CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 27-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Jun-2007 |
27-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
835.6 |
829.1 |
-6.5 |
-0.8% |
856.3 |
| High |
839.4 |
846.2 |
6.8 |
0.8% |
860.0 |
| Low |
828.5 |
824.2 |
-4.3 |
-0.5% |
834.6 |
| Close |
829.1 |
845.6 |
16.5 |
2.0% |
840.6 |
| Range |
10.9 |
22.0 |
11.1 |
101.8% |
25.4 |
| ATR |
12.8 |
13.4 |
0.7 |
5.2% |
0.0 |
| Volume |
282,081 |
275,663 |
-6,418 |
-2.3% |
1,113,760 |
|
| Daily Pivots for day following 27-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
904.7 |
897.1 |
857.7 |
|
| R3 |
882.7 |
875.1 |
851.7 |
|
| R2 |
860.7 |
860.7 |
849.6 |
|
| R1 |
853.1 |
853.1 |
847.6 |
856.9 |
| PP |
838.7 |
838.7 |
838.7 |
840.6 |
| S1 |
831.1 |
831.1 |
843.6 |
834.9 |
| S2 |
816.7 |
816.7 |
841.6 |
|
| S3 |
794.7 |
809.1 |
839.6 |
|
| S4 |
772.7 |
787.1 |
833.5 |
|
|
| 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 |
847.6 |
824.2 |
23.4 |
2.8% |
14.7 |
1.7% |
91% |
False |
True |
272,334 |
| 10 |
860.0 |
824.2 |
35.8 |
4.2% |
13.8 |
1.6% |
60% |
False |
True |
252,925 |
| 20 |
865.8 |
824.2 |
41.6 |
4.9% |
13.5 |
1.6% |
51% |
False |
True |
197,388 |
| 40 |
865.8 |
819.5 |
46.3 |
5.5% |
12.3 |
1.5% |
56% |
False |
False |
99,266 |
| 60 |
865.8 |
814.9 |
50.9 |
6.0% |
11.0 |
1.3% |
60% |
False |
False |
66,212 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
939.7 |
|
2.618 |
903.8 |
|
1.618 |
881.8 |
|
1.000 |
868.2 |
|
0.618 |
859.8 |
|
HIGH |
846.2 |
|
0.618 |
837.8 |
|
0.500 |
835.2 |
|
0.382 |
832.6 |
|
LOW |
824.2 |
|
0.618 |
810.6 |
|
1.000 |
802.2 |
|
1.618 |
788.6 |
|
2.618 |
766.6 |
|
4.250 |
730.7 |
|
|
| Fisher Pivots for day following 27-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
842.1 |
842.1 |
| PP |
838.7 |
838.7 |
| S1 |
835.2 |
835.2 |
|