CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 02-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Aug-2007 |
02-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
777.5 |
780.5 |
3.0 |
0.4% |
840.7 |
| High |
785.9 |
789.3 |
3.4 |
0.4% |
847.3 |
| Low |
764.7 |
778.3 |
13.6 |
1.8% |
771.1 |
| Close |
781.4 |
788.4 |
7.0 |
0.9% |
772.6 |
| Range |
21.2 |
11.0 |
-10.2 |
-48.1% |
76.2 |
| ATR |
17.2 |
16.8 |
-0.4 |
-2.6% |
0.0 |
| Volume |
359,812 |
423,866 |
64,054 |
17.8% |
1,816,962 |
|
| Daily Pivots for day following 02-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
818.3 |
814.4 |
794.5 |
|
| R3 |
807.3 |
803.4 |
791.4 |
|
| R2 |
796.3 |
796.3 |
790.4 |
|
| R1 |
792.4 |
792.4 |
789.4 |
794.4 |
| PP |
785.3 |
785.3 |
785.3 |
786.3 |
| S1 |
781.4 |
781.4 |
787.4 |
783.4 |
| S2 |
774.3 |
774.3 |
786.4 |
|
| S3 |
763.3 |
770.4 |
785.4 |
|
| S4 |
752.3 |
759.4 |
782.4 |
|
|
| Weekly Pivots for week ending 27-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,025.6 |
975.3 |
814.5 |
|
| R3 |
949.4 |
899.1 |
793.6 |
|
| R2 |
873.2 |
873.2 |
786.6 |
|
| R1 |
822.9 |
822.9 |
779.6 |
810.0 |
| PP |
797.0 |
797.0 |
797.0 |
790.5 |
| S1 |
746.7 |
746.7 |
765.6 |
733.8 |
| S2 |
720.8 |
720.8 |
758.6 |
|
| S3 |
644.6 |
670.5 |
751.6 |
|
| S4 |
568.4 |
594.3 |
730.7 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
799.3 |
764.7 |
34.6 |
4.4% |
20.9 |
2.6% |
68% |
False |
False |
406,806 |
| 10 |
856.6 |
764.7 |
91.9 |
11.7% |
21.7 |
2.8% |
26% |
False |
False |
351,613 |
| 20 |
862.2 |
764.7 |
97.5 |
12.4% |
16.2 |
2.1% |
24% |
False |
False |
272,814 |
| 40 |
862.2 |
764.7 |
97.5 |
12.4% |
15.0 |
1.9% |
24% |
False |
False |
259,158 |
| 60 |
865.8 |
764.7 |
101.1 |
12.8% |
13.8 |
1.8% |
23% |
False |
False |
173,946 |
| 80 |
865.8 |
764.7 |
101.1 |
12.8% |
12.8 |
1.6% |
23% |
False |
False |
130,502 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
836.1 |
|
2.618 |
818.1 |
|
1.618 |
807.1 |
|
1.000 |
800.3 |
|
0.618 |
796.1 |
|
HIGH |
789.3 |
|
0.618 |
785.1 |
|
0.500 |
783.8 |
|
0.382 |
782.5 |
|
LOW |
778.3 |
|
0.618 |
771.5 |
|
1.000 |
767.3 |
|
1.618 |
760.5 |
|
2.618 |
749.5 |
|
4.250 |
731.6 |
|
|
| Fisher Pivots for day following 02-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
786.9 |
786.1 |
| PP |
785.3 |
783.8 |
| S1 |
783.8 |
781.6 |
|