CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 27-Feb-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Feb-2007 |
27-Feb-2007 |
Change |
Change % |
Previous Week |
| Open |
827.2 |
825.2 |
-2.0 |
-0.2% |
819.5 |
| High |
831.3 |
825.5 |
-5.8 |
-0.7% |
831.9 |
| Low |
819.1 |
786.6 |
-32.5 |
-4.0% |
813.4 |
| Close |
825.1 |
787.2 |
-37.9 |
-4.6% |
827.3 |
| Range |
12.2 |
38.9 |
26.7 |
218.9% |
18.5 |
| ATR |
9.7 |
11.8 |
2.1 |
21.6% |
0.0 |
| Volume |
164,933 |
176,042 |
11,109 |
6.7% |
637,495 |
|
| Daily Pivots for day following 27-Feb-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
916.5 |
890.7 |
808.6 |
|
| R3 |
877.6 |
851.8 |
797.9 |
|
| R2 |
838.7 |
838.7 |
794.3 |
|
| R1 |
812.9 |
812.9 |
790.8 |
806.4 |
| PP |
799.8 |
799.8 |
799.8 |
796.5 |
| S1 |
774.0 |
774.0 |
783.6 |
767.5 |
| S2 |
760.9 |
760.9 |
780.1 |
|
| S3 |
722.0 |
735.1 |
776.5 |
|
| S4 |
683.1 |
696.2 |
765.8 |
|
|
| Weekly Pivots for week ending 23-Feb-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
879.7 |
872.0 |
837.5 |
|
| R3 |
861.2 |
853.5 |
832.4 |
|
| R2 |
842.7 |
842.7 |
830.7 |
|
| R1 |
835.0 |
835.0 |
829.0 |
838.9 |
| PP |
824.2 |
824.2 |
824.2 |
826.1 |
| S1 |
816.5 |
816.5 |
825.6 |
820.4 |
| S2 |
805.7 |
805.7 |
823.9 |
|
| S3 |
787.2 |
798.0 |
822.2 |
|
| S4 |
768.7 |
779.5 |
817.1 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
831.9 |
786.6 |
45.3 |
5.8% |
14.6 |
1.9% |
1% |
False |
True |
169,980 |
| 10 |
831.9 |
786.6 |
45.3 |
5.8% |
12.0 |
1.5% |
1% |
False |
True |
161,636 |
| 20 |
831.9 |
786.6 |
45.3 |
5.8% |
10.3 |
1.3% |
1% |
False |
True |
159,771 |
| 40 |
831.9 |
773.2 |
58.7 |
7.5% |
11.3 |
1.4% |
24% |
False |
False |
159,583 |
| 60 |
831.9 |
773.2 |
58.7 |
7.5% |
10.9 |
1.4% |
24% |
False |
False |
142,579 |
| 80 |
831.9 |
755.5 |
76.4 |
9.7% |
10.7 |
1.4% |
41% |
False |
False |
107,038 |
| 100 |
831.9 |
726.4 |
105.5 |
13.4% |
10.7 |
1.4% |
58% |
False |
False |
85,654 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
990.8 |
|
2.618 |
927.3 |
|
1.618 |
888.4 |
|
1.000 |
864.4 |
|
0.618 |
849.5 |
|
HIGH |
825.5 |
|
0.618 |
810.6 |
|
0.500 |
806.1 |
|
0.382 |
801.5 |
|
LOW |
786.6 |
|
0.618 |
762.6 |
|
1.000 |
747.7 |
|
1.618 |
723.7 |
|
2.618 |
684.8 |
|
4.250 |
621.3 |
|
|
| Fisher Pivots for day following 27-Feb-2007 |
| Pivot |
1 day |
3 day |
| R1 |
806.1 |
809.0 |
| PP |
799.8 |
801.7 |
| S1 |
793.5 |
794.5 |
|