CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 05-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
04-Sep-2007 |
05-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
793.6 |
801.0 |
7.4 |
0.9% |
802.1 |
| High |
807.4 |
801.0 |
-6.4 |
-0.8% |
802.1 |
| Low |
788.2 |
788.1 |
-0.1 |
0.0% |
768.1 |
| Close |
801.2 |
794.7 |
-6.5 |
-0.8% |
794.8 |
| Range |
19.2 |
12.9 |
-6.3 |
-32.8% |
34.0 |
| ATR |
20.1 |
19.6 |
-0.5 |
-2.5% |
0.0 |
| Volume |
175,232 |
177,275 |
2,043 |
1.2% |
993,186 |
|
| Daily Pivots for day following 05-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
833.3 |
826.9 |
801.8 |
|
| R3 |
820.4 |
814.0 |
798.2 |
|
| R2 |
807.5 |
807.5 |
797.1 |
|
| R1 |
801.1 |
801.1 |
795.9 |
797.9 |
| PP |
794.6 |
794.6 |
794.6 |
793.0 |
| S1 |
788.2 |
788.2 |
793.5 |
785.0 |
| S2 |
781.7 |
781.7 |
792.3 |
|
| S3 |
768.8 |
775.3 |
791.2 |
|
| S4 |
755.9 |
762.4 |
787.6 |
|
|
| Weekly Pivots for week ending 31-Aug-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
890.3 |
876.6 |
813.5 |
|
| R3 |
856.3 |
842.6 |
804.2 |
|
| R2 |
822.3 |
822.3 |
801.0 |
|
| R1 |
808.6 |
808.6 |
797.9 |
798.5 |
| PP |
788.3 |
788.3 |
788.3 |
783.3 |
| S1 |
774.6 |
774.6 |
791.7 |
764.5 |
| S2 |
754.3 |
754.3 |
788.6 |
|
| S3 |
720.3 |
740.6 |
785.5 |
|
| S4 |
686.3 |
706.6 |
776.1 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
807.4 |
768.7 |
38.7 |
4.9% |
16.5 |
2.1% |
67% |
False |
False |
203,014 |
| 10 |
809.5 |
768.1 |
41.4 |
5.2% |
16.5 |
2.1% |
64% |
False |
False |
204,580 |
| 20 |
809.5 |
737.7 |
71.8 |
9.0% |
21.9 |
2.8% |
79% |
False |
False |
306,945 |
| 40 |
862.2 |
737.7 |
124.5 |
15.7% |
20.3 |
2.6% |
46% |
False |
False |
305,920 |
| 60 |
862.2 |
737.7 |
124.5 |
15.7% |
17.8 |
2.2% |
46% |
False |
False |
281,048 |
| 80 |
865.8 |
737.7 |
128.1 |
16.1% |
16.4 |
2.1% |
44% |
False |
False |
220,301 |
| 100 |
865.8 |
737.7 |
128.1 |
16.1% |
15.1 |
1.9% |
44% |
False |
False |
176,279 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
855.8 |
|
2.618 |
834.8 |
|
1.618 |
821.9 |
|
1.000 |
813.9 |
|
0.618 |
809.0 |
|
HIGH |
801.0 |
|
0.618 |
796.1 |
|
0.500 |
794.6 |
|
0.382 |
793.0 |
|
LOW |
788.1 |
|
0.618 |
780.1 |
|
1.000 |
775.2 |
|
1.618 |
767.2 |
|
2.618 |
754.3 |
|
4.250 |
733.3 |
|
|
| Fisher Pivots for day following 05-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
794.7 |
795.8 |
| PP |
794.6 |
795.4 |
| S1 |
794.6 |
795.1 |
|