CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 22-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Jun-2007 |
22-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
841.6 |
846.7 |
5.1 |
0.6% |
856.3 |
| High |
847.6 |
847.1 |
-0.5 |
-0.1% |
860.0 |
| Low |
834.6 |
834.6 |
0.0 |
0.0% |
834.6 |
| Close |
847.2 |
840.6 |
-6.6 |
-0.8% |
840.6 |
| Range |
13.0 |
12.5 |
-0.5 |
-3.8% |
25.4 |
| ATR |
12.7 |
12.7 |
0.0 |
-0.1% |
0.0 |
| Volume |
246,709 |
281,595 |
34,886 |
14.1% |
1,113,760 |
|
| Daily Pivots for day following 22-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
878.3 |
871.9 |
847.5 |
|
| R3 |
865.8 |
859.4 |
844.0 |
|
| R2 |
853.3 |
853.3 |
842.9 |
|
| R1 |
846.9 |
846.9 |
841.7 |
843.9 |
| PP |
840.8 |
840.8 |
840.8 |
839.2 |
| S1 |
834.4 |
834.4 |
839.5 |
831.4 |
| S2 |
828.3 |
828.3 |
838.3 |
|
| S3 |
815.8 |
821.9 |
837.2 |
|
| S4 |
803.3 |
809.4 |
833.7 |
|
|
| Weekly Pivots for week ending 22-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
921.3 |
906.3 |
854.6 |
|
| R3 |
895.9 |
880.9 |
847.6 |
|
| R2 |
870.5 |
870.5 |
845.3 |
|
| R1 |
855.5 |
855.5 |
842.9 |
850.3 |
| PP |
845.1 |
845.1 |
845.1 |
842.5 |
| S1 |
830.1 |
830.1 |
838.3 |
824.9 |
| S2 |
819.7 |
819.7 |
835.9 |
|
| S3 |
794.3 |
804.7 |
833.6 |
|
| S4 |
768.9 |
779.3 |
826.6 |
|
|
| 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% |
12.8 |
1.5% |
24% |
False |
True |
222,752 |
| 10 |
860.0 |
825.0 |
35.0 |
4.2% |
13.2 |
1.6% |
45% |
False |
False |
268,146 |
| 20 |
865.8 |
825.0 |
40.8 |
4.9% |
12.6 |
1.5% |
38% |
False |
False |
155,808 |
| 40 |
865.8 |
818.2 |
47.6 |
5.7% |
12.1 |
1.4% |
47% |
False |
False |
78,445 |
| 60 |
865.8 |
806.5 |
59.3 |
7.1% |
10.6 |
1.3% |
58% |
False |
False |
52,328 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
900.2 |
|
2.618 |
879.8 |
|
1.618 |
867.3 |
|
1.000 |
859.6 |
|
0.618 |
854.8 |
|
HIGH |
847.1 |
|
0.618 |
842.3 |
|
0.500 |
840.9 |
|
0.382 |
839.4 |
|
LOW |
834.6 |
|
0.618 |
826.9 |
|
1.000 |
822.1 |
|
1.618 |
814.4 |
|
2.618 |
801.9 |
|
4.250 |
781.5 |
|
|
| Fisher Pivots for day following 22-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
840.9 |
847.1 |
| PP |
840.8 |
844.9 |
| S1 |
840.7 |
842.8 |
|