CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 12-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Sep-2007 |
12-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
769.9 |
782.9 |
13.0 |
1.7% |
793.6 |
| High |
784.0 |
784.8 |
0.8 |
0.1% |
807.4 |
| Low |
769.0 |
776.7 |
7.7 |
1.0% |
773.0 |
| Close |
783.4 |
778.3 |
-5.1 |
-0.7% |
780.3 |
| Range |
15.0 |
8.1 |
-6.9 |
-46.0% |
34.4 |
| ATR |
19.2 |
18.4 |
-0.8 |
-4.1% |
0.0 |
| Volume |
286,157 |
218,562 |
-67,595 |
-23.6% |
770,391 |
|
| Daily Pivots for day following 12-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
804.2 |
799.4 |
782.8 |
|
| R3 |
796.1 |
791.3 |
780.5 |
|
| R2 |
788.0 |
788.0 |
779.8 |
|
| R1 |
783.2 |
783.2 |
779.0 |
781.6 |
| PP |
779.9 |
779.9 |
779.9 |
779.1 |
| S1 |
775.1 |
775.1 |
777.6 |
773.5 |
| S2 |
771.8 |
771.8 |
776.8 |
|
| S3 |
763.7 |
767.0 |
776.1 |
|
| S4 |
755.6 |
758.9 |
773.8 |
|
|
| 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 |
797.2 |
759.1 |
38.1 |
4.9% |
15.9 |
2.0% |
50% |
False |
False |
237,899 |
| 10 |
807.4 |
759.1 |
48.3 |
6.2% |
16.2 |
2.1% |
40% |
False |
False |
220,456 |
| 20 |
809.5 |
737.7 |
71.8 |
9.2% |
19.1 |
2.5% |
57% |
False |
False |
264,244 |
| 40 |
858.8 |
737.7 |
121.1 |
15.6% |
21.1 |
2.7% |
34% |
False |
False |
310,289 |
| 60 |
862.2 |
737.7 |
124.5 |
16.0% |
18.0 |
2.3% |
33% |
False |
False |
276,164 |
| 80 |
865.8 |
737.7 |
128.1 |
16.5% |
16.7 |
2.1% |
32% |
False |
False |
234,967 |
| 100 |
865.8 |
737.7 |
128.1 |
16.5% |
15.4 |
2.0% |
32% |
False |
False |
188,169 |
| 120 |
865.8 |
737.7 |
128.1 |
16.5% |
14.2 |
1.8% |
32% |
False |
False |
156,822 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
819.2 |
|
2.618 |
806.0 |
|
1.618 |
797.9 |
|
1.000 |
792.9 |
|
0.618 |
789.8 |
|
HIGH |
784.8 |
|
0.618 |
781.7 |
|
0.500 |
780.8 |
|
0.382 |
779.8 |
|
LOW |
776.7 |
|
0.618 |
771.7 |
|
1.000 |
768.6 |
|
1.618 |
763.6 |
|
2.618 |
755.5 |
|
4.250 |
742.3 |
|
|
| Fisher Pivots for day following 12-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
780.8 |
776.2 |
| PP |
779.9 |
774.1 |
| S1 |
779.1 |
772.0 |
|