CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 22-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Jan-2007 |
22-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
782.5 |
788.1 |
5.6 |
0.7% |
801.3 |
| High |
790.2 |
791.4 |
1.2 |
0.2% |
807.1 |
| Low |
778.7 |
779.1 |
0.4 |
0.1% |
778.7 |
| Close |
788.0 |
782.0 |
-6.0 |
-0.8% |
788.0 |
| Range |
11.5 |
12.3 |
0.8 |
7.0% |
28.4 |
| ATR |
11.3 |
11.3 |
0.1 |
0.7% |
0.0 |
| Volume |
194,700 |
161,832 |
-32,868 |
-16.9% |
651,834 |
|
| Daily Pivots for day following 22-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
821.1 |
813.8 |
788.8 |
|
| R3 |
808.8 |
801.5 |
785.4 |
|
| R2 |
796.5 |
796.5 |
784.3 |
|
| R1 |
789.2 |
789.2 |
783.1 |
786.7 |
| PP |
784.2 |
784.2 |
784.2 |
782.9 |
| S1 |
776.9 |
776.9 |
780.9 |
774.4 |
| S2 |
771.9 |
771.9 |
779.7 |
|
| S3 |
759.6 |
764.6 |
778.6 |
|
| S4 |
747.3 |
752.3 |
775.2 |
|
|
| Weekly Pivots for week ending 19-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
876.5 |
860.6 |
803.6 |
|
| R3 |
848.1 |
832.2 |
795.8 |
|
| R2 |
819.7 |
819.7 |
793.2 |
|
| R1 |
803.8 |
803.8 |
790.6 |
797.6 |
| PP |
791.3 |
791.3 |
791.3 |
788.1 |
| S1 |
775.4 |
775.4 |
785.4 |
769.2 |
| S2 |
762.9 |
762.9 |
782.8 |
|
| S3 |
734.5 |
747.0 |
780.2 |
|
| S4 |
706.1 |
718.6 |
772.4 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
807.1 |
778.7 |
28.4 |
3.6% |
11.6 |
1.5% |
12% |
False |
False |
162,733 |
| 10 |
807.1 |
773.2 |
33.9 |
4.3% |
11.3 |
1.4% |
26% |
False |
False |
177,346 |
| 20 |
807.1 |
773.2 |
33.9 |
4.3% |
11.4 |
1.5% |
26% |
False |
False |
145,664 |
| 40 |
809.6 |
773.2 |
36.4 |
4.7% |
10.6 |
1.4% |
24% |
False |
False |
113,028 |
| 60 |
809.6 |
755.5 |
54.1 |
6.9% |
10.8 |
1.4% |
49% |
False |
False |
75,445 |
| 80 |
809.6 |
723.1 |
86.5 |
11.1% |
10.6 |
1.4% |
68% |
False |
False |
56,606 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
843.7 |
|
2.618 |
823.6 |
|
1.618 |
811.3 |
|
1.000 |
803.7 |
|
0.618 |
799.0 |
|
HIGH |
791.4 |
|
0.618 |
786.7 |
|
0.500 |
785.3 |
|
0.382 |
783.8 |
|
LOW |
779.1 |
|
0.618 |
771.5 |
|
1.000 |
766.8 |
|
1.618 |
759.2 |
|
2.618 |
746.9 |
|
4.250 |
726.8 |
|
|
| Fisher Pivots for day following 22-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
785.3 |
786.4 |
| PP |
784.2 |
784.9 |
| S1 |
783.1 |
783.5 |
|