CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 21-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Jun-2007 |
21-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
856.2 |
841.6 |
-14.6 |
-1.7% |
841.8 |
| High |
859.6 |
847.6 |
-12.0 |
-1.4% |
859.4 |
| Low |
841.4 |
834.6 |
-6.8 |
-0.8% |
825.0 |
| Close |
841.7 |
847.2 |
5.5 |
0.7% |
856.2 |
| Range |
18.2 |
13.0 |
-5.2 |
-28.6% |
34.4 |
| ATR |
12.7 |
12.7 |
0.0 |
0.2% |
0.0 |
| Volume |
189,259 |
246,709 |
57,450 |
30.4% |
1,567,709 |
|
| Daily Pivots for day following 21-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
882.1 |
877.7 |
854.4 |
|
| R3 |
869.1 |
864.7 |
850.8 |
|
| R2 |
856.1 |
856.1 |
849.6 |
|
| R1 |
851.7 |
851.7 |
848.4 |
853.9 |
| PP |
843.1 |
843.1 |
843.1 |
844.3 |
| S1 |
838.7 |
838.7 |
846.0 |
840.9 |
| S2 |
830.1 |
830.1 |
844.8 |
|
| S3 |
817.1 |
825.7 |
843.6 |
|
| S4 |
804.1 |
812.7 |
840.1 |
|
|
| 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 |
834.6 |
25.4 |
3.0% |
13.1 |
1.6% |
50% |
False |
True |
217,388 |
| 10 |
860.0 |
825.0 |
35.0 |
4.1% |
13.8 |
1.6% |
63% |
False |
False |
274,246 |
| 20 |
865.8 |
825.0 |
40.8 |
4.8% |
13.0 |
1.5% |
54% |
False |
False |
141,752 |
| 40 |
865.8 |
818.2 |
47.6 |
5.6% |
12.0 |
1.4% |
61% |
False |
False |
71,408 |
| 60 |
865.8 |
804.2 |
61.6 |
7.3% |
10.6 |
1.3% |
70% |
False |
False |
47,637 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
902.9 |
|
2.618 |
881.6 |
|
1.618 |
868.6 |
|
1.000 |
860.6 |
|
0.618 |
855.6 |
|
HIGH |
847.6 |
|
0.618 |
842.6 |
|
0.500 |
841.1 |
|
0.382 |
839.6 |
|
LOW |
834.6 |
|
0.618 |
826.6 |
|
1.000 |
821.6 |
|
1.618 |
813.6 |
|
2.618 |
800.6 |
|
4.250 |
779.4 |
|
|
| Fisher Pivots for day following 21-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
845.2 |
847.2 |
| PP |
843.1 |
847.1 |
| S1 |
841.1 |
847.1 |
|