CME eMini Russell 2000 Future June 2007
| Trading Metrics calculated at close of trading on 06-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Jun-2007 |
06-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
854.6 |
850.5 |
-4.1 |
-0.5% |
831.8 |
| High |
855.6 |
851.3 |
-4.3 |
-0.5% |
858.1 |
| Low |
844.3 |
836.9 |
-7.4 |
-0.9% |
830.6 |
| Close |
850.8 |
840.5 |
-10.3 |
-1.2% |
853.9 |
| Range |
11.3 |
14.4 |
3.1 |
27.4% |
27.5 |
| ATR |
10.9 |
11.2 |
0.2 |
2.3% |
0.0 |
| Volume |
180,771 |
263,400 |
82,629 |
45.7% |
738,552 |
|
| Daily Pivots for day following 06-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
886.1 |
877.7 |
848.4 |
|
| R3 |
871.7 |
863.3 |
844.5 |
|
| R2 |
857.3 |
857.3 |
843.1 |
|
| R1 |
848.9 |
848.9 |
841.8 |
845.9 |
| PP |
842.9 |
842.9 |
842.9 |
841.4 |
| S1 |
834.5 |
834.5 |
839.2 |
831.5 |
| S2 |
828.5 |
828.5 |
837.9 |
|
| S3 |
814.1 |
820.1 |
836.5 |
|
| S4 |
799.7 |
805.7 |
832.6 |
|
|
| Weekly Pivots for week ending 01-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
930.0 |
919.5 |
869.0 |
|
| R3 |
902.5 |
892.0 |
861.5 |
|
| R2 |
875.0 |
875.0 |
858.9 |
|
| R1 |
864.5 |
864.5 |
856.4 |
869.8 |
| PP |
847.5 |
847.5 |
847.5 |
850.2 |
| S1 |
837.0 |
837.0 |
851.4 |
842.3 |
| S2 |
820.0 |
820.0 |
848.9 |
|
| S3 |
792.5 |
809.5 |
846.3 |
|
| S4 |
765.0 |
782.0 |
838.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
858.1 |
836.9 |
21.2 |
2.5% |
9.8 |
1.2% |
17% |
False |
True |
211,118 |
| 10 |
858.1 |
822.0 |
36.1 |
4.3% |
11.2 |
1.3% |
51% |
False |
False |
204,907 |
| 20 |
858.1 |
811.8 |
46.3 |
5.5% |
11.9 |
1.4% |
62% |
False |
False |
209,538 |
| 40 |
858.1 |
807.4 |
50.7 |
6.0% |
11.0 |
1.3% |
65% |
False |
False |
189,973 |
| 60 |
858.1 |
766.7 |
91.4 |
10.9% |
10.5 |
1.3% |
81% |
False |
False |
184,174 |
| 80 |
858.1 |
762.4 |
95.7 |
11.4% |
11.3 |
1.3% |
82% |
False |
False |
148,000 |
| 100 |
858.1 |
762.4 |
95.7 |
11.4% |
11.0 |
1.3% |
82% |
False |
False |
118,452 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
912.5 |
|
2.618 |
889.0 |
|
1.618 |
874.6 |
|
1.000 |
865.7 |
|
0.618 |
860.2 |
|
HIGH |
851.3 |
|
0.618 |
845.8 |
|
0.500 |
844.1 |
|
0.382 |
842.4 |
|
LOW |
836.9 |
|
0.618 |
828.0 |
|
1.000 |
822.5 |
|
1.618 |
813.6 |
|
2.618 |
799.2 |
|
4.250 |
775.7 |
|
|
| Fisher Pivots for day following 06-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
844.1 |
846.5 |
| PP |
842.9 |
844.5 |
| S1 |
841.7 |
842.5 |
|