CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 27-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Aug-2007 |
27-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
790.2 |
802.1 |
11.9 |
1.5% |
789.9 |
| High |
801.9 |
802.1 |
0.2 |
0.0% |
809.5 |
| Low |
787.9 |
789.6 |
1.7 |
0.2% |
780.1 |
| Close |
801.7 |
790.3 |
-11.4 |
-1.4% |
801.7 |
| Range |
14.0 |
12.5 |
-1.5 |
-10.7% |
29.4 |
| ATR |
21.6 |
21.0 |
-0.7 |
-3.0% |
0.0 |
| Volume |
236,727 |
171,661 |
-65,066 |
-27.5% |
1,428,787 |
|
| Daily Pivots for day following 27-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
831.5 |
823.4 |
797.2 |
|
| R3 |
819.0 |
810.9 |
793.7 |
|
| R2 |
806.5 |
806.5 |
792.6 |
|
| R1 |
798.4 |
798.4 |
791.4 |
796.2 |
| PP |
794.0 |
794.0 |
794.0 |
792.9 |
| S1 |
785.9 |
785.9 |
789.2 |
783.7 |
| S2 |
781.5 |
781.5 |
788.0 |
|
| S3 |
769.0 |
773.4 |
786.9 |
|
| S4 |
756.5 |
760.9 |
783.4 |
|
|
| Weekly Pivots for week ending 24-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
885.3 |
872.9 |
817.9 |
|
| R3 |
855.9 |
843.5 |
809.8 |
|
| R2 |
826.5 |
826.5 |
807.1 |
|
| R1 |
814.1 |
814.1 |
804.4 |
820.3 |
| PP |
797.1 |
797.1 |
797.1 |
800.2 |
| S1 |
784.7 |
784.7 |
799.0 |
790.9 |
| S2 |
767.7 |
767.7 |
796.3 |
|
| S3 |
738.3 |
755.3 |
793.6 |
|
| S4 |
708.9 |
725.9 |
785.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
809.5 |
784.0 |
25.5 |
3.2% |
14.4 |
1.8% |
25% |
False |
False |
227,429 |
| 10 |
809.5 |
737.7 |
71.8 |
9.1% |
22.0 |
2.8% |
73% |
False |
False |
321,328 |
| 20 |
809.5 |
737.7 |
71.8 |
9.1% |
23.6 |
3.0% |
73% |
False |
False |
355,945 |
| 40 |
862.2 |
737.7 |
124.5 |
15.8% |
19.2 |
2.4% |
42% |
False |
False |
299,680 |
| 60 |
863.8 |
737.7 |
126.1 |
16.0% |
17.5 |
2.2% |
42% |
False |
False |
273,775 |
| 80 |
865.8 |
737.7 |
128.1 |
16.2% |
15.8 |
2.0% |
41% |
False |
False |
205,640 |
| 100 |
865.8 |
737.7 |
128.1 |
16.2% |
14.5 |
1.8% |
41% |
False |
False |
164,544 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
855.2 |
|
2.618 |
834.8 |
|
1.618 |
822.3 |
|
1.000 |
814.6 |
|
0.618 |
809.8 |
|
HIGH |
802.1 |
|
0.618 |
797.3 |
|
0.500 |
795.9 |
|
0.382 |
794.4 |
|
LOW |
789.6 |
|
0.618 |
781.9 |
|
1.000 |
777.1 |
|
1.618 |
769.4 |
|
2.618 |
756.9 |
|
4.250 |
736.5 |
|
|
| Fisher Pivots for day following 27-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
795.9 |
798.6 |
| PP |
794.0 |
795.8 |
| S1 |
792.2 |
793.1 |
|