CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 18-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Jun-2007 |
18-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
846.1 |
856.3 |
10.2 |
1.2% |
841.8 |
| High |
859.4 |
860.0 |
0.6 |
0.1% |
859.4 |
| Low |
845.4 |
849.8 |
4.4 |
0.5% |
825.0 |
| Close |
856.2 |
854.1 |
-2.1 |
-0.2% |
856.2 |
| Range |
14.0 |
10.2 |
-3.8 |
-27.1% |
34.4 |
| ATR |
12.6 |
12.4 |
-0.2 |
-1.4% |
0.0 |
| Volume |
254,779 |
222,533 |
-32,246 |
-12.7% |
1,567,709 |
|
| Daily Pivots for day following 18-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
885.2 |
879.9 |
859.7 |
|
| R3 |
875.0 |
869.7 |
856.9 |
|
| R2 |
864.8 |
864.8 |
856.0 |
|
| R1 |
859.5 |
859.5 |
855.0 |
857.1 |
| PP |
854.6 |
854.6 |
854.6 |
853.4 |
| S1 |
849.3 |
849.3 |
853.2 |
846.9 |
| S2 |
844.4 |
844.4 |
852.2 |
|
| S3 |
834.2 |
839.1 |
851.3 |
|
| S4 |
824.0 |
828.9 |
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 |
860.0 |
825.0 |
35.0 |
4.1% |
13.7 |
1.6% |
83% |
True |
False |
296,508 |
| 10 |
863.6 |
825.0 |
38.6 |
4.5% |
14.4 |
1.7% |
75% |
False |
False |
221,818 |
| 20 |
865.8 |
825.0 |
40.8 |
4.8% |
12.8 |
1.5% |
71% |
False |
False |
111,374 |
| 40 |
865.8 |
818.2 |
47.6 |
5.6% |
11.6 |
1.4% |
75% |
False |
False |
56,176 |
| 60 |
865.8 |
804.2 |
61.6 |
7.2% |
10.4 |
1.2% |
81% |
False |
False |
37,479 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
903.4 |
|
2.618 |
886.7 |
|
1.618 |
876.5 |
|
1.000 |
870.2 |
|
0.618 |
866.3 |
|
HIGH |
860.0 |
|
0.618 |
856.1 |
|
0.500 |
854.9 |
|
0.382 |
853.7 |
|
LOW |
849.8 |
|
0.618 |
843.5 |
|
1.000 |
839.6 |
|
1.618 |
833.3 |
|
2.618 |
823.1 |
|
4.250 |
806.5 |
|
|
| Fisher Pivots for day following 18-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
854.9 |
852.5 |
| PP |
854.6 |
850.8 |
| S1 |
854.4 |
849.2 |
|