CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 15-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Jun-2007 |
15-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
838.5 |
846.1 |
7.6 |
0.9% |
841.8 |
| High |
849.6 |
859.4 |
9.8 |
1.2% |
859.4 |
| Low |
838.4 |
845.4 |
7.0 |
0.8% |
825.0 |
| Close |
846.1 |
856.2 |
10.1 |
1.2% |
856.2 |
| Range |
11.2 |
14.0 |
2.8 |
25.0% |
34.4 |
| ATR |
12.5 |
12.6 |
0.1 |
0.9% |
0.0 |
| Volume |
327,347 |
254,779 |
-72,568 |
-22.2% |
1,567,709 |
|
| Daily Pivots for day following 15-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
895.7 |
889.9 |
863.9 |
|
| R3 |
881.7 |
875.9 |
860.1 |
|
| R2 |
867.7 |
867.7 |
858.8 |
|
| R1 |
861.9 |
861.9 |
857.5 |
864.8 |
| PP |
853.7 |
853.7 |
853.7 |
855.1 |
| S1 |
847.9 |
847.9 |
854.9 |
850.8 |
| S2 |
839.7 |
839.7 |
853.6 |
|
| S3 |
825.7 |
833.9 |
852.4 |
|
| S4 |
811.7 |
819.9 |
848.5 |
|
|
| Weekly Pivots for week ending 15-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
950.1 |
937.5 |
875.1 |
|
| R3 |
915.7 |
903.1 |
865.7 |
|
| R2 |
881.3 |
881.3 |
862.5 |
|
| R1 |
868.7 |
868.7 |
859.4 |
875.0 |
| PP |
846.9 |
846.9 |
846.9 |
850.0 |
| S1 |
834.3 |
834.3 |
853.0 |
840.6 |
| S2 |
812.5 |
812.5 |
849.9 |
|
| S3 |
778.1 |
799.9 |
846.7 |
|
| S4 |
743.7 |
765.5 |
837.3 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
859.4 |
825.0 |
34.4 |
4.0% |
13.5 |
1.6% |
91% |
True |
False |
313,541 |
| 10 |
863.8 |
825.0 |
38.8 |
4.5% |
14.0 |
1.6% |
80% |
False |
False |
199,763 |
| 20 |
865.8 |
821.8 |
44.0 |
5.1% |
12.9 |
1.5% |
78% |
False |
False |
100,267 |
| 40 |
865.8 |
818.2 |
47.6 |
5.6% |
11.6 |
1.4% |
80% |
False |
False |
50,616 |
| 60 |
865.8 |
804.2 |
61.6 |
7.2% |
10.3 |
1.2% |
84% |
False |
False |
33,771 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
918.9 |
|
2.618 |
896.1 |
|
1.618 |
882.1 |
|
1.000 |
873.4 |
|
0.618 |
868.1 |
|
HIGH |
859.4 |
|
0.618 |
854.1 |
|
0.500 |
852.4 |
|
0.382 |
850.7 |
|
LOW |
845.4 |
|
0.618 |
836.7 |
|
1.000 |
831.4 |
|
1.618 |
822.7 |
|
2.618 |
808.7 |
|
4.250 |
785.9 |
|
|
| Fisher Pivots for day following 15-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
854.9 |
851.5 |
| PP |
853.7 |
846.9 |
| S1 |
852.4 |
842.2 |
|