CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 10-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
09-Jan-2007 |
10-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
781.6 |
783.3 |
1.7 |
0.2% |
800.2 |
| High |
784.9 |
785.8 |
0.9 |
0.1% |
803.9 |
| Low |
773.2 |
776.8 |
3.6 |
0.5% |
778.6 |
| Close |
783.3 |
785.3 |
2.0 |
0.3% |
779.2 |
| Range |
11.7 |
9.0 |
-2.7 |
-23.1% |
25.3 |
| ATR |
11.3 |
11.1 |
-0.2 |
-1.4% |
0.0 |
| Volume |
209,397 |
196,341 |
-13,056 |
-6.2% |
398,426 |
|
| Daily Pivots for day following 10-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
809.6 |
806.5 |
790.3 |
|
| R3 |
800.6 |
797.5 |
787.8 |
|
| R2 |
791.6 |
791.6 |
787.0 |
|
| R1 |
788.5 |
788.5 |
786.1 |
790.1 |
| PP |
782.6 |
782.6 |
782.6 |
783.4 |
| S1 |
779.5 |
779.5 |
784.5 |
781.1 |
| S2 |
773.6 |
773.6 |
783.7 |
|
| S3 |
764.6 |
770.5 |
782.8 |
|
| S4 |
755.6 |
761.5 |
780.4 |
|
|
| 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 |
798.3 |
773.2 |
25.1 |
3.2% |
12.6 |
1.6% |
48% |
False |
False |
201,061 |
| 10 |
805.9 |
773.2 |
32.7 |
4.2% |
12.1 |
1.5% |
37% |
False |
False |
132,984 |
| 20 |
807.2 |
773.2 |
34.0 |
4.3% |
10.9 |
1.4% |
36% |
False |
False |
154,213 |
| 40 |
809.6 |
773.2 |
36.4 |
4.6% |
10.2 |
1.3% |
33% |
False |
False |
83,993 |
| 60 |
809.6 |
755.5 |
54.1 |
6.9% |
10.5 |
1.3% |
55% |
False |
False |
56,037 |
| 80 |
809.6 |
723.1 |
86.5 |
11.0% |
10.6 |
1.4% |
72% |
False |
False |
42,045 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
824.1 |
|
2.618 |
809.4 |
|
1.618 |
800.4 |
|
1.000 |
794.8 |
|
0.618 |
791.4 |
|
HIGH |
785.8 |
|
0.618 |
782.4 |
|
0.500 |
781.3 |
|
0.382 |
780.2 |
|
LOW |
776.8 |
|
0.618 |
771.2 |
|
1.000 |
767.8 |
|
1.618 |
762.2 |
|
2.618 |
753.2 |
|
4.250 |
738.6 |
|
|
| Fisher Pivots for day following 10-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
784.0 |
783.4 |
| PP |
782.6 |
781.4 |
| S1 |
781.3 |
779.5 |
|