CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 08-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
07-Aug-2007 |
08-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
766.4 |
777.0 |
10.6 |
1.4% |
774.0 |
| High |
782.4 |
807.2 |
24.8 |
3.2% |
798.4 |
| Low |
760.3 |
776.1 |
15.8 |
2.1% |
754.9 |
| Close |
777.1 |
801.7 |
24.6 |
3.2% |
759.9 |
| Range |
22.1 |
31.1 |
9.0 |
40.7% |
43.5 |
| ATR |
18.9 |
19.8 |
0.9 |
4.6% |
0.0 |
| Volume |
393,559 |
353,396 |
-40,163 |
-10.2% |
1,793,035 |
|
| Daily Pivots for day following 08-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
888.3 |
876.1 |
818.8 |
|
| R3 |
857.2 |
845.0 |
810.3 |
|
| R2 |
826.1 |
826.1 |
807.4 |
|
| R1 |
813.9 |
813.9 |
804.6 |
820.0 |
| PP |
795.0 |
795.0 |
795.0 |
798.1 |
| S1 |
782.8 |
782.8 |
798.8 |
788.9 |
| S2 |
763.9 |
763.9 |
796.0 |
|
| S3 |
732.8 |
751.7 |
793.1 |
|
| S4 |
701.7 |
720.6 |
784.6 |
|
|
| Weekly Pivots for week ending 03-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
901.6 |
874.2 |
783.8 |
|
| R3 |
858.1 |
830.7 |
771.9 |
|
| R2 |
814.6 |
814.6 |
767.9 |
|
| R1 |
787.2 |
787.2 |
763.9 |
779.2 |
| PP |
771.1 |
771.1 |
771.1 |
767.0 |
| S1 |
743.7 |
743.7 |
755.9 |
735.7 |
| S2 |
727.6 |
727.6 |
751.9 |
|
| S3 |
684.1 |
700.2 |
747.9 |
|
| S4 |
640.6 |
656.7 |
736.0 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
807.2 |
744.7 |
62.5 |
7.8% |
25.1 |
3.1% |
91% |
True |
False |
365,283 |
| 10 |
817.9 |
744.7 |
73.2 |
9.1% |
25.4 |
3.2% |
78% |
False |
False |
381,090 |
| 20 |
862.2 |
744.7 |
117.5 |
14.7% |
19.7 |
2.5% |
49% |
False |
False |
309,258 |
| 40 |
862.2 |
744.7 |
117.5 |
14.7% |
16.2 |
2.0% |
49% |
False |
False |
269,995 |
| 60 |
865.8 |
744.7 |
121.1 |
15.1% |
14.9 |
1.9% |
47% |
False |
False |
197,303 |
| 80 |
865.8 |
744.7 |
121.1 |
15.1% |
13.6 |
1.7% |
47% |
False |
False |
148,030 |
| 100 |
865.8 |
744.7 |
121.1 |
15.1% |
12.5 |
1.6% |
47% |
False |
False |
118,443 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
939.4 |
|
2.618 |
888.6 |
|
1.618 |
857.5 |
|
1.000 |
838.3 |
|
0.618 |
826.4 |
|
HIGH |
807.2 |
|
0.618 |
795.3 |
|
0.500 |
791.7 |
|
0.382 |
788.0 |
|
LOW |
776.1 |
|
0.618 |
756.9 |
|
1.000 |
745.0 |
|
1.618 |
725.8 |
|
2.618 |
694.7 |
|
4.250 |
643.9 |
|
|
| Fisher Pivots for day following 08-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
798.4 |
793.1 |
| PP |
795.0 |
784.5 |
| S1 |
791.7 |
776.0 |
|