CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 21-Sep-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Sep-2007 |
21-Sep-2007 |
Change |
Change % |
Previous Week |
| Open |
818.5 |
810.4 |
-8.1 |
-1.0% |
783.0 |
| High |
818.5 |
817.7 |
-0.8 |
-0.1% |
823.9 |
| Low |
805.1 |
810.1 |
5.0 |
0.6% |
772.8 |
| Close |
810.8 |
816.8 |
6.0 |
0.7% |
816.8 |
| Range |
13.4 |
7.6 |
-5.8 |
-43.3% |
51.1 |
| ATR |
18.2 |
17.4 |
-0.8 |
-4.2% |
0.0 |
| Volume |
135,093 |
74,372 |
-60,721 |
-44.9% |
601,877 |
|
| Daily Pivots for day following 21-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
837.7 |
834.8 |
821.0 |
|
| R3 |
830.1 |
827.2 |
818.9 |
|
| R2 |
822.5 |
822.5 |
818.2 |
|
| R1 |
819.6 |
819.6 |
817.5 |
821.1 |
| PP |
814.9 |
814.9 |
814.9 |
815.6 |
| S1 |
812.0 |
812.0 |
816.1 |
813.5 |
| S2 |
807.3 |
807.3 |
815.4 |
|
| S3 |
799.7 |
804.4 |
814.7 |
|
| S4 |
792.1 |
796.8 |
812.6 |
|
|
| Weekly Pivots for week ending 21-Sep-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
957.8 |
938.4 |
844.9 |
|
| R3 |
906.7 |
887.3 |
830.9 |
|
| R2 |
855.6 |
855.6 |
826.2 |
|
| R1 |
836.2 |
836.2 |
821.5 |
845.9 |
| PP |
804.5 |
804.5 |
804.5 |
809.4 |
| S1 |
785.1 |
785.1 |
812.1 |
794.8 |
| S2 |
753.4 |
753.4 |
807.4 |
|
| S3 |
702.3 |
734.0 |
802.8 |
|
| S4 |
651.2 |
682.9 |
788.7 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
823.9 |
772.8 |
51.1 |
6.3% |
16.4 |
2.0% |
86% |
False |
False |
120,375 |
| 10 |
823.9 |
759.1 |
64.8 |
7.9% |
15.8 |
1.9% |
89% |
False |
False |
182,852 |
| 20 |
823.9 |
759.1 |
64.8 |
7.9% |
16.1 |
2.0% |
89% |
False |
False |
191,441 |
| 40 |
823.9 |
737.7 |
86.2 |
10.6% |
20.4 |
2.5% |
92% |
False |
False |
286,712 |
| 60 |
862.2 |
737.7 |
124.5 |
15.2% |
18.2 |
2.2% |
64% |
False |
False |
265,036 |
| 80 |
865.8 |
737.7 |
128.1 |
15.7% |
17.0 |
2.1% |
62% |
False |
False |
248,124 |
| 100 |
865.8 |
737.7 |
128.1 |
15.7% |
15.8 |
1.9% |
62% |
False |
False |
198,728 |
| 120 |
865.8 |
737.7 |
128.1 |
15.7% |
14.6 |
1.8% |
62% |
False |
False |
165,624 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
850.0 |
|
2.618 |
837.6 |
|
1.618 |
830.0 |
|
1.000 |
825.3 |
|
0.618 |
822.4 |
|
HIGH |
817.7 |
|
0.618 |
814.8 |
|
0.500 |
813.9 |
|
0.382 |
813.0 |
|
LOW |
810.1 |
|
0.618 |
805.4 |
|
1.000 |
802.5 |
|
1.618 |
797.8 |
|
2.618 |
790.2 |
|
4.250 |
777.8 |
|
|
| Fisher Pivots for day following 21-Sep-2007 |
| Pivot |
1 day |
3 day |
| R1 |
815.8 |
816.0 |
| PP |
814.9 |
815.3 |
| S1 |
813.9 |
814.5 |
|