CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 16-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Aug-2007 |
16-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
769.0 |
758.1 |
-10.9 |
-1.4% |
757.3 |
| High |
779.4 |
775.3 |
-4.1 |
-0.5% |
807.2 |
| Low |
752.6 |
737.7 |
-14.9 |
-2.0% |
744.7 |
| Close |
757.8 |
774.5 |
16.7 |
2.2% |
787.5 |
| Range |
26.8 |
37.6 |
10.8 |
40.3% |
62.5 |
| ATR |
21.8 |
22.9 |
1.1 |
5.2% |
0.0 |
| Volume |
299,816 |
376,838 |
77,022 |
25.7% |
2,013,237 |
|
| Daily Pivots for day following 16-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
875.3 |
862.5 |
795.2 |
|
| R3 |
837.7 |
824.9 |
784.8 |
|
| R2 |
800.1 |
800.1 |
781.4 |
|
| R1 |
787.3 |
787.3 |
777.9 |
793.7 |
| PP |
762.5 |
762.5 |
762.5 |
765.7 |
| S1 |
749.7 |
749.7 |
771.1 |
756.1 |
| S2 |
724.9 |
724.9 |
767.6 |
|
| S3 |
687.3 |
712.1 |
764.2 |
|
| S4 |
649.7 |
674.5 |
753.8 |
|
|
| 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 |
805.3 |
737.7 |
67.6 |
8.7% |
29.6 |
3.8% |
54% |
False |
True |
386,362 |
| 10 |
807.2 |
737.7 |
69.5 |
9.0% |
28.3 |
3.7% |
53% |
False |
True |
376,932 |
| 20 |
856.6 |
737.7 |
118.9 |
15.4% |
25.0 |
3.2% |
31% |
False |
True |
364,272 |
| 40 |
862.2 |
737.7 |
124.5 |
16.1% |
18.4 |
2.4% |
30% |
False |
True |
289,967 |
| 60 |
865.8 |
737.7 |
128.1 |
16.5% |
16.5 |
2.1% |
29% |
False |
True |
236,460 |
| 80 |
865.8 |
737.7 |
128.1 |
16.5% |
15.1 |
2.0% |
29% |
False |
True |
177,605 |
| 100 |
865.8 |
737.7 |
128.1 |
16.5% |
13.7 |
1.8% |
29% |
False |
True |
142,103 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
935.1 |
|
2.618 |
873.7 |
|
1.618 |
836.1 |
|
1.000 |
812.9 |
|
0.618 |
798.5 |
|
HIGH |
775.3 |
|
0.618 |
760.9 |
|
0.500 |
756.5 |
|
0.382 |
752.1 |
|
LOW |
737.7 |
|
0.618 |
714.5 |
|
1.000 |
700.1 |
|
1.618 |
676.9 |
|
2.618 |
639.3 |
|
4.250 |
577.9 |
|
|
| Fisher Pivots for day following 16-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
768.5 |
770.6 |
| PP |
762.5 |
766.7 |
| S1 |
756.5 |
762.8 |
|