CME eMini Russell 2000 Future June 2007
| Trading Metrics calculated at close of trading on 15-May-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-May-2007 |
15-May-2007 |
Change |
Change % |
Previous Week |
| Open |
831.6 |
824.4 |
-7.2 |
-0.9% |
836.3 |
| High |
834.6 |
830.6 |
-4.0 |
-0.5% |
840.8 |
| Low |
822.3 |
815.2 |
-7.1 |
-0.9% |
820.2 |
| Close |
824.5 |
817.2 |
-7.3 |
-0.9% |
831.7 |
| Range |
12.3 |
15.4 |
3.1 |
25.2% |
20.6 |
| ATR |
10.6 |
11.0 |
0.3 |
3.2% |
0.0 |
| Volume |
167,116 |
209,737 |
42,621 |
25.5% |
912,679 |
|
| Daily Pivots for day following 15-May-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
867.2 |
857.6 |
825.7 |
|
| R3 |
851.8 |
842.2 |
821.4 |
|
| R2 |
836.4 |
836.4 |
820.0 |
|
| R1 |
826.8 |
826.8 |
818.6 |
823.9 |
| PP |
821.0 |
821.0 |
821.0 |
819.6 |
| S1 |
811.4 |
811.4 |
815.8 |
808.5 |
| S2 |
805.6 |
805.6 |
814.4 |
|
| S3 |
790.2 |
796.0 |
813.0 |
|
| S4 |
774.8 |
780.6 |
808.7 |
|
|
| Weekly Pivots for week ending 11-May-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
892.7 |
882.8 |
843.0 |
|
| R3 |
872.1 |
862.2 |
837.4 |
|
| R2 |
851.5 |
851.5 |
835.5 |
|
| R1 |
841.6 |
841.6 |
833.6 |
836.3 |
| PP |
830.9 |
830.9 |
830.9 |
828.2 |
| S1 |
821.0 |
821.0 |
829.8 |
815.7 |
| S2 |
810.3 |
810.3 |
827.9 |
|
| S3 |
789.7 |
800.4 |
826.0 |
|
| S4 |
769.1 |
779.8 |
820.4 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
840.8 |
815.2 |
25.6 |
3.1% |
13.2 |
1.6% |
8% |
False |
True |
201,796 |
| 10 |
840.8 |
815.2 |
25.6 |
3.1% |
11.1 |
1.4% |
8% |
False |
True |
183,140 |
| 20 |
840.8 |
810.3 |
30.5 |
3.7% |
10.8 |
1.3% |
23% |
False |
False |
180,825 |
| 40 |
840.8 |
796.8 |
44.0 |
5.4% |
9.9 |
1.2% |
46% |
False |
False |
163,689 |
| 60 |
840.8 |
762.4 |
78.4 |
9.6% |
11.6 |
1.4% |
70% |
False |
False |
144,262 |
| 80 |
840.8 |
762.4 |
78.4 |
9.6% |
10.9 |
1.3% |
70% |
False |
False |
108,283 |
| 100 |
840.8 |
762.4 |
78.4 |
9.6% |
10.8 |
1.3% |
70% |
False |
False |
86,656 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
896.1 |
|
2.618 |
870.9 |
|
1.618 |
855.5 |
|
1.000 |
846.0 |
|
0.618 |
840.1 |
|
HIGH |
830.6 |
|
0.618 |
824.7 |
|
0.500 |
822.9 |
|
0.382 |
821.1 |
|
LOW |
815.2 |
|
0.618 |
805.7 |
|
1.000 |
799.8 |
|
1.618 |
790.3 |
|
2.618 |
774.9 |
|
4.250 |
749.8 |
|
|
| Fisher Pivots for day following 15-May-2007 |
| Pivot |
1 day |
3 day |
| R1 |
822.9 |
824.9 |
| PP |
821.0 |
822.3 |
| S1 |
819.1 |
819.8 |
|