CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 14-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Jun-2007 |
14-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
827.6 |
838.5 |
10.9 |
1.3% |
861.7 |
| High |
842.4 |
849.6 |
7.2 |
0.9% |
863.8 |
| Low |
825.0 |
838.4 |
13.4 |
1.6% |
825.9 |
| Close |
838.7 |
846.1 |
7.4 |
0.9% |
842.0 |
| Range |
17.4 |
11.2 |
-6.2 |
-35.6% |
37.9 |
| ATR |
12.6 |
12.5 |
-0.1 |
-0.8% |
0.0 |
| Volume |
400,287 |
327,347 |
-72,940 |
-18.2% |
429,925 |
|
| Daily Pivots for day following 14-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
878.3 |
873.4 |
852.3 |
|
| R3 |
867.1 |
862.2 |
849.2 |
|
| R2 |
855.9 |
855.9 |
848.2 |
|
| R1 |
851.0 |
851.0 |
847.1 |
853.5 |
| PP |
844.7 |
844.7 |
844.7 |
845.9 |
| S1 |
839.8 |
839.8 |
845.1 |
842.3 |
| S2 |
833.5 |
833.5 |
844.0 |
|
| S3 |
822.3 |
828.6 |
843.0 |
|
| S4 |
811.1 |
817.4 |
839.9 |
|
|
| Weekly Pivots for week ending 08-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
957.6 |
937.7 |
862.8 |
|
| R3 |
919.7 |
899.8 |
852.4 |
|
| R2 |
881.8 |
881.8 |
848.9 |
|
| R1 |
861.9 |
861.9 |
845.5 |
852.9 |
| PP |
843.9 |
843.9 |
843.9 |
839.4 |
| S1 |
824.0 |
824.0 |
838.5 |
815.0 |
| S2 |
806.0 |
806.0 |
835.1 |
|
| S3 |
768.1 |
786.1 |
831.6 |
|
| S4 |
730.2 |
748.2 |
821.2 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
849.6 |
825.0 |
24.6 |
2.9% |
14.5 |
1.7% |
86% |
True |
False |
331,103 |
| 10 |
865.8 |
825.0 |
40.8 |
4.8% |
13.7 |
1.6% |
52% |
False |
False |
174,386 |
| 20 |
865.8 |
821.7 |
44.1 |
5.2% |
12.6 |
1.5% |
55% |
False |
False |
87,554 |
| 40 |
865.8 |
818.2 |
47.6 |
5.6% |
11.5 |
1.4% |
59% |
False |
False |
44,246 |
| 60 |
865.8 |
804.2 |
61.6 |
7.3% |
10.1 |
1.2% |
68% |
False |
False |
29,529 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
897.2 |
|
2.618 |
878.9 |
|
1.618 |
867.7 |
|
1.000 |
860.8 |
|
0.618 |
856.5 |
|
HIGH |
849.6 |
|
0.618 |
845.3 |
|
0.500 |
844.0 |
|
0.382 |
842.7 |
|
LOW |
838.4 |
|
0.618 |
831.5 |
|
1.000 |
827.2 |
|
1.618 |
820.3 |
|
2.618 |
809.1 |
|
4.250 |
790.8 |
|
|
| Fisher Pivots for day following 14-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
845.4 |
843.2 |
| PP |
844.7 |
840.2 |
| S1 |
844.0 |
837.3 |
|