CME eMini Russell 2000 Future June 2007
| Trading Metrics calculated at close of trading on 05-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
04-Jun-2007 |
05-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
854.0 |
854.6 |
0.6 |
0.1% |
831.8 |
| High |
856.0 |
855.6 |
-0.4 |
0.0% |
858.1 |
| Low |
849.4 |
844.3 |
-5.1 |
-0.6% |
830.6 |
| Close |
854.8 |
850.8 |
-4.0 |
-0.5% |
853.9 |
| Range |
6.6 |
11.3 |
4.7 |
71.2% |
27.5 |
| ATR |
10.9 |
10.9 |
0.0 |
0.3% |
0.0 |
| Volume |
198,859 |
180,771 |
-18,088 |
-9.1% |
738,552 |
|
| Daily Pivots for day following 05-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
884.1 |
878.8 |
857.0 |
|
| R3 |
872.8 |
867.5 |
853.9 |
|
| R2 |
861.5 |
861.5 |
852.9 |
|
| R1 |
856.2 |
856.2 |
851.8 |
853.2 |
| PP |
850.2 |
850.2 |
850.2 |
848.8 |
| S1 |
844.9 |
844.9 |
849.8 |
841.9 |
| S2 |
838.9 |
838.9 |
848.7 |
|
| S3 |
827.6 |
833.6 |
847.7 |
|
| S4 |
816.3 |
822.3 |
844.6 |
|
|
| 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 |
830.6 |
27.5 |
3.2% |
9.8 |
1.2% |
73% |
False |
False |
196,275 |
| 10 |
858.1 |
822.0 |
36.1 |
4.2% |
10.8 |
1.3% |
80% |
False |
False |
199,022 |
| 20 |
858.1 |
811.8 |
46.3 |
5.4% |
11.7 |
1.4% |
84% |
False |
False |
202,179 |
| 40 |
858.1 |
807.4 |
50.7 |
6.0% |
10.9 |
1.3% |
86% |
False |
False |
186,117 |
| 60 |
858.1 |
766.7 |
91.4 |
10.7% |
10.7 |
1.3% |
92% |
False |
False |
183,401 |
| 80 |
858.1 |
762.4 |
95.7 |
11.2% |
11.2 |
1.3% |
92% |
False |
False |
144,712 |
| 100 |
858.1 |
762.4 |
95.7 |
11.2% |
10.9 |
1.3% |
92% |
False |
False |
115,818 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
903.6 |
|
2.618 |
885.2 |
|
1.618 |
873.9 |
|
1.000 |
866.9 |
|
0.618 |
862.6 |
|
HIGH |
855.6 |
|
0.618 |
851.3 |
|
0.500 |
850.0 |
|
0.382 |
848.6 |
|
LOW |
844.3 |
|
0.618 |
837.3 |
|
1.000 |
833.0 |
|
1.618 |
826.0 |
|
2.618 |
814.7 |
|
4.250 |
796.3 |
|
|
| Fisher Pivots for day following 05-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
850.5 |
851.2 |
| PP |
850.2 |
851.1 |
| S1 |
850.0 |
850.9 |
|