CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 25-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Jun-2007 |
25-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
846.7 |
840.4 |
-6.3 |
-0.7% |
856.3 |
| High |
847.1 |
845.4 |
-1.7 |
-0.2% |
860.0 |
| Low |
834.6 |
830.2 |
-4.4 |
-0.5% |
834.6 |
| Close |
840.6 |
835.5 |
-5.1 |
-0.6% |
840.6 |
| Range |
12.5 |
15.2 |
2.7 |
21.6% |
25.4 |
| ATR |
12.7 |
12.9 |
0.2 |
1.4% |
0.0 |
| Volume |
281,595 |
275,625 |
-5,970 |
-2.1% |
1,113,760 |
|
| Daily Pivots for day following 25-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
882.6 |
874.3 |
843.9 |
|
| R3 |
867.4 |
859.1 |
839.7 |
|
| R2 |
852.2 |
852.2 |
838.3 |
|
| R1 |
843.9 |
843.9 |
836.9 |
840.5 |
| PP |
837.0 |
837.0 |
837.0 |
835.3 |
| S1 |
828.7 |
828.7 |
834.1 |
825.3 |
| S2 |
821.8 |
821.8 |
832.7 |
|
| S3 |
806.6 |
813.5 |
831.3 |
|
| S4 |
791.4 |
798.3 |
827.1 |
|
|
| 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 |
859.6 |
830.2 |
29.4 |
3.5% |
13.8 |
1.7% |
18% |
False |
True |
233,370 |
| 10 |
860.0 |
825.0 |
35.0 |
4.2% |
13.8 |
1.6% |
30% |
False |
False |
264,939 |
| 20 |
865.8 |
825.0 |
40.8 |
4.9% |
13.0 |
1.6% |
26% |
False |
False |
169,548 |
| 40 |
865.8 |
818.2 |
47.6 |
5.7% |
12.3 |
1.5% |
36% |
False |
False |
85,333 |
| 60 |
865.8 |
810.7 |
55.1 |
6.6% |
10.7 |
1.3% |
45% |
False |
False |
56,919 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
910.0 |
|
2.618 |
885.2 |
|
1.618 |
870.0 |
|
1.000 |
860.6 |
|
0.618 |
854.8 |
|
HIGH |
845.4 |
|
0.618 |
839.6 |
|
0.500 |
837.8 |
|
0.382 |
836.0 |
|
LOW |
830.2 |
|
0.618 |
820.8 |
|
1.000 |
815.0 |
|
1.618 |
805.6 |
|
2.618 |
790.4 |
|
4.250 |
765.6 |
|
|
| Fisher Pivots for day following 25-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
837.8 |
838.9 |
| PP |
837.0 |
837.8 |
| S1 |
836.3 |
836.6 |
|