CME eMini Russell 2000 Future March 2007
Trading Metrics calculated at close of trading on 28-Dec-2006 |
Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Dec-2006 |
28-Dec-2006 |
Change |
Change % |
Previous Week |
Open |
794.7 |
804.3 |
9.6 |
1.2% |
800.0 |
High |
805.0 |
805.9 |
0.9 |
0.1% |
803.2 |
Low |
794.7 |
799.4 |
4.7 |
0.6% |
781.1 |
Close |
804.2 |
801.0 |
-3.2 |
-0.4% |
784.0 |
Range |
10.3 |
6.5 |
-3.8 |
-36.9% |
22.1 |
ATR |
10.1 |
9.8 |
-0.3 |
-2.5% |
0.0 |
Volume |
59,752 |
86,547 |
26,795 |
44.8% |
713,289 |
|
Daily Pivots for day following 28-Dec-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
R4 |
821.6 |
817.8 |
804.6 |
|
R3 |
815.1 |
811.3 |
802.8 |
|
R2 |
808.6 |
808.6 |
802.2 |
|
R1 |
804.8 |
804.8 |
801.6 |
803.5 |
PP |
802.1 |
802.1 |
802.1 |
801.4 |
S1 |
798.3 |
798.3 |
800.4 |
797.0 |
S2 |
795.6 |
795.6 |
799.8 |
|
S3 |
789.1 |
791.8 |
799.2 |
|
S4 |
782.6 |
785.3 |
797.4 |
|
|
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 |
805.9 |
783.3 |
22.6 |
2.8% |
9.2 |
1.1% |
78% |
True |
False |
97,759 |
10 |
807.2 |
781.1 |
26.1 |
3.3% |
9.8 |
1.2% |
76% |
False |
False |
136,566 |
20 |
809.6 |
780.4 |
29.2 |
3.6% |
10.0 |
1.3% |
71% |
False |
False |
112,861 |
40 |
809.6 |
755.5 |
54.1 |
6.8% |
9.8 |
1.2% |
84% |
False |
False |
56,653 |
60 |
809.6 |
744.1 |
65.5 |
8.2% |
10.2 |
1.3% |
87% |
False |
False |
37,810 |
|
|
Fibonacci Retracements and Extensions |
4.250 |
833.5 |
2.618 |
822.9 |
1.618 |
816.4 |
1.000 |
812.4 |
0.618 |
809.9 |
HIGH |
805.9 |
0.618 |
803.4 |
0.500 |
802.7 |
0.382 |
801.9 |
LOW |
799.4 |
0.618 |
795.4 |
1.000 |
792.9 |
1.618 |
788.9 |
2.618 |
782.4 |
4.250 |
771.8 |
|
|
Fisher Pivots for day following 28-Dec-2006 |
Pivot |
1 day |
3 day |
R1 |
802.7 |
799.1 |
PP |
802.1 |
797.1 |
S1 |
801.6 |
795.2 |
|