CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 17-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Sep-2007 |
17-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
779.5 |
783.0 |
3.5 |
0.4% |
779.9 |
| High |
785.5 |
783.0 |
-2.5 |
-0.3% |
788.2 |
| Low |
769.7 |
774.6 |
4.9 |
0.6% |
759.1 |
| Close |
783.8 |
775.3 |
-8.5 |
-1.1% |
783.8 |
| Range |
15.8 |
8.4 |
-7.4 |
-46.8% |
29.1 |
| ATR |
17.9 |
17.3 |
-0.6 |
-3.5% |
0.0 |
| Volume |
197,933 |
102,117 |
-95,816 |
-48.4% |
1,226,648 |
|
| Daily Pivots for day following 17-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
802.8 |
797.5 |
779.9 |
|
| R3 |
794.4 |
789.1 |
777.6 |
|
| R2 |
786.0 |
786.0 |
776.8 |
|
| R1 |
780.7 |
780.7 |
776.1 |
779.2 |
| PP |
777.6 |
777.6 |
777.6 |
776.9 |
| S1 |
772.3 |
772.3 |
774.5 |
770.8 |
| S2 |
769.2 |
769.2 |
773.8 |
|
| S3 |
760.8 |
763.9 |
773.0 |
|
| S4 |
752.4 |
755.5 |
770.7 |
|
|
| Weekly Pivots for week ending 14-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
864.3 |
853.2 |
799.8 |
|
| R3 |
835.2 |
824.1 |
791.8 |
|
| R2 |
806.1 |
806.1 |
789.1 |
|
| R1 |
795.0 |
795.0 |
786.5 |
800.6 |
| PP |
777.0 |
777.0 |
777.0 |
779.8 |
| S1 |
765.9 |
765.9 |
781.1 |
771.5 |
| S2 |
747.9 |
747.9 |
778.5 |
|
| S3 |
718.8 |
736.8 |
775.8 |
|
| S4 |
689.7 |
707.7 |
767.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
788.2 |
769.0 |
19.2 |
2.5% |
12.2 |
1.6% |
33% |
False |
False |
212,374 |
| 10 |
807.4 |
759.1 |
48.3 |
6.2% |
15.0 |
1.9% |
34% |
False |
False |
209,915 |
| 20 |
809.5 |
759.1 |
50.4 |
6.5% |
15.5 |
2.0% |
32% |
False |
False |
226,056 |
| 40 |
847.3 |
737.7 |
109.6 |
14.1% |
20.9 |
2.7% |
34% |
False |
False |
306,185 |
| 60 |
862.2 |
737.7 |
124.5 |
16.1% |
18.0 |
2.3% |
30% |
False |
False |
275,289 |
| 80 |
865.8 |
737.7 |
128.1 |
16.5% |
16.7 |
2.2% |
29% |
False |
False |
241,905 |
| 100 |
865.8 |
737.7 |
128.1 |
16.5% |
15.6 |
2.0% |
29% |
False |
False |
193,737 |
| 120 |
865.8 |
737.7 |
128.1 |
16.5% |
14.3 |
1.8% |
29% |
False |
False |
161,463 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
818.7 |
|
2.618 |
805.0 |
|
1.618 |
796.6 |
|
1.000 |
791.4 |
|
0.618 |
788.2 |
|
HIGH |
783.0 |
|
0.618 |
779.8 |
|
0.500 |
778.8 |
|
0.382 |
777.8 |
|
LOW |
774.6 |
|
0.618 |
769.4 |
|
1.000 |
766.2 |
|
1.618 |
761.0 |
|
2.618 |
752.6 |
|
4.250 |
738.9 |
|
|
| Fisher Pivots for day following 17-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
778.8 |
779.0 |
| PP |
777.6 |
777.7 |
| S1 |
776.5 |
776.5 |
|