CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 28-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Jun-2007 |
28-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
829.1 |
845.6 |
16.5 |
2.0% |
856.3 |
| High |
846.2 |
853.3 |
7.1 |
0.8% |
860.0 |
| Low |
824.2 |
844.3 |
20.1 |
2.4% |
834.6 |
| Close |
845.6 |
845.3 |
-0.3 |
0.0% |
840.6 |
| Range |
22.0 |
9.0 |
-13.0 |
-59.1% |
25.4 |
| ATR |
13.4 |
13.1 |
-0.3 |
-2.4% |
0.0 |
| Volume |
275,663 |
278,955 |
3,292 |
1.2% |
1,113,760 |
|
| Daily Pivots for day following 28-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
874.6 |
869.0 |
850.3 |
|
| R3 |
865.6 |
860.0 |
847.8 |
|
| R2 |
856.6 |
856.6 |
847.0 |
|
| R1 |
851.0 |
851.0 |
846.1 |
849.3 |
| PP |
847.6 |
847.6 |
847.6 |
846.8 |
| S1 |
842.0 |
842.0 |
844.5 |
840.3 |
| S2 |
838.6 |
838.6 |
843.7 |
|
| S3 |
829.6 |
833.0 |
842.8 |
|
| S4 |
820.6 |
824.0 |
840.4 |
|
|
| 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 |
853.3 |
824.2 |
29.1 |
3.4% |
13.9 |
1.6% |
73% |
True |
False |
278,783 |
| 10 |
860.0 |
824.2 |
35.8 |
4.2% |
13.5 |
1.6% |
59% |
False |
False |
248,086 |
| 20 |
865.8 |
824.2 |
41.6 |
4.9% |
13.6 |
1.6% |
51% |
False |
False |
211,236 |
| 40 |
865.8 |
819.5 |
46.3 |
5.5% |
12.2 |
1.4% |
56% |
False |
False |
106,219 |
| 60 |
865.8 |
814.9 |
50.9 |
6.0% |
11.1 |
1.3% |
60% |
False |
False |
70,860 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
891.6 |
|
2.618 |
876.9 |
|
1.618 |
867.9 |
|
1.000 |
862.3 |
|
0.618 |
858.9 |
|
HIGH |
853.3 |
|
0.618 |
849.9 |
|
0.500 |
848.8 |
|
0.382 |
847.7 |
|
LOW |
844.3 |
|
0.618 |
838.7 |
|
1.000 |
835.3 |
|
1.618 |
829.7 |
|
2.618 |
820.7 |
|
4.250 |
806.1 |
|
|
| Fisher Pivots for day following 28-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
848.8 |
843.1 |
| PP |
847.6 |
840.9 |
| S1 |
846.5 |
838.8 |
|