CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 19-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
18-Sep-2007 |
19-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
775.9 |
808.4 |
32.5 |
4.2% |
779.9 |
| High |
809.6 |
823.9 |
14.3 |
1.8% |
788.2 |
| Low |
772.8 |
808.1 |
35.3 |
4.6% |
759.1 |
| Close |
808.9 |
819.2 |
10.3 |
1.3% |
783.8 |
| Range |
36.8 |
15.8 |
-21.0 |
-57.1% |
29.1 |
| ATR |
18.7 |
18.5 |
-0.2 |
-1.1% |
0.0 |
| Volume |
135,250 |
155,045 |
19,795 |
14.6% |
1,226,648 |
|
| Daily Pivots for day following 19-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
864.5 |
857.6 |
827.9 |
|
| R3 |
848.7 |
841.8 |
823.5 |
|
| R2 |
832.9 |
832.9 |
822.1 |
|
| R1 |
826.0 |
826.0 |
820.6 |
829.5 |
| PP |
817.1 |
817.1 |
817.1 |
818.8 |
| S1 |
810.2 |
810.2 |
817.8 |
813.7 |
| S2 |
801.3 |
801.3 |
816.3 |
|
| S3 |
785.5 |
794.4 |
814.9 |
|
| S4 |
769.7 |
778.6 |
810.5 |
|
|
| 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 |
823.9 |
769.7 |
54.2 |
6.6% |
18.1 |
2.2% |
91% |
True |
False |
169,489 |
| 10 |
823.9 |
759.1 |
64.8 |
7.9% |
17.0 |
2.1% |
93% |
True |
False |
203,694 |
| 20 |
823.9 |
759.1 |
64.8 |
7.9% |
16.8 |
2.0% |
93% |
True |
False |
204,137 |
| 40 |
825.6 |
737.7 |
87.9 |
10.7% |
21.3 |
2.6% |
93% |
False |
False |
299,434 |
| 60 |
862.2 |
737.7 |
124.5 |
15.2% |
18.4 |
2.2% |
65% |
False |
False |
270,841 |
| 80 |
865.8 |
737.7 |
128.1 |
15.6% |
17.0 |
2.1% |
64% |
False |
False |
245,518 |
| 100 |
865.8 |
737.7 |
128.1 |
15.6% |
15.9 |
1.9% |
64% |
False |
False |
196,638 |
| 120 |
865.8 |
737.7 |
128.1 |
15.6% |
14.5 |
1.8% |
64% |
False |
False |
163,880 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
891.1 |
|
2.618 |
865.3 |
|
1.618 |
849.5 |
|
1.000 |
839.7 |
|
0.618 |
833.7 |
|
HIGH |
823.9 |
|
0.618 |
817.9 |
|
0.500 |
816.0 |
|
0.382 |
814.1 |
|
LOW |
808.1 |
|
0.618 |
798.3 |
|
1.000 |
792.3 |
|
1.618 |
782.5 |
|
2.618 |
766.7 |
|
4.250 |
741.0 |
|
|
| Fisher Pivots for day following 19-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
818.1 |
812.3 |
| PP |
817.1 |
805.3 |
| S1 |
816.0 |
798.4 |
|