CME eMini Russell 2000 Future June 2007
| Trading Metrics calculated at close of trading on 07-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
06-Jun-2007 |
07-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
850.5 |
840.3 |
-10.2 |
-1.2% |
831.8 |
| High |
851.3 |
844.9 |
-6.4 |
-0.8% |
858.1 |
| Low |
836.9 |
823.2 |
-13.7 |
-1.6% |
830.6 |
| Close |
840.5 |
823.5 |
-17.0 |
-2.0% |
853.9 |
| Range |
14.4 |
21.7 |
7.3 |
50.7% |
27.5 |
| ATR |
11.2 |
11.9 |
0.8 |
6.7% |
0.0 |
| Volume |
263,400 |
287,752 |
24,352 |
9.2% |
738,552 |
|
| Daily Pivots for day following 07-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
895.6 |
881.3 |
835.4 |
|
| R3 |
873.9 |
859.6 |
829.5 |
|
| R2 |
852.2 |
852.2 |
827.5 |
|
| R1 |
837.9 |
837.9 |
825.5 |
834.2 |
| PP |
830.5 |
830.5 |
830.5 |
828.7 |
| S1 |
816.2 |
816.2 |
821.5 |
812.5 |
| S2 |
808.8 |
808.8 |
819.5 |
|
| S3 |
787.1 |
794.5 |
817.5 |
|
| S4 |
765.4 |
772.8 |
811.6 |
|
|
| 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 |
823.2 |
34.9 |
4.2% |
12.8 |
1.6% |
1% |
False |
True |
225,796 |
| 10 |
858.1 |
822.0 |
36.1 |
4.4% |
12.2 |
1.5% |
4% |
False |
False |
213,990 |
| 20 |
858.1 |
811.8 |
46.3 |
5.6% |
12.3 |
1.5% |
25% |
False |
False |
214,987 |
| 40 |
858.1 |
807.4 |
50.7 |
6.2% |
11.3 |
1.4% |
32% |
False |
False |
193,898 |
| 60 |
858.1 |
780.8 |
77.3 |
9.4% |
10.6 |
1.3% |
55% |
False |
False |
182,852 |
| 80 |
858.1 |
762.4 |
95.7 |
11.6% |
11.5 |
1.4% |
64% |
False |
False |
151,590 |
| 100 |
858.1 |
762.4 |
95.7 |
11.6% |
11.1 |
1.3% |
64% |
False |
False |
121,328 |
| 120 |
858.1 |
762.4 |
95.7 |
11.6% |
10.9 |
1.3% |
64% |
False |
False |
101,127 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
937.1 |
|
2.618 |
901.7 |
|
1.618 |
880.0 |
|
1.000 |
866.6 |
|
0.618 |
858.3 |
|
HIGH |
844.9 |
|
0.618 |
836.6 |
|
0.500 |
834.1 |
|
0.382 |
831.5 |
|
LOW |
823.2 |
|
0.618 |
809.8 |
|
1.000 |
801.5 |
|
1.618 |
788.1 |
|
2.618 |
766.4 |
|
4.250 |
731.0 |
|
|
| Fisher Pivots for day following 07-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
834.1 |
839.4 |
| PP |
830.5 |
834.1 |
| S1 |
827.0 |
828.8 |
|