CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 18-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
17-Jan-2007 |
18-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
794.8 |
792.1 |
-2.7 |
-0.3% |
779.3 |
| High |
798.7 |
794.0 |
-4.7 |
-0.6% |
802.0 |
| Low |
791.7 |
780.4 |
-11.3 |
-1.4% |
773.2 |
| Close |
792.3 |
782.8 |
-9.5 |
-1.2% |
801.7 |
| Range |
7.0 |
13.6 |
6.6 |
94.3% |
28.8 |
| ATR |
11.1 |
11.2 |
0.2 |
1.6% |
0.0 |
| Volume |
162,634 |
161,701 |
-933 |
-0.6% |
959,799 |
|
| Daily Pivots for day following 18-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
826.5 |
818.3 |
790.3 |
|
| R3 |
812.9 |
804.7 |
786.5 |
|
| R2 |
799.3 |
799.3 |
785.3 |
|
| R1 |
791.1 |
791.1 |
784.0 |
788.4 |
| PP |
785.7 |
785.7 |
785.7 |
784.4 |
| S1 |
777.5 |
777.5 |
781.6 |
774.8 |
| S2 |
772.1 |
772.1 |
780.3 |
|
| S3 |
758.5 |
763.9 |
779.1 |
|
| S4 |
744.9 |
750.3 |
775.3 |
|
|
| Weekly Pivots for week ending 12-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
878.7 |
869.0 |
817.5 |
|
| R3 |
849.9 |
840.2 |
809.6 |
|
| R2 |
821.1 |
821.1 |
807.0 |
|
| R1 |
811.4 |
811.4 |
804.3 |
816.3 |
| PP |
792.3 |
792.3 |
792.3 |
794.7 |
| S1 |
782.6 |
782.6 |
799.1 |
787.5 |
| S2 |
763.5 |
763.5 |
796.4 |
|
| S3 |
734.7 |
753.8 |
793.8 |
|
| S4 |
705.9 |
725.0 |
785.9 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
807.1 |
780.4 |
26.7 |
3.4% |
11.6 |
1.5% |
9% |
False |
True |
161,740 |
| 10 |
807.1 |
773.2 |
33.9 |
4.3% |
12.1 |
1.5% |
28% |
False |
False |
181,400 |
| 20 |
807.1 |
773.2 |
33.9 |
4.3% |
11.5 |
1.5% |
28% |
False |
False |
142,591 |
| 40 |
809.6 |
773.2 |
36.4 |
4.6% |
10.4 |
1.3% |
26% |
False |
False |
104,157 |
| 60 |
809.6 |
755.5 |
54.1 |
6.9% |
10.6 |
1.4% |
50% |
False |
False |
69,506 |
| 80 |
809.6 |
723.1 |
86.5 |
11.1% |
10.6 |
1.4% |
69% |
False |
False |
52,151 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
851.8 |
|
2.618 |
829.6 |
|
1.618 |
816.0 |
|
1.000 |
807.6 |
|
0.618 |
802.4 |
|
HIGH |
794.0 |
|
0.618 |
788.8 |
|
0.500 |
787.2 |
|
0.382 |
785.6 |
|
LOW |
780.4 |
|
0.618 |
772.0 |
|
1.000 |
766.8 |
|
1.618 |
758.4 |
|
2.618 |
744.8 |
|
4.250 |
722.6 |
|
|
| Fisher Pivots for day following 18-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
787.2 |
793.8 |
| PP |
785.7 |
790.1 |
| S1 |
784.3 |
786.5 |
|