CME eMini Russell 2000 Future March 2007


Trading Metrics calculated at close of trading on 11-Dec-2006
Day Change Summary
Previous Current
08-Dec-2006 11-Dec-2006 Change Change % Previous Week
Open 799.5 799.2 -0.3 0.0% 790.1
High 804.8 803.3 -1.5 -0.2% 809.6
Low 793.1 796.8 3.7 0.5% 789.3
Close 799.2 801.4 2.2 0.3% 799.2
Range 11.7 6.5 -5.2 -44.4% 20.3
ATR 10.2 9.9 -0.3 -2.6% 0.0
Volume 198,351 207,867 9,516 4.8% 251,968
Daily Pivots for day following 11-Dec-2006
Classic Woodie Camarilla DeMark
R4 820.0 817.2 805.0
R3 813.5 810.7 803.2
R2 807.0 807.0 802.6
R1 804.2 804.2 802.0 805.6
PP 800.5 800.5 800.5 801.2
S1 797.7 797.7 800.8 799.1
S2 794.0 794.0 800.2
S3 787.5 791.2 799.6
S4 781.0 784.7 797.8
Weekly Pivots for week ending 08-Dec-2006
Classic Woodie Camarilla DeMark
R4 860.3 850.0 810.4
R3 840.0 829.7 804.8
R2 819.7 819.7 802.9
R1 809.4 809.4 801.1 814.6
PP 799.4 799.4 799.4 801.9
S1 789.1 789.1 797.3 794.3
S2 779.1 779.1 795.5
S3 758.8 768.8 793.6
S4 738.5 748.5 788.0
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 809.6 793.1 16.5 2.1% 8.1 1.0% 50% False False 91,521
10 809.6 775.5 34.1 4.3% 10.1 1.3% 76% False False 47,713
20 809.6 775.5 34.1 4.3% 9.4 1.2% 76% False False 24,163
40 809.6 755.5 54.1 6.8% 10.2 1.3% 85% False False 12,141
60 809.6 723.1 86.5 10.8% 10.6 1.3% 91% False False 8,119
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 2.4
Narrowest range in 11 trading days
Fibonacci Retracements and Extensions
4.250 830.9
2.618 820.3
1.618 813.8
1.000 809.8
0.618 807.3
HIGH 803.3
0.618 800.8
0.500 800.1
0.382 799.3
LOW 796.8
0.618 792.8
1.000 790.3
1.618 786.3
2.618 779.8
4.250 769.2
Fisher Pivots for day following 11-Dec-2006
Pivot 1 day 3 day
R1 801.0 800.9
PP 800.5 800.4
S1 800.1 800.0

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These figures are updated between 7pm and 10pm EST after a trading day.

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