CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 23-Jul-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Jul-2007 |
23-Jul-2007 |
Change |
Change % |
Previous Week |
| Open |
854.5 |
840.7 |
-13.8 |
-1.6% |
859.4 |
| High |
856.6 |
847.3 |
-9.3 |
-1.1% |
861.5 |
| Low |
834.6 |
838.0 |
3.4 |
0.4% |
834.6 |
| Close |
841.4 |
838.4 |
-3.0 |
-0.4% |
841.4 |
| Range |
22.0 |
9.3 |
-12.7 |
-57.7% |
26.9 |
| ATR |
12.3 |
12.1 |
-0.2 |
-1.8% |
0.0 |
| Volume |
203,439 |
356,452 |
153,013 |
75.2% |
1,047,403 |
|
| Daily Pivots for day following 23-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
869.1 |
863.1 |
843.5 |
|
| R3 |
859.8 |
853.8 |
841.0 |
|
| R2 |
850.5 |
850.5 |
840.1 |
|
| R1 |
844.5 |
844.5 |
839.3 |
842.9 |
| PP |
841.2 |
841.2 |
841.2 |
840.4 |
| S1 |
835.2 |
835.2 |
837.5 |
833.6 |
| S2 |
831.9 |
831.9 |
836.7 |
|
| S3 |
822.6 |
825.9 |
835.8 |
|
| S4 |
813.3 |
816.6 |
833.3 |
|
|
| Weekly Pivots for week ending 20-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
926.5 |
910.9 |
856.2 |
|
| R3 |
899.6 |
884.0 |
848.8 |
|
| R2 |
872.7 |
872.7 |
846.3 |
|
| R1 |
857.1 |
857.1 |
843.9 |
851.5 |
| PP |
845.8 |
845.8 |
845.8 |
843.0 |
| S1 |
830.2 |
830.2 |
838.9 |
824.6 |
| S2 |
818.9 |
818.9 |
836.5 |
|
| S3 |
792.0 |
803.3 |
834.0 |
|
| S4 |
765.1 |
776.4 |
826.6 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
860.6 |
834.6 |
26.0 |
3.1% |
12.8 |
1.5% |
15% |
False |
False |
251,647 |
| 10 |
862.2 |
834.6 |
27.6 |
3.3% |
12.2 |
1.5% |
14% |
False |
False |
222,838 |
| 20 |
862.2 |
824.2 |
38.0 |
4.5% |
12.0 |
1.4% |
37% |
False |
False |
217,242 |
| 40 |
865.8 |
824.2 |
41.6 |
5.0% |
12.3 |
1.5% |
34% |
False |
False |
186,525 |
| 60 |
865.8 |
818.2 |
47.6 |
5.7% |
12.1 |
1.4% |
42% |
False |
False |
124,711 |
| 80 |
865.8 |
806.5 |
59.3 |
7.1% |
11.0 |
1.3% |
54% |
False |
False |
93,557 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
886.8 |
|
2.618 |
871.6 |
|
1.618 |
862.3 |
|
1.000 |
856.6 |
|
0.618 |
853.0 |
|
HIGH |
847.3 |
|
0.618 |
843.7 |
|
0.500 |
842.7 |
|
0.382 |
841.6 |
|
LOW |
838.0 |
|
0.618 |
832.3 |
|
1.000 |
828.7 |
|
1.618 |
823.0 |
|
2.618 |
813.7 |
|
4.250 |
798.5 |
|
|
| Fisher Pivots for day following 23-Jul-2007 |
| Pivot |
1 day |
3 day |
| R1 |
842.7 |
846.7 |
| PP |
841.2 |
843.9 |
| S1 |
839.8 |
841.2 |
|