CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 31-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Jan-2007 |
31-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
796.9 |
801.8 |
4.9 |
0.6% |
788.1 |
| High |
802.5 |
807.4 |
4.9 |
0.6% |
799.9 |
| Low |
794.9 |
795.8 |
0.9 |
0.1% |
779.1 |
| Close |
801.7 |
804.4 |
2.7 |
0.3% |
789.8 |
| Range |
7.6 |
11.6 |
4.0 |
52.6% |
20.8 |
| ATR |
11.4 |
11.4 |
0.0 |
0.1% |
0.0 |
| Volume |
180,755 |
143,377 |
-37,378 |
-20.7% |
812,665 |
|
| Daily Pivots for day following 31-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
837.3 |
832.5 |
810.8 |
|
| R3 |
825.7 |
820.9 |
807.6 |
|
| R2 |
814.1 |
814.1 |
806.5 |
|
| R1 |
809.3 |
809.3 |
805.5 |
811.7 |
| PP |
802.5 |
802.5 |
802.5 |
803.8 |
| S1 |
797.7 |
797.7 |
803.3 |
800.1 |
| S2 |
790.9 |
790.9 |
802.3 |
|
| S3 |
779.3 |
786.1 |
801.2 |
|
| S4 |
767.7 |
774.5 |
798.0 |
|
|
| Weekly Pivots for week ending 26-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
852.0 |
841.7 |
801.2 |
|
| R3 |
831.2 |
820.9 |
795.5 |
|
| R2 |
810.4 |
810.4 |
793.6 |
|
| R1 |
800.1 |
800.1 |
791.7 |
805.3 |
| PP |
789.6 |
789.6 |
789.6 |
792.2 |
| S1 |
779.3 |
779.3 |
787.9 |
784.5 |
| S2 |
768.8 |
768.8 |
786.0 |
|
| S3 |
748.0 |
758.5 |
784.1 |
|
| S4 |
727.2 |
737.7 |
778.4 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
807.4 |
781.1 |
26.3 |
3.3% |
11.5 |
1.4% |
89% |
True |
False |
167,624 |
| 10 |
807.4 |
778.7 |
28.7 |
3.6% |
11.9 |
1.5% |
90% |
True |
False |
168,400 |
| 20 |
807.4 |
773.2 |
34.2 |
4.3% |
12.3 |
1.5% |
91% |
True |
False |
166,883 |
| 40 |
809.6 |
773.2 |
36.4 |
4.5% |
11.2 |
1.4% |
86% |
False |
False |
142,012 |
| 60 |
809.6 |
756.2 |
53.4 |
6.6% |
10.7 |
1.3% |
90% |
False |
False |
94,860 |
| 80 |
809.6 |
745.8 |
63.8 |
7.9% |
10.7 |
1.3% |
92% |
False |
False |
71,174 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
856.7 |
|
2.618 |
837.8 |
|
1.618 |
826.2 |
|
1.000 |
819.0 |
|
0.618 |
814.6 |
|
HIGH |
807.4 |
|
0.618 |
803.0 |
|
0.500 |
801.6 |
|
0.382 |
800.2 |
|
LOW |
795.8 |
|
0.618 |
788.6 |
|
1.000 |
784.2 |
|
1.618 |
777.0 |
|
2.618 |
765.4 |
|
4.250 |
746.5 |
|
|
| Fisher Pivots for day following 31-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
803.5 |
802.1 |
| PP |
802.5 |
799.8 |
| S1 |
801.6 |
797.5 |
|