CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 20-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Jun-2007 |
20-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
854.3 |
856.2 |
1.9 |
0.2% |
841.8 |
| High |
857.5 |
859.6 |
2.1 |
0.2% |
859.4 |
| Low |
847.2 |
841.4 |
-5.8 |
-0.7% |
825.0 |
| Close |
856.3 |
841.7 |
-14.6 |
-1.7% |
856.2 |
| Range |
10.3 |
18.2 |
7.9 |
76.7% |
34.4 |
| ATR |
12.3 |
12.7 |
0.4 |
3.4% |
0.0 |
| Volume |
173,664 |
189,259 |
15,595 |
9.0% |
1,567,709 |
|
| Daily Pivots for day following 20-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
902.2 |
890.1 |
851.7 |
|
| R3 |
884.0 |
871.9 |
846.7 |
|
| R2 |
865.8 |
865.8 |
845.0 |
|
| R1 |
853.7 |
853.7 |
843.4 |
850.7 |
| PP |
847.6 |
847.6 |
847.6 |
846.0 |
| S1 |
835.5 |
835.5 |
840.0 |
832.5 |
| S2 |
829.4 |
829.4 |
838.4 |
|
| S3 |
811.2 |
817.3 |
836.7 |
|
| S4 |
793.0 |
799.1 |
831.7 |
|
|
| 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 |
838.4 |
21.6 |
2.6% |
12.8 |
1.5% |
15% |
False |
False |
233,516 |
| 10 |
860.0 |
825.0 |
35.0 |
4.2% |
14.7 |
1.8% |
48% |
False |
False |
253,694 |
| 20 |
865.8 |
825.0 |
40.8 |
4.8% |
12.9 |
1.5% |
41% |
False |
False |
129,444 |
| 40 |
865.8 |
818.2 |
47.6 |
5.7% |
11.9 |
1.4% |
49% |
False |
False |
65,242 |
| 60 |
865.8 |
804.2 |
61.6 |
7.3% |
10.6 |
1.3% |
61% |
False |
False |
43,526 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
937.0 |
|
2.618 |
907.2 |
|
1.618 |
889.0 |
|
1.000 |
877.8 |
|
0.618 |
870.8 |
|
HIGH |
859.6 |
|
0.618 |
852.6 |
|
0.500 |
850.5 |
|
0.382 |
848.4 |
|
LOW |
841.4 |
|
0.618 |
830.2 |
|
1.000 |
823.2 |
|
1.618 |
812.0 |
|
2.618 |
793.8 |
|
4.250 |
764.1 |
|
|
| Fisher Pivots for day following 20-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
850.5 |
850.7 |
| PP |
847.6 |
847.7 |
| S1 |
844.6 |
844.7 |
|