CME eMini Russell 2000 Future September 2007
| Trading Metrics calculated at close of trading on 05-Jul-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Jul-2007 |
05-Jul-2007 |
Change |
Change % |
Previous Week |
| Open |
850.7 |
853.2 |
2.5 |
0.3% |
840.4 |
| High |
855.7 |
857.9 |
2.2 |
0.3% |
853.3 |
| Low |
850.4 |
849.2 |
-1.2 |
-0.1% |
824.2 |
| Close |
854.6 |
855.7 |
1.1 |
0.1% |
842.1 |
| Range |
5.3 |
8.7 |
3.4 |
64.2% |
29.1 |
| ATR |
12.8 |
12.6 |
-0.3 |
-2.3% |
0.0 |
| Volume |
168,469 |
85,983 |
-82,486 |
-49.0% |
1,327,917 |
|
| Daily Pivots for day following 05-Jul-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
880.4 |
876.7 |
860.5 |
|
| R3 |
871.7 |
868.0 |
858.1 |
|
| R2 |
863.0 |
863.0 |
857.3 |
|
| R1 |
859.3 |
859.3 |
856.5 |
861.2 |
| PP |
854.3 |
854.3 |
854.3 |
855.2 |
| S1 |
850.6 |
850.6 |
854.9 |
852.5 |
| S2 |
845.6 |
845.6 |
854.1 |
|
| S3 |
836.9 |
841.9 |
853.3 |
|
| S4 |
828.2 |
833.2 |
850.9 |
|
|
| 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 |
857.9 |
834.4 |
23.5 |
2.7% |
10.8 |
1.3% |
91% |
True |
False |
202,286 |
| 10 |
857.9 |
824.2 |
33.7 |
3.9% |
12.8 |
1.5% |
93% |
True |
False |
237,310 |
| 20 |
860.0 |
824.2 |
35.8 |
4.2% |
13.8 |
1.6% |
88% |
False |
False |
245,502 |
| 40 |
865.8 |
819.5 |
46.3 |
5.4% |
12.6 |
1.5% |
78% |
False |
False |
124,512 |
| 60 |
865.8 |
814.9 |
50.9 |
5.9% |
11.6 |
1.4% |
80% |
False |
False |
83,064 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
894.9 |
|
2.618 |
880.7 |
|
1.618 |
872.0 |
|
1.000 |
866.6 |
|
0.618 |
863.3 |
|
HIGH |
857.9 |
|
0.618 |
854.6 |
|
0.500 |
853.6 |
|
0.382 |
852.5 |
|
LOW |
849.2 |
|
0.618 |
843.8 |
|
1.000 |
840.5 |
|
1.618 |
835.1 |
|
2.618 |
826.4 |
|
4.250 |
812.2 |
|
|
| Fisher Pivots for day following 05-Jul-2007 |
| Pivot |
1 day |
3 day |
| R1 |
855.0 |
853.4 |
| PP |
854.3 |
851.0 |
| S1 |
853.6 |
848.7 |
|