CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 29-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
28-Jun-2007 |
29-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
845.6 |
845.3 |
-0.3 |
0.0% |
840.4 |
| High |
853.3 |
852.9 |
-0.4 |
0.0% |
853.3 |
| Low |
844.3 |
834.4 |
-9.9 |
-1.2% |
824.2 |
| Close |
845.3 |
842.1 |
-3.2 |
-0.4% |
842.1 |
| Range |
9.0 |
18.5 |
9.5 |
105.6% |
29.1 |
| ATR |
13.1 |
13.5 |
0.4 |
2.9% |
0.0 |
| Volume |
278,955 |
215,593 |
-63,362 |
-22.7% |
1,327,917 |
|
| Daily Pivots for day following 29-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
898.6 |
888.9 |
852.3 |
|
| R3 |
880.1 |
870.4 |
847.2 |
|
| R2 |
861.6 |
861.6 |
845.5 |
|
| R1 |
851.9 |
851.9 |
843.8 |
847.5 |
| PP |
843.1 |
843.1 |
843.1 |
841.0 |
| S1 |
833.4 |
833.4 |
840.4 |
829.0 |
| S2 |
824.6 |
824.6 |
838.7 |
|
| S3 |
806.1 |
814.9 |
837.0 |
|
| S4 |
787.6 |
796.4 |
831.9 |
|
|
| Weekly Pivots for week ending 29-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
927.2 |
913.7 |
858.1 |
|
| R3 |
898.1 |
884.6 |
850.1 |
|
| R2 |
869.0 |
869.0 |
847.4 |
|
| R1 |
855.5 |
855.5 |
844.8 |
862.3 |
| PP |
839.9 |
839.9 |
839.9 |
843.2 |
| S1 |
826.4 |
826.4 |
839.4 |
833.2 |
| S2 |
810.8 |
810.8 |
836.8 |
|
| S3 |
781.7 |
797.3 |
834.1 |
|
| S4 |
752.6 |
768.2 |
826.1 |
|
|
| 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 |
3.5% |
15.1 |
1.8% |
62% |
False |
False |
265,583 |
| 10 |
860.0 |
824.2 |
35.8 |
4.3% |
14.0 |
1.7% |
50% |
False |
False |
244,167 |
| 20 |
863.8 |
824.2 |
39.6 |
4.7% |
14.0 |
1.7% |
45% |
False |
False |
221,965 |
| 40 |
865.8 |
819.5 |
46.3 |
5.5% |
12.5 |
1.5% |
49% |
False |
False |
111,600 |
| 60 |
865.8 |
814.9 |
50.9 |
6.0% |
11.4 |
1.3% |
53% |
False |
False |
74,453 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
931.5 |
|
2.618 |
901.3 |
|
1.618 |
882.8 |
|
1.000 |
871.4 |
|
0.618 |
864.3 |
|
HIGH |
852.9 |
|
0.618 |
845.8 |
|
0.500 |
843.7 |
|
0.382 |
841.5 |
|
LOW |
834.4 |
|
0.618 |
823.0 |
|
1.000 |
815.9 |
|
1.618 |
804.5 |
|
2.618 |
786.0 |
|
4.250 |
755.8 |
|
|
| Fisher Pivots for day following 29-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
843.7 |
841.0 |
| PP |
843.1 |
839.9 |
| S1 |
842.6 |
838.8 |
|