CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 10-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
07-Sep-2007 |
10-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
793.4 |
779.9 |
-13.5 |
-1.7% |
793.6 |
| High |
794.4 |
782.7 |
-11.7 |
-1.5% |
807.4 |
| Low |
773.0 |
759.1 |
-13.9 |
-1.8% |
773.0 |
| Close |
780.3 |
770.3 |
-10.0 |
-1.3% |
780.3 |
| Range |
21.4 |
23.6 |
2.2 |
10.3% |
34.4 |
| ATR |
19.2 |
19.5 |
0.3 |
1.6% |
0.0 |
| Volume |
192,784 |
266,895 |
74,111 |
38.4% |
770,391 |
|
| Daily Pivots for day following 10-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
841.5 |
829.5 |
783.3 |
|
| R3 |
817.9 |
805.9 |
776.8 |
|
| R2 |
794.3 |
794.3 |
774.6 |
|
| R1 |
782.3 |
782.3 |
772.5 |
776.5 |
| PP |
770.7 |
770.7 |
770.7 |
767.8 |
| S1 |
758.7 |
758.7 |
768.1 |
752.9 |
| S2 |
747.1 |
747.1 |
766.0 |
|
| S3 |
723.5 |
735.1 |
763.8 |
|
| S4 |
699.9 |
711.5 |
757.3 |
|
|
| Weekly Pivots for week ending 07-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
890.1 |
869.6 |
799.2 |
|
| R3 |
855.7 |
835.2 |
789.8 |
|
| R2 |
821.3 |
821.3 |
786.6 |
|
| R1 |
800.8 |
800.8 |
783.5 |
793.9 |
| PP |
786.9 |
786.9 |
786.9 |
783.4 |
| S1 |
766.4 |
766.4 |
777.1 |
759.5 |
| S2 |
752.5 |
752.5 |
774.0 |
|
| S3 |
718.1 |
732.0 |
770.8 |
|
| S4 |
683.7 |
697.6 |
761.4 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
807.4 |
759.1 |
48.3 |
6.3% |
17.7 |
2.3% |
23% |
False |
True |
207,457 |
| 10 |
807.4 |
759.1 |
48.3 |
6.3% |
17.4 |
2.3% |
23% |
False |
True |
203,047 |
| 20 |
809.5 |
737.7 |
71.8 |
9.3% |
20.3 |
2.6% |
45% |
False |
False |
278,114 |
| 40 |
861.5 |
737.7 |
123.8 |
16.1% |
20.9 |
2.7% |
26% |
False |
False |
305,823 |
| 60 |
862.2 |
737.7 |
124.5 |
16.2% |
18.0 |
2.3% |
26% |
False |
False |
275,707 |
| 80 |
865.8 |
737.7 |
128.1 |
16.6% |
16.7 |
2.2% |
25% |
False |
False |
228,669 |
| 100 |
865.8 |
737.7 |
128.1 |
16.6% |
15.4 |
2.0% |
25% |
False |
False |
183,123 |
| 120 |
865.8 |
737.7 |
128.1 |
16.6% |
14.1 |
1.8% |
25% |
False |
False |
152,618 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
883.0 |
|
2.618 |
844.5 |
|
1.618 |
820.9 |
|
1.000 |
806.3 |
|
0.618 |
797.3 |
|
HIGH |
782.7 |
|
0.618 |
773.7 |
|
0.500 |
770.9 |
|
0.382 |
768.1 |
|
LOW |
759.1 |
|
0.618 |
744.5 |
|
1.000 |
735.5 |
|
1.618 |
720.9 |
|
2.618 |
697.3 |
|
4.250 |
658.8 |
|
|
| Fisher Pivots for day following 10-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
770.9 |
778.2 |
| PP |
770.7 |
775.5 |
| S1 |
770.5 |
772.9 |
|