CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 11-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Sep-2007 |
11-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
779.9 |
769.9 |
-10.0 |
-1.3% |
793.6 |
| High |
782.7 |
784.0 |
1.3 |
0.2% |
807.4 |
| Low |
759.1 |
769.0 |
9.9 |
1.3% |
773.0 |
| Close |
770.3 |
783.4 |
13.1 |
1.7% |
780.3 |
| Range |
23.6 |
15.0 |
-8.6 |
-36.4% |
34.4 |
| ATR |
19.5 |
19.2 |
-0.3 |
-1.7% |
0.0 |
| Volume |
266,895 |
286,157 |
19,262 |
7.2% |
770,391 |
|
| Daily Pivots for day following 11-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
823.8 |
818.6 |
791.7 |
|
| R3 |
808.8 |
803.6 |
787.5 |
|
| R2 |
793.8 |
793.8 |
786.2 |
|
| R1 |
788.6 |
788.6 |
784.8 |
791.2 |
| PP |
778.8 |
778.8 |
778.8 |
780.1 |
| S1 |
773.6 |
773.6 |
782.0 |
776.2 |
| S2 |
763.8 |
763.8 |
780.7 |
|
| S3 |
748.8 |
758.6 |
779.3 |
|
| S4 |
733.8 |
743.6 |
775.2 |
|
|
| 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 |
801.0 |
759.1 |
41.9 |
5.3% |
16.9 |
2.2% |
58% |
False |
False |
229,642 |
| 10 |
807.4 |
759.1 |
48.3 |
6.2% |
17.6 |
2.3% |
50% |
False |
False |
214,496 |
| 20 |
809.5 |
737.7 |
71.8 |
9.2% |
19.8 |
2.5% |
64% |
False |
False |
267,912 |
| 40 |
860.6 |
737.7 |
122.9 |
15.7% |
21.1 |
2.7% |
37% |
False |
False |
309,336 |
| 60 |
862.2 |
737.7 |
124.5 |
15.9% |
18.1 |
2.3% |
37% |
False |
False |
276,230 |
| 80 |
865.8 |
737.7 |
128.1 |
16.4% |
16.8 |
2.1% |
36% |
False |
False |
232,239 |
| 100 |
865.8 |
737.7 |
128.1 |
16.4% |
15.5 |
2.0% |
36% |
False |
False |
185,984 |
| 120 |
865.8 |
737.7 |
128.1 |
16.4% |
14.2 |
1.8% |
36% |
False |
False |
155,000 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
847.8 |
|
2.618 |
823.3 |
|
1.618 |
808.3 |
|
1.000 |
799.0 |
|
0.618 |
793.3 |
|
HIGH |
784.0 |
|
0.618 |
778.3 |
|
0.500 |
776.5 |
|
0.382 |
774.7 |
|
LOW |
769.0 |
|
0.618 |
759.7 |
|
1.000 |
754.0 |
|
1.618 |
744.7 |
|
2.618 |
729.7 |
|
4.250 |
705.3 |
|
|
| Fisher Pivots for day following 11-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
781.1 |
781.2 |
| PP |
778.8 |
779.0 |
| S1 |
776.5 |
776.8 |
|