CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 28-Aug-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Aug-2007 |
28-Aug-2007 |
Change |
Change % |
Previous Week |
| Open |
802.1 |
790.5 |
-11.6 |
-1.4% |
789.9 |
| High |
802.1 |
790.6 |
-11.5 |
-1.4% |
809.5 |
| Low |
789.6 |
768.1 |
-21.5 |
-2.7% |
780.1 |
| Close |
790.3 |
770.0 |
-20.3 |
-2.6% |
801.7 |
| Range |
12.5 |
22.5 |
10.0 |
80.0% |
29.4 |
| ATR |
21.0 |
21.1 |
0.1 |
0.5% |
0.0 |
| Volume |
171,661 |
158,962 |
-12,699 |
-7.4% |
1,428,787 |
|
| Daily Pivots for day following 28-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
843.7 |
829.4 |
782.4 |
|
| R3 |
821.2 |
806.9 |
776.2 |
|
| R2 |
798.7 |
798.7 |
774.1 |
|
| R1 |
784.4 |
784.4 |
772.1 |
780.3 |
| PP |
776.2 |
776.2 |
776.2 |
774.2 |
| S1 |
761.9 |
761.9 |
767.9 |
757.8 |
| S2 |
753.7 |
753.7 |
765.9 |
|
| S3 |
731.2 |
739.4 |
763.8 |
|
| S4 |
708.7 |
716.9 |
757.6 |
|
|
| 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 |
768.1 |
41.4 |
5.4% |
16.5 |
2.1% |
5% |
False |
True |
206,147 |
| 10 |
809.5 |
737.7 |
71.8 |
9.3% |
22.0 |
2.9% |
45% |
False |
False |
308,031 |
| 20 |
809.5 |
737.7 |
71.8 |
9.3% |
23.6 |
3.1% |
45% |
False |
False |
347,833 |
| 40 |
862.2 |
737.7 |
124.5 |
16.2% |
19.4 |
2.5% |
26% |
False |
False |
297,093 |
| 60 |
863.6 |
737.7 |
125.9 |
16.4% |
17.7 |
2.3% |
26% |
False |
False |
276,391 |
| 80 |
865.8 |
737.7 |
128.1 |
16.6% |
16.0 |
2.1% |
25% |
False |
False |
207,624 |
| 100 |
865.8 |
737.7 |
128.1 |
16.6% |
14.7 |
1.9% |
25% |
False |
False |
166,132 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
886.2 |
|
2.618 |
849.5 |
|
1.618 |
827.0 |
|
1.000 |
813.1 |
|
0.618 |
804.5 |
|
HIGH |
790.6 |
|
0.618 |
782.0 |
|
0.500 |
779.4 |
|
0.382 |
776.7 |
|
LOW |
768.1 |
|
0.618 |
754.2 |
|
1.000 |
745.6 |
|
1.618 |
731.7 |
|
2.618 |
709.2 |
|
4.250 |
672.5 |
|
|
| Fisher Pivots for day following 28-Aug-2007 |
| Pivot |
1 day |
3 day |
| R1 |
779.4 |
785.1 |
| PP |
776.2 |
780.1 |
| S1 |
773.1 |
775.0 |
|