CME eMini Russell 2000 Future June 2007
| Trading Metrics calculated at close of trading on 12-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Jun-2007 |
12-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
834.0 |
834.0 |
0.0 |
0.0% |
854.0 |
| High |
838.2 |
834.5 |
-3.7 |
-0.4% |
856.0 |
| Low |
828.8 |
819.4 |
-9.4 |
-1.1% |
817.5 |
| Close |
834.4 |
820.1 |
-14.3 |
-1.7% |
834.4 |
| Range |
9.4 |
15.1 |
5.7 |
60.6% |
38.5 |
| ATR |
12.3 |
12.5 |
0.2 |
1.7% |
0.0 |
| Volume |
122,486 |
114,266 |
-8,220 |
-6.7% |
1,175,424 |
|
| Daily Pivots for day following 12-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
870.0 |
860.1 |
828.4 |
|
| R3 |
854.9 |
845.0 |
824.3 |
|
| R2 |
839.8 |
839.8 |
822.9 |
|
| R1 |
829.9 |
829.9 |
821.5 |
827.3 |
| PP |
824.7 |
824.7 |
824.7 |
823.4 |
| S1 |
814.8 |
814.8 |
818.7 |
812.2 |
| S2 |
809.6 |
809.6 |
817.3 |
|
| S3 |
794.5 |
799.7 |
815.9 |
|
| S4 |
779.4 |
784.6 |
811.8 |
|
|
| Weekly Pivots for week ending 08-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
951.5 |
931.4 |
855.6 |
|
| R3 |
913.0 |
892.9 |
845.0 |
|
| R2 |
874.5 |
874.5 |
841.5 |
|
| R1 |
854.4 |
854.4 |
837.9 |
845.2 |
| PP |
836.0 |
836.0 |
836.0 |
831.4 |
| S1 |
815.9 |
815.9 |
830.9 |
806.7 |
| S2 |
797.5 |
797.5 |
827.3 |
|
| S3 |
759.0 |
777.4 |
823.8 |
|
| S4 |
720.5 |
738.9 |
813.2 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
851.3 |
817.5 |
33.8 |
4.1% |
16.0 |
2.0% |
8% |
False |
False |
206,509 |
| 10 |
858.1 |
817.5 |
40.6 |
5.0% |
12.9 |
1.6% |
6% |
False |
False |
201,392 |
| 20 |
858.1 |
811.8 |
46.3 |
5.6% |
12.6 |
1.5% |
18% |
False |
False |
208,033 |
| 40 |
858.1 |
810.3 |
47.8 |
5.8% |
11.5 |
1.4% |
21% |
False |
False |
193,012 |
| 60 |
858.1 |
791.0 |
67.1 |
8.2% |
10.8 |
1.3% |
43% |
False |
False |
177,783 |
| 80 |
858.1 |
762.4 |
95.7 |
11.7% |
11.9 |
1.4% |
60% |
False |
False |
157,588 |
| 100 |
858.1 |
762.4 |
95.7 |
11.7% |
11.2 |
1.4% |
60% |
False |
False |
126,137 |
| 120 |
858.1 |
762.4 |
95.7 |
11.7% |
11.0 |
1.3% |
60% |
False |
False |
105,138 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
898.7 |
|
2.618 |
874.0 |
|
1.618 |
858.9 |
|
1.000 |
849.6 |
|
0.618 |
843.8 |
|
HIGH |
834.5 |
|
0.618 |
828.7 |
|
0.500 |
827.0 |
|
0.382 |
825.2 |
|
LOW |
819.4 |
|
0.618 |
810.1 |
|
1.000 |
804.3 |
|
1.618 |
795.0 |
|
2.618 |
779.9 |
|
4.250 |
755.2 |
|
|
| Fisher Pivots for day following 12-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
827.0 |
827.9 |
| PP |
824.7 |
825.3 |
| S1 |
822.4 |
822.7 |
|