CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 09-Mar-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
08-Mar-2007 |
09-Mar-2007 |
Change |
Change % |
Previous Week |
| Open |
775.0 |
783.7 |
8.7 |
1.1% |
774.0 |
| High |
787.5 |
789.4 |
1.9 |
0.2% |
789.4 |
| Low |
772.2 |
779.7 |
7.5 |
1.0% |
755.3 |
| Close |
783.7 |
787.4 |
3.7 |
0.5% |
787.4 |
| Range |
15.3 |
9.7 |
-5.6 |
-36.6% |
34.1 |
| ATR |
14.5 |
14.1 |
-0.3 |
-2.4% |
0.0 |
| Volume |
224,378 |
162,712 |
-61,666 |
-27.5% |
1,215,601 |
|
| Daily Pivots for day following 09-Mar-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
814.6 |
810.7 |
792.7 |
|
| R3 |
804.9 |
801.0 |
790.1 |
|
| R2 |
795.2 |
795.2 |
789.2 |
|
| R1 |
791.3 |
791.3 |
788.3 |
793.3 |
| PP |
785.5 |
785.5 |
785.5 |
786.5 |
| S1 |
781.6 |
781.6 |
786.5 |
783.6 |
| S2 |
775.8 |
775.8 |
785.6 |
|
| S3 |
766.1 |
771.9 |
784.7 |
|
| S4 |
756.4 |
762.2 |
782.1 |
|
|
| Weekly Pivots for week ending 09-Mar-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
879.7 |
867.6 |
806.2 |
|
| R3 |
845.6 |
833.5 |
796.8 |
|
| R2 |
811.5 |
811.5 |
793.7 |
|
| R1 |
799.4 |
799.4 |
790.5 |
805.5 |
| PP |
777.4 |
777.4 |
777.4 |
780.4 |
| S1 |
765.3 |
765.3 |
784.3 |
771.4 |
| S2 |
743.3 |
743.3 |
781.1 |
|
| S3 |
709.2 |
731.2 |
778.0 |
|
| S4 |
675.1 |
697.1 |
768.6 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
789.4 |
755.3 |
34.1 |
4.3% |
16.5 |
2.1% |
94% |
True |
False |
243,120 |
| 10 |
831.3 |
755.3 |
76.0 |
9.7% |
19.2 |
2.4% |
42% |
False |
False |
251,369 |
| 20 |
831.9 |
755.3 |
76.6 |
9.7% |
14.2 |
1.8% |
42% |
False |
False |
206,360 |
| 40 |
831.9 |
755.3 |
76.6 |
9.7% |
12.3 |
1.6% |
42% |
False |
False |
184,375 |
| 60 |
831.9 |
755.3 |
76.6 |
9.7% |
11.8 |
1.5% |
42% |
False |
False |
174,321 |
| 80 |
831.9 |
755.3 |
76.6 |
9.7% |
11.3 |
1.4% |
42% |
False |
False |
134,184 |
| 100 |
831.9 |
755.3 |
76.6 |
9.7% |
11.2 |
1.4% |
42% |
False |
False |
107,372 |
| 120 |
831.9 |
723.1 |
108.8 |
13.8% |
11.2 |
1.4% |
59% |
False |
False |
89,488 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
830.6 |
|
2.618 |
814.8 |
|
1.618 |
805.1 |
|
1.000 |
799.1 |
|
0.618 |
795.4 |
|
HIGH |
789.4 |
|
0.618 |
785.7 |
|
0.500 |
784.6 |
|
0.382 |
783.4 |
|
LOW |
779.7 |
|
0.618 |
773.7 |
|
1.000 |
770.0 |
|
1.618 |
764.0 |
|
2.618 |
754.3 |
|
4.250 |
738.5 |
|
|
| Fisher Pivots for day following 09-Mar-2007 |
| Pivot |
1 day |
3 day |
| R1 |
786.5 |
785.2 |
| PP |
785.5 |
783.0 |
| S1 |
784.6 |
780.8 |
|