CME eMini Russell 2000 Future June 2007
| Trading Metrics calculated at close of trading on 01-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-May-2007 |
01-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
844.7 |
848.3 |
3.6 |
0.4% |
831.8 |
| High |
850.9 |
858.1 |
7.2 |
0.8% |
858.1 |
| Low |
844.1 |
848.0 |
3.9 |
0.5% |
830.6 |
| Close |
848.5 |
853.9 |
5.4 |
0.6% |
853.9 |
| Range |
6.8 |
10.1 |
3.3 |
48.5% |
27.5 |
| ATR |
11.3 |
11.2 |
-0.1 |
-0.8% |
0.0 |
| Volume |
214,363 |
198,200 |
-16,163 |
-7.5% |
738,552 |
|
| Daily Pivots for day following 01-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
883.6 |
878.9 |
859.5 |
|
| R3 |
873.5 |
868.8 |
856.7 |
|
| R2 |
863.4 |
863.4 |
855.8 |
|
| R1 |
858.7 |
858.7 |
854.8 |
861.1 |
| PP |
853.3 |
853.3 |
853.3 |
854.5 |
| S1 |
848.6 |
848.6 |
853.0 |
851.0 |
| S2 |
843.2 |
843.2 |
852.0 |
|
| S3 |
833.1 |
838.5 |
851.1 |
|
| S4 |
823.0 |
828.4 |
848.3 |
|
|
| Weekly Pivots for week ending 01-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
930.0 |
919.5 |
869.0 |
|
| R3 |
902.5 |
892.0 |
861.5 |
|
| R2 |
875.0 |
875.0 |
858.9 |
|
| R1 |
864.5 |
864.5 |
856.4 |
869.8 |
| PP |
847.5 |
847.5 |
847.5 |
850.2 |
| S1 |
837.0 |
837.0 |
851.4 |
842.3 |
| S2 |
820.0 |
820.0 |
848.9 |
|
| S3 |
792.5 |
809.5 |
846.3 |
|
| S4 |
765.0 |
782.0 |
838.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
858.1 |
825.7 |
32.4 |
3.8% |
9.6 |
1.1% |
87% |
True |
False |
203,459 |
| 10 |
858.1 |
813.5 |
44.6 |
5.2% |
12.1 |
1.4% |
91% |
True |
False |
201,641 |
| 20 |
858.1 |
811.8 |
46.3 |
5.4% |
11.4 |
1.3% |
91% |
True |
False |
199,356 |
| 40 |
858.1 |
807.4 |
50.7 |
5.9% |
10.6 |
1.2% |
92% |
True |
False |
178,683 |
| 60 |
858.1 |
766.7 |
91.4 |
10.7% |
10.7 |
1.2% |
95% |
True |
False |
185,103 |
| 80 |
858.1 |
762.4 |
95.7 |
11.2% |
11.3 |
1.3% |
96% |
True |
False |
139,987 |
| 100 |
858.1 |
762.4 |
95.7 |
11.2% |
11.0 |
1.3% |
96% |
True |
False |
112,027 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
901.0 |
|
2.618 |
884.5 |
|
1.618 |
874.4 |
|
1.000 |
868.2 |
|
0.618 |
864.3 |
|
HIGH |
858.1 |
|
0.618 |
854.2 |
|
0.500 |
853.1 |
|
0.382 |
851.9 |
|
LOW |
848.0 |
|
0.618 |
841.8 |
|
1.000 |
837.9 |
|
1.618 |
831.7 |
|
2.618 |
821.6 |
|
4.250 |
805.1 |
|
|
| Fisher Pivots for day following 01-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
853.6 |
850.7 |
| PP |
853.3 |
847.5 |
| S1 |
853.1 |
844.4 |
|