CME eMini Russell 2000 Future March 2007


Trading Metrics calculated at close of trading on 27-Dec-2006
Day Change Summary
Previous Current
26-Dec-2006 27-Dec-2006 Change Change % Previous Week
Open 785.0 794.7 9.7 1.2% 800.0
High 795.6 805.0 9.4 1.2% 803.2
Low 784.5 794.7 10.2 1.3% 781.1
Close 795.3 804.2 8.9 1.1% 784.0
Range 11.1 10.3 -0.8 -7.2% 22.1
ATR 10.0 10.1 0.0 0.2% 0.0
Volume 89,045 59,752 -29,293 -32.9% 713,289
Daily Pivots for day following 27-Dec-2006
Classic Woodie Camarilla DeMark
R4 832.2 828.5 809.9
R3 821.9 818.2 807.0
R2 811.6 811.6 806.1
R1 807.9 807.9 805.1 809.8
PP 801.3 801.3 801.3 802.2
S1 797.6 797.6 803.3 799.5
S2 791.0 791.0 802.3
S3 780.7 787.3 801.4
S4 770.4 777.0 798.5
Weekly Pivots for week ending 22-Dec-2006
Classic Woodie Camarilla DeMark
R4 855.7 842.0 796.2
R3 833.6 819.9 790.1
R2 811.5 811.5 788.1
R1 797.8 797.8 786.0 793.6
PP 789.4 789.4 789.4 787.4
S1 775.7 775.7 782.0 771.5
S2 767.3 767.3 779.9
S3 745.2 753.6 777.9
S4 723.1 731.5 771.8
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 805.0 783.3 21.7 2.7% 9.3 1.2% 96% True False 113,401
10 807.2 781.1 26.1 3.2% 10.0 1.2% 89% False False 151,062
20 809.6 780.4 29.2 3.6% 10.3 1.3% 82% False False 108,570
40 809.6 755.5 54.1 6.7% 10.2 1.3% 90% False False 54,493
60 809.6 726.4 83.2 10.3% 10.4 1.3% 94% False False 36,369
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 1.8
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 848.8
2.618 832.0
1.618 821.7
1.000 815.3
0.618 811.4
HIGH 805.0
0.618 801.1
0.500 799.9
0.382 798.6
LOW 794.7
0.618 788.3
1.000 784.4
1.618 778.0
2.618 767.7
4.250 750.9
Fisher Pivots for day following 27-Dec-2006
Pivot 1 day 3 day
R1 802.8 800.9
PP 801.3 797.5
S1 799.9 794.2

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

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