CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 09-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
08-Jan-2007 |
09-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
779.3 |
781.6 |
2.3 |
0.3% |
800.2 |
| High |
784.7 |
784.9 |
0.2 |
0.0% |
803.9 |
| Low |
773.8 |
773.2 |
-0.6 |
-0.1% |
778.6 |
| Close |
781.7 |
783.3 |
1.6 |
0.2% |
779.2 |
| Range |
10.9 |
11.7 |
0.8 |
7.3% |
25.3 |
| ATR |
11.2 |
11.3 |
0.0 |
0.3% |
0.0 |
| Volume |
202,492 |
209,397 |
6,905 |
3.4% |
398,426 |
|
| Daily Pivots for day following 09-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
815.6 |
811.1 |
789.7 |
|
| R3 |
803.9 |
799.4 |
786.5 |
|
| R2 |
792.2 |
792.2 |
785.4 |
|
| R1 |
787.7 |
787.7 |
784.4 |
790.0 |
| PP |
780.5 |
780.5 |
780.5 |
781.6 |
| S1 |
776.0 |
776.0 |
782.2 |
778.3 |
| S2 |
768.8 |
768.8 |
781.2 |
|
| S3 |
757.1 |
764.3 |
780.1 |
|
| S4 |
745.4 |
752.6 |
776.9 |
|
|
| 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 |
773.2 |
30.7 |
3.9% |
14.7 |
1.9% |
33% |
False |
True |
162,063 |
| 10 |
805.9 |
773.2 |
32.7 |
4.2% |
11.9 |
1.5% |
31% |
False |
True |
127,364 |
| 20 |
807.2 |
773.2 |
34.0 |
4.3% |
11.0 |
1.4% |
30% |
False |
True |
154,314 |
| 40 |
809.6 |
769.9 |
39.7 |
5.1% |
10.2 |
1.3% |
34% |
False |
False |
79,091 |
| 60 |
809.6 |
755.5 |
54.1 |
6.9% |
10.5 |
1.3% |
51% |
False |
False |
52,769 |
| 80 |
809.6 |
723.1 |
86.5 |
11.0% |
10.5 |
1.3% |
70% |
False |
False |
39,590 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
834.6 |
|
2.618 |
815.5 |
|
1.618 |
803.8 |
|
1.000 |
796.6 |
|
0.618 |
792.1 |
|
HIGH |
784.9 |
|
0.618 |
780.4 |
|
0.500 |
779.1 |
|
0.382 |
777.7 |
|
LOW |
773.2 |
|
0.618 |
766.0 |
|
1.000 |
761.5 |
|
1.618 |
754.3 |
|
2.618 |
742.6 |
|
4.250 |
723.5 |
|
|
| Fisher Pivots for day following 09-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
781.9 |
784.7 |
| PP |
780.5 |
784.2 |
| S1 |
779.1 |
783.8 |
|