CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 08-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Jan-2007 |
08-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
795.7 |
779.3 |
-16.4 |
-2.1% |
800.2 |
| High |
796.1 |
784.7 |
-11.4 |
-1.4% |
803.9 |
| Low |
778.6 |
773.8 |
-4.8 |
-0.6% |
778.6 |
| Close |
779.2 |
781.7 |
2.5 |
0.3% |
779.2 |
| Range |
17.5 |
10.9 |
-6.6 |
-37.7% |
25.3 |
| ATR |
11.3 |
11.2 |
0.0 |
-0.2% |
0.0 |
| Volume |
194,558 |
202,492 |
7,934 |
4.1% |
398,426 |
|
| Daily Pivots for day following 08-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
812.8 |
808.1 |
787.7 |
|
| R3 |
801.9 |
797.2 |
784.7 |
|
| R2 |
791.0 |
791.0 |
783.7 |
|
| R1 |
786.3 |
786.3 |
782.7 |
788.7 |
| PP |
780.1 |
780.1 |
780.1 |
781.2 |
| S1 |
775.4 |
775.4 |
780.7 |
777.8 |
| S2 |
769.2 |
769.2 |
779.7 |
|
| S3 |
758.3 |
764.5 |
778.7 |
|
| S4 |
747.4 |
753.6 |
775.7 |
|
|
| Weekly Pivots for week ending 05-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
863.1 |
846.5 |
793.1 |
|
| R3 |
837.8 |
821.2 |
786.2 |
|
| R2 |
812.5 |
812.5 |
783.8 |
|
| R1 |
795.9 |
795.9 |
781.5 |
791.6 |
| PP |
787.2 |
787.2 |
787.2 |
785.1 |
| S1 |
770.6 |
770.6 |
776.9 |
766.3 |
| S2 |
761.9 |
761.9 |
774.6 |
|
| S3 |
736.6 |
745.3 |
772.2 |
|
| S4 |
711.3 |
720.0 |
765.3 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
803.9 |
773.8 |
30.1 |
3.9% |
14.5 |
1.9% |
26% |
False |
True |
137,752 |
| 10 |
805.9 |
773.8 |
32.1 |
4.1% |
11.8 |
1.5% |
25% |
False |
True |
117,756 |
| 20 |
807.2 |
773.8 |
33.4 |
4.3% |
10.9 |
1.4% |
24% |
False |
True |
145,088 |
| 40 |
809.6 |
767.0 |
42.6 |
5.4% |
10.3 |
1.3% |
35% |
False |
False |
73,861 |
| 60 |
809.6 |
754.0 |
55.6 |
7.1% |
10.5 |
1.3% |
50% |
False |
False |
49,280 |
| 80 |
809.6 |
723.1 |
86.5 |
11.1% |
10.4 |
1.3% |
68% |
False |
False |
36,973 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
831.0 |
|
2.618 |
813.2 |
|
1.618 |
802.3 |
|
1.000 |
795.6 |
|
0.618 |
791.4 |
|
HIGH |
784.7 |
|
0.618 |
780.5 |
|
0.500 |
779.3 |
|
0.382 |
778.0 |
|
LOW |
773.8 |
|
0.618 |
767.1 |
|
1.000 |
762.9 |
|
1.618 |
756.2 |
|
2.618 |
745.3 |
|
4.250 |
727.5 |
|
|
| Fisher Pivots for day following 08-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
780.9 |
786.1 |
| PP |
780.1 |
784.6 |
| S1 |
779.3 |
783.2 |
|