CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 20-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
17-Aug-2007 |
20-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
774.3 |
789.9 |
15.6 |
2.0% |
788.1 |
| High |
806.2 |
796.0 |
-10.2 |
-1.3% |
806.2 |
| Low |
761.0 |
780.1 |
19.1 |
2.5% |
737.7 |
| Close |
789.9 |
789.7 |
-0.2 |
0.0% |
789.9 |
| Range |
45.2 |
15.9 |
-29.3 |
-64.8% |
68.5 |
| ATR |
24.5 |
23.9 |
-0.6 |
-2.5% |
0.0 |
| Volume |
644,255 |
463,302 |
-180,953 |
-28.1% |
2,103,038 |
|
| Daily Pivots for day following 20-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
836.3 |
828.9 |
798.4 |
|
| R3 |
820.4 |
813.0 |
794.1 |
|
| R2 |
804.5 |
804.5 |
792.6 |
|
| R1 |
797.1 |
797.1 |
791.2 |
792.9 |
| PP |
788.6 |
788.6 |
788.6 |
786.5 |
| S1 |
781.2 |
781.2 |
788.2 |
777.0 |
| S2 |
772.7 |
772.7 |
786.8 |
|
| S3 |
756.8 |
765.3 |
785.3 |
|
| S4 |
740.9 |
749.4 |
781.0 |
|
|
| Weekly Pivots for week ending 17-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
983.4 |
955.2 |
827.6 |
|
| R3 |
914.9 |
886.7 |
808.7 |
|
| R2 |
846.4 |
846.4 |
802.5 |
|
| R1 |
818.2 |
818.2 |
796.2 |
832.3 |
| PP |
777.9 |
777.9 |
777.9 |
785.0 |
| S1 |
749.7 |
749.7 |
783.6 |
763.8 |
| S2 |
709.4 |
709.4 |
777.3 |
|
| S3 |
640.9 |
681.2 |
771.1 |
|
| S4 |
572.4 |
612.7 |
752.2 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
806.2 |
737.7 |
68.5 |
8.7% |
29.6 |
3.8% |
76% |
False |
False |
415,228 |
| 10 |
807.2 |
737.7 |
69.5 |
8.8% |
28.3 |
3.6% |
75% |
False |
False |
422,128 |
| 20 |
839.5 |
737.7 |
101.8 |
12.9% |
26.5 |
3.4% |
51% |
False |
False |
391,656 |
| 40 |
862.2 |
737.7 |
124.5 |
15.8% |
19.3 |
2.4% |
42% |
False |
False |
304,449 |
| 60 |
865.8 |
737.7 |
128.1 |
16.2% |
17.0 |
2.2% |
41% |
False |
False |
254,902 |
| 80 |
865.8 |
737.7 |
128.1 |
16.2% |
15.7 |
2.0% |
41% |
False |
False |
191,447 |
| 100 |
865.8 |
737.7 |
128.1 |
16.2% |
14.1 |
1.8% |
41% |
False |
False |
153,176 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
863.6 |
|
2.618 |
837.6 |
|
1.618 |
821.7 |
|
1.000 |
811.9 |
|
0.618 |
805.8 |
|
HIGH |
796.0 |
|
0.618 |
789.9 |
|
0.500 |
788.1 |
|
0.382 |
786.2 |
|
LOW |
780.1 |
|
0.618 |
770.3 |
|
1.000 |
764.2 |
|
1.618 |
754.4 |
|
2.618 |
738.5 |
|
4.250 |
712.5 |
|
|
| Fisher Pivots for day following 20-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
789.2 |
783.8 |
| PP |
788.6 |
777.9 |
| S1 |
788.1 |
772.0 |
|