CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 13-Jul-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Jul-2007 |
13-Jul-2007 |
Change |
Change % |
Previous Week |
| Open |
848.5 |
858.4 |
9.9 |
1.2% |
859.1 |
| High |
861.5 |
862.2 |
0.7 |
0.1% |
862.2 |
| Low |
846.9 |
856.3 |
9.4 |
1.1% |
838.9 |
| Close |
858.4 |
859.3 |
0.9 |
0.1% |
859.3 |
| Range |
14.6 |
5.9 |
-8.7 |
-59.6% |
23.3 |
| ATR |
12.3 |
11.9 |
-0.5 |
-3.7% |
0.0 |
| Volume |
228,247 |
194,276 |
-33,971 |
-14.9% |
956,796 |
|
| Daily Pivots for day following 13-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
877.0 |
874.0 |
862.5 |
|
| R3 |
871.1 |
868.1 |
860.9 |
|
| R2 |
865.2 |
865.2 |
860.4 |
|
| R1 |
862.2 |
862.2 |
859.8 |
863.7 |
| PP |
859.3 |
859.3 |
859.3 |
860.0 |
| S1 |
856.3 |
856.3 |
858.8 |
857.8 |
| S2 |
853.4 |
853.4 |
858.2 |
|
| S3 |
847.5 |
850.4 |
857.7 |
|
| S4 |
841.6 |
844.5 |
856.1 |
|
|
| Weekly Pivots for week ending 13-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
923.4 |
914.6 |
872.1 |
|
| R3 |
900.1 |
891.3 |
865.7 |
|
| R2 |
876.8 |
876.8 |
863.6 |
|
| R1 |
868.0 |
868.0 |
861.4 |
872.4 |
| PP |
853.5 |
853.5 |
853.5 |
855.7 |
| S1 |
844.7 |
844.7 |
857.2 |
849.1 |
| S2 |
830.2 |
830.2 |
855.0 |
|
| S3 |
806.9 |
821.4 |
852.9 |
|
| S4 |
783.6 |
798.1 |
846.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
862.2 |
838.9 |
23.3 |
2.7% |
11.0 |
1.3% |
88% |
True |
False |
191,359 |
| 10 |
862.2 |
834.4 |
27.8 |
3.2% |
10.9 |
1.3% |
90% |
True |
False |
182,867 |
| 20 |
862.2 |
824.2 |
38.0 |
4.4% |
12.2 |
1.4% |
92% |
True |
False |
215,476 |
| 40 |
865.8 |
821.7 |
44.1 |
5.1% |
12.4 |
1.4% |
85% |
False |
False |
151,515 |
| 60 |
865.8 |
818.2 |
47.6 |
5.5% |
11.7 |
1.4% |
86% |
False |
False |
101,323 |
| 80 |
865.8 |
804.2 |
61.6 |
7.2% |
10.7 |
1.2% |
89% |
False |
False |
76,016 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
887.3 |
|
2.618 |
877.6 |
|
1.618 |
871.7 |
|
1.000 |
868.1 |
|
0.618 |
865.8 |
|
HIGH |
862.2 |
|
0.618 |
859.9 |
|
0.500 |
859.3 |
|
0.382 |
858.6 |
|
LOW |
856.3 |
|
0.618 |
852.7 |
|
1.000 |
850.4 |
|
1.618 |
846.8 |
|
2.618 |
840.9 |
|
4.250 |
831.2 |
|
|
| Fisher Pivots for day following 13-Jul-2007 |
| Pivot |
1 day |
3 day |
| R1 |
859.3 |
856.4 |
| PP |
859.3 |
853.5 |
| S1 |
859.3 |
850.6 |
|