CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 06-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Sep-2007 |
06-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
801.0 |
794.3 |
-6.7 |
-0.8% |
802.1 |
| High |
801.0 |
797.2 |
-3.8 |
-0.5% |
802.1 |
| Low |
788.1 |
785.7 |
-2.4 |
-0.3% |
768.1 |
| Close |
794.7 |
793.6 |
-1.1 |
-0.1% |
794.8 |
| Range |
12.9 |
11.5 |
-1.4 |
-10.9% |
34.0 |
| ATR |
19.6 |
19.0 |
-0.6 |
-3.0% |
0.0 |
| Volume |
177,275 |
225,100 |
47,825 |
27.0% |
993,186 |
|
| Daily Pivots for day following 06-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
826.7 |
821.6 |
799.9 |
|
| R3 |
815.2 |
810.1 |
796.8 |
|
| R2 |
803.7 |
803.7 |
795.7 |
|
| R1 |
798.6 |
798.6 |
794.7 |
795.4 |
| PP |
792.2 |
792.2 |
792.2 |
790.6 |
| S1 |
787.1 |
787.1 |
792.5 |
783.9 |
| S2 |
780.7 |
780.7 |
791.5 |
|
| S3 |
769.2 |
775.6 |
790.4 |
|
| S4 |
757.7 |
764.1 |
787.3 |
|
|
| 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 |
779.0 |
28.4 |
3.6% |
14.6 |
1.8% |
51% |
False |
False |
203,069 |
| 10 |
809.5 |
768.1 |
41.4 |
5.2% |
16.5 |
2.1% |
62% |
False |
False |
202,150 |
| 20 |
809.5 |
737.7 |
71.8 |
9.0% |
20.9 |
2.6% |
78% |
False |
False |
300,530 |
| 40 |
862.2 |
737.7 |
124.5 |
15.7% |
20.3 |
2.6% |
45% |
False |
False |
304,894 |
| 60 |
862.2 |
737.7 |
124.5 |
15.7% |
17.8 |
2.2% |
45% |
False |
False |
280,173 |
| 80 |
865.8 |
737.7 |
128.1 |
16.1% |
16.4 |
2.1% |
44% |
False |
False |
223,110 |
| 100 |
865.8 |
737.7 |
128.1 |
16.1% |
15.1 |
1.9% |
44% |
False |
False |
178,530 |
| 120 |
865.8 |
737.7 |
128.1 |
16.1% |
13.9 |
1.8% |
44% |
False |
False |
148,791 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
846.1 |
|
2.618 |
827.3 |
|
1.618 |
815.8 |
|
1.000 |
808.7 |
|
0.618 |
804.3 |
|
HIGH |
797.2 |
|
0.618 |
792.8 |
|
0.500 |
791.5 |
|
0.382 |
790.1 |
|
LOW |
785.7 |
|
0.618 |
778.6 |
|
1.000 |
774.2 |
|
1.618 |
767.1 |
|
2.618 |
755.6 |
|
4.250 |
736.8 |
|
|
| Fisher Pivots for day following 06-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
792.9 |
796.6 |
| PP |
792.2 |
795.6 |
| S1 |
791.5 |
794.6 |
|