CME eMini Russell 2000 Future June 2007
| Trading Metrics calculated at close of trading on 15-Jun-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Jun-2007 |
15-Jun-2007 |
Change |
Change % |
Previous Week |
| Open |
831.1 |
838.2 |
7.1 |
0.9% |
834.0 |
| High |
841.8 |
853.5 |
11.7 |
1.4% |
853.5 |
| Low |
830.9 |
838.1 |
7.2 |
0.9% |
817.8 |
| Close |
838.5 |
853.5 |
15.0 |
1.8% |
853.5 |
| Range |
10.9 |
15.4 |
4.5 |
40.8% |
35.7 |
| ATR |
12.6 |
12.8 |
0.2 |
1.5% |
0.0 |
| Volume |
101,416 |
39,964 |
-61,452 |
-60.6% |
524,315 |
|
| Daily Pivots for day following 15-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
894.4 |
889.3 |
861.9 |
|
| R3 |
879.0 |
873.9 |
857.7 |
|
| R2 |
863.7 |
863.7 |
856.3 |
|
| R1 |
858.6 |
858.6 |
854.9 |
861.1 |
| PP |
848.3 |
848.3 |
848.3 |
849.6 |
| S1 |
843.2 |
843.2 |
852.0 |
845.8 |
| S2 |
833.0 |
833.0 |
850.6 |
|
| S3 |
817.6 |
827.9 |
849.2 |
|
| S4 |
802.3 |
812.5 |
845.0 |
|
|
| Weekly Pivots for week ending 15-Jun-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
948.5 |
936.6 |
873.1 |
|
| R3 |
912.9 |
901.0 |
863.3 |
|
| R2 |
877.2 |
877.2 |
860.0 |
|
| R1 |
865.3 |
865.3 |
856.7 |
871.3 |
| PP |
841.6 |
841.6 |
841.6 |
844.5 |
| S1 |
829.7 |
829.7 |
850.2 |
835.6 |
| S2 |
805.9 |
805.9 |
846.9 |
|
| S3 |
770.3 |
794.0 |
843.6 |
|
| S4 |
734.6 |
758.4 |
833.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
853.5 |
817.8 |
35.7 |
4.2% |
13.6 |
1.6% |
100% |
True |
False |
104,863 |
| 10 |
856.0 |
817.5 |
38.5 |
4.5% |
14.1 |
1.7% |
93% |
False |
False |
169,973 |
| 20 |
858.1 |
813.5 |
44.6 |
5.2% |
13.1 |
1.5% |
90% |
False |
False |
185,807 |
| 40 |
858.1 |
810.3 |
47.8 |
5.6% |
12.0 |
1.4% |
90% |
False |
False |
187,571 |
| 60 |
858.1 |
796.8 |
61.3 |
7.2% |
10.9 |
1.3% |
92% |
False |
False |
174,112 |
| 80 |
858.1 |
762.4 |
95.7 |
11.2% |
12.1 |
1.4% |
95% |
False |
False |
161,164 |
| 100 |
858.1 |
762.4 |
95.7 |
11.2% |
11.3 |
1.3% |
95% |
False |
False |
129,008 |
| 120 |
858.1 |
762.4 |
95.7 |
11.2% |
11.2 |
1.3% |
95% |
False |
False |
107,533 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
918.7 |
|
2.618 |
893.6 |
|
1.618 |
878.3 |
|
1.000 |
868.8 |
|
0.618 |
862.9 |
|
HIGH |
853.5 |
|
0.618 |
847.6 |
|
0.500 |
845.8 |
|
0.382 |
844.0 |
|
LOW |
838.1 |
|
0.618 |
828.6 |
|
1.000 |
822.8 |
|
1.618 |
813.3 |
|
2.618 |
797.9 |
|
4.250 |
772.9 |
|
|
| Fisher Pivots for day following 15-Jun-2007 |
| Pivot |
1 day |
3 day |
| R1 |
850.9 |
847.5 |
| PP |
848.3 |
841.6 |
| S1 |
845.8 |
835.6 |
|