CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 13-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Aug-2007 |
13-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
783.1 |
788.1 |
5.0 |
0.6% |
757.3 |
| High |
804.1 |
805.3 |
1.2 |
0.1% |
807.2 |
| Low |
767.4 |
781.3 |
13.9 |
1.8% |
744.7 |
| Close |
787.5 |
782.3 |
-5.2 |
-0.7% |
787.5 |
| Range |
36.7 |
24.0 |
-12.7 |
-34.6% |
62.5 |
| ATR |
21.1 |
21.3 |
0.2 |
1.0% |
0.0 |
| Volume |
473,029 |
490,199 |
17,170 |
3.6% |
2,013,237 |
|
| Daily Pivots for day following 13-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
861.6 |
846.0 |
795.5 |
|
| R3 |
837.6 |
822.0 |
788.9 |
|
| R2 |
813.6 |
813.6 |
786.7 |
|
| R1 |
798.0 |
798.0 |
784.5 |
793.8 |
| PP |
789.6 |
789.6 |
789.6 |
787.6 |
| S1 |
774.0 |
774.0 |
780.1 |
769.8 |
| S2 |
765.6 |
765.6 |
777.9 |
|
| S3 |
741.6 |
750.0 |
775.7 |
|
| S4 |
717.6 |
726.0 |
769.1 |
|
|
| Weekly Pivots for week ending 10-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
967.3 |
939.9 |
821.9 |
|
| R3 |
904.8 |
877.4 |
804.7 |
|
| R2 |
842.3 |
842.3 |
799.0 |
|
| R1 |
814.9 |
814.9 |
793.2 |
828.6 |
| PP |
779.8 |
779.8 |
779.8 |
786.7 |
| S1 |
752.4 |
752.4 |
781.8 |
766.1 |
| S2 |
717.3 |
717.3 |
776.0 |
|
| S3 |
654.8 |
689.9 |
770.3 |
|
| S4 |
592.3 |
627.4 |
753.1 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
807.2 |
760.3 |
46.9 |
6.0% |
27.0 |
3.5% |
47% |
False |
False |
429,028 |
| 10 |
807.2 |
744.7 |
62.5 |
8.0% |
25.2 |
3.2% |
60% |
False |
False |
390,562 |
| 20 |
860.6 |
744.7 |
115.9 |
14.8% |
22.3 |
2.9% |
32% |
False |
False |
350,760 |
| 40 |
862.2 |
744.7 |
117.5 |
15.0% |
17.2 |
2.2% |
32% |
False |
False |
280,389 |
| 60 |
865.8 |
744.7 |
121.1 |
15.5% |
15.7 |
2.0% |
31% |
False |
False |
220,349 |
| 80 |
865.8 |
744.7 |
121.1 |
15.5% |
14.4 |
1.8% |
31% |
False |
False |
165,502 |
| 100 |
865.8 |
744.7 |
121.1 |
15.5% |
13.0 |
1.7% |
31% |
False |
False |
132,418 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
907.3 |
|
2.618 |
868.1 |
|
1.618 |
844.1 |
|
1.000 |
829.3 |
|
0.618 |
820.1 |
|
HIGH |
805.3 |
|
0.618 |
796.1 |
|
0.500 |
793.3 |
|
0.382 |
790.5 |
|
LOW |
781.3 |
|
0.618 |
766.5 |
|
1.000 |
757.3 |
|
1.618 |
742.5 |
|
2.618 |
718.5 |
|
4.250 |
679.3 |
|
|
| Fisher Pivots for day following 13-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
793.3 |
786.4 |
| PP |
789.6 |
785.0 |
| S1 |
786.0 |
783.7 |
|