CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 21-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Aug-2007 |
21-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
789.9 |
789.5 |
-0.4 |
-0.1% |
788.1 |
| High |
796.0 |
796.1 |
0.1 |
0.0% |
806.2 |
| Low |
780.1 |
784.0 |
3.9 |
0.5% |
737.7 |
| Close |
789.7 |
792.1 |
2.4 |
0.3% |
789.9 |
| Range |
15.9 |
12.1 |
-3.8 |
-23.9% |
68.5 |
| ATR |
23.9 |
23.0 |
-0.8 |
-3.5% |
0.0 |
| Volume |
463,302 |
265,370 |
-197,932 |
-42.7% |
2,103,038 |
|
| Daily Pivots for day following 21-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
827.0 |
821.7 |
798.8 |
|
| R3 |
814.9 |
809.6 |
795.4 |
|
| R2 |
802.8 |
802.8 |
794.3 |
|
| R1 |
797.5 |
797.5 |
793.2 |
800.2 |
| PP |
790.7 |
790.7 |
790.7 |
792.1 |
| S1 |
785.4 |
785.4 |
791.0 |
788.1 |
| S2 |
778.6 |
778.6 |
789.9 |
|
| S3 |
766.5 |
773.3 |
788.8 |
|
| S4 |
754.4 |
761.2 |
785.4 |
|
|
| 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 |
8.6% |
27.5 |
3.5% |
79% |
False |
False |
409,916 |
| 10 |
807.2 |
737.7 |
69.5 |
8.8% |
27.3 |
3.5% |
78% |
False |
False |
409,309 |
| 20 |
825.6 |
737.7 |
87.9 |
11.1% |
25.8 |
3.3% |
62% |
False |
False |
394,732 |
| 40 |
862.2 |
737.7 |
124.5 |
15.7% |
19.2 |
2.4% |
44% |
False |
False |
304,192 |
| 60 |
865.8 |
737.7 |
128.1 |
16.2% |
17.1 |
2.2% |
42% |
False |
False |
259,311 |
| 80 |
865.8 |
737.7 |
128.1 |
16.2% |
15.7 |
2.0% |
42% |
False |
False |
194,763 |
| 100 |
865.8 |
737.7 |
128.1 |
16.2% |
14.1 |
1.8% |
42% |
False |
False |
155,828 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
847.5 |
|
2.618 |
827.8 |
|
1.618 |
815.7 |
|
1.000 |
808.2 |
|
0.618 |
803.6 |
|
HIGH |
796.1 |
|
0.618 |
791.5 |
|
0.500 |
790.1 |
|
0.382 |
788.6 |
|
LOW |
784.0 |
|
0.618 |
776.5 |
|
1.000 |
771.9 |
|
1.618 |
764.4 |
|
2.618 |
752.3 |
|
4.250 |
732.6 |
|
|
| Fisher Pivots for day following 21-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
791.4 |
789.3 |
| PP |
790.7 |
786.4 |
| S1 |
790.1 |
783.6 |
|