
151,931 |
| 10 |
861.4 |
824.2 |
37.2 |
4.4% |
12.0 |
1.4% |
66% |
False |
False |
196,076 |
| 20 |
861.4 |
824.2 |
37.2 |
4.4% |
12.6 |
1.5% |
66% |
False |
False |
230,732 |
| 40 |
865.8 |
819.5 |
46.3 |
5.5% |
12.5 |
1.5% |
63% |
False |
False |
141,325 |
| 60 |
865.8 |
818.2 |
47.6 |
5.6% |
11.6 |
1.4% |
64% |
False |
False |
94,287 |
| 80 |
865.8 |
798.4 |
67.4 |
7.9% |
10.7 |
1.3% |
74% |
False |
False |
70,740 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
891.9 |
|
2.618 |
875.4 |
|
1.618 |
865.3 |
|
1.000 |
859.1 |
|
0.618 |
855.2 |
|
HIGH |
849.0 |
|
0.618 |
845.1 |
|
0.500 |
844.0 |
|
0.382 |
842.8 |
|
LOW |
838.9 |
|
0.618 |
832.7 |
|
1.000 |
828.8 |
|
1.618 |
822.6 |
|
2.618 |
812.5 |
|
4.250 |
796.0 |
|
|
| Fisher Pivots for day following 11-Jul-2007 |
| Pivot |
1 day |
3 day |
| R1 |
847.1 |
850.2 |
| PP |
845.5 |
849.6 |
| S1 |
844.0 |
849.1 |
|