CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 13-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Sep-2007 |
13-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
782.9 |
778.1 |
-4.8 |
-0.6% |
793.6 |
| High |
784.8 |
788.2 |
3.4 |
0.4% |
807.4 |
| Low |
776.7 |
774.4 |
-2.3 |
-0.3% |
773.0 |
| Close |
778.3 |
779.6 |
1.3 |
0.2% |
780.3 |
| Range |
8.1 |
13.8 |
5.7 |
70.4% |
34.4 |
| ATR |
18.4 |
18.1 |
-0.3 |
-1.8% |
0.0 |
| Volume |
218,562 |
257,101 |
38,539 |
17.6% |
770,391 |
|
| Daily Pivots for day following 13-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
822.1 |
814.7 |
787.2 |
|
| R3 |
808.3 |
800.9 |
783.4 |
|
| R2 |
794.5 |
794.5 |
782.1 |
|
| R1 |
787.1 |
787.1 |
780.9 |
790.8 |
| PP |
780.7 |
780.7 |
780.7 |
782.6 |
| S1 |
773.3 |
773.3 |
778.3 |
777.0 |
| S2 |
766.9 |
766.9 |
777.1 |
|
| S3 |
753.1 |
759.5 |
775.8 |
|
| S4 |
739.3 |
745.7 |
772.0 |
|
|
| 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 |
794.4 |
759.1 |
35.3 |
4.5% |
16.4 |
2.1% |
58% |
False |
False |
244,299 |
| 10 |
807.4 |
759.1 |
48.3 |
6.2% |
15.5 |
2.0% |
42% |
False |
False |
223,684 |
| 20 |
809.5 |
737.7 |
71.8 |
9.2% |
18.5 |
2.4% |
58% |
False |
False |
262,108 |
| 40 |
858.8 |
737.7 |
121.1 |
15.5% |
21.0 |
2.7% |
35% |
False |
False |
311,716 |
| 60 |
862.2 |
737.7 |
124.5 |
16.0% |
18.1 |
2.3% |
34% |
False |
False |
277,555 |
| 80 |
865.8 |
737.7 |
128.1 |
16.4% |
16.7 |
2.1% |
33% |
False |
False |
238,176 |
| 100 |
865.8 |
737.7 |
128.1 |
16.4% |
15.5 |
2.0% |
33% |
False |
False |
190,738 |
| 120 |
865.8 |
737.7 |
128.1 |
16.4% |
14.2 |
1.8% |
33% |
False |
False |
158,964 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
846.9 |
|
2.618 |
824.3 |
|
1.618 |
810.5 |
|
1.000 |
802.0 |
|
0.618 |
796.7 |
|
HIGH |
788.2 |
|
0.618 |
782.9 |
|
0.500 |
781.3 |
|
0.382 |
779.7 |
|
LOW |
774.4 |
|
0.618 |
765.9 |
|
1.000 |
760.6 |
|
1.618 |
752.1 |
|
2.618 |
738.3 |
|
4.250 |
715.8 |
|
|
| Fisher Pivots for day following 13-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
781.3 |
779.3 |
| PP |
780.7 |
778.9 |
| S1 |
780.2 |
778.6 |
|