CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 14-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Aug-2007 |
14-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
788.1 |
782.4 |
-5.7 |
-0.7% |
757.3 |
| High |
805.3 |
787.8 |
-17.5 |
-2.2% |
807.2 |
| Low |
781.3 |
765.1 |
-16.2 |
-2.1% |
744.7 |
| Close |
782.3 |
769.4 |
-12.9 |
-1.6% |
787.5 |
| Range |
24.0 |
22.7 |
-1.3 |
-5.4% |
62.5 |
| ATR |
21.3 |
21.4 |
0.1 |
0.5% |
0.0 |
| Volume |
490,199 |
291,930 |
-198,269 |
-40.4% |
2,013,237 |
|
| Daily Pivots for day following 14-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
842.2 |
828.5 |
781.9 |
|
| R3 |
819.5 |
805.8 |
775.6 |
|
| R2 |
796.8 |
796.8 |
773.6 |
|
| R1 |
783.1 |
783.1 |
771.5 |
778.6 |
| PP |
774.1 |
774.1 |
774.1 |
771.9 |
| S1 |
760.4 |
760.4 |
767.3 |
755.9 |
| S2 |
751.4 |
751.4 |
765.2 |
|
| S3 |
728.7 |
737.7 |
763.2 |
|
| S4 |
706.0 |
715.0 |
756.9 |
|
|
| 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 |
765.1 |
42.1 |
5.5% |
27.1 |
3.5% |
10% |
False |
True |
408,703 |
| 10 |
807.2 |
744.7 |
62.5 |
8.1% |
25.1 |
3.3% |
40% |
False |
False |
387,634 |
| 20 |
858.8 |
744.7 |
114.1 |
14.8% |
23.0 |
3.0% |
22% |
False |
False |
356,335 |
| 40 |
862.2 |
744.7 |
117.5 |
15.3% |
17.5 |
2.3% |
21% |
False |
False |
282,124 |
| 60 |
865.8 |
744.7 |
121.1 |
15.7% |
15.9 |
2.1% |
20% |
False |
False |
225,208 |
| 80 |
865.8 |
744.7 |
121.1 |
15.7% |
14.5 |
1.9% |
20% |
False |
False |
169,150 |
| 100 |
865.8 |
744.7 |
121.1 |
15.7% |
13.2 |
1.7% |
20% |
False |
False |
135,337 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
884.3 |
|
2.618 |
847.2 |
|
1.618 |
824.5 |
|
1.000 |
810.5 |
|
0.618 |
801.8 |
|
HIGH |
787.8 |
|
0.618 |
779.1 |
|
0.500 |
776.5 |
|
0.382 |
773.8 |
|
LOW |
765.1 |
|
0.618 |
751.1 |
|
1.000 |
742.4 |
|
1.618 |
728.4 |
|
2.618 |
705.7 |
|
4.250 |
668.6 |
|
|
| Fisher Pivots for day following 14-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
776.5 |
785.2 |
| PP |
774.1 |
779.9 |
| S1 |
771.8 |
774.7 |
|