CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 12-Mar-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
09-Mar-2007 |
12-Mar-2007 |
Change |
Change % |
Previous Week |
| Open |
783.7 |
786.6 |
2.9 |
0.4% |
774.0 |
| High |
789.4 |
790.5 |
1.1 |
0.1% |
789.4 |
| Low |
779.7 |
783.0 |
3.3 |
0.4% |
755.3 |
| Close |
787.4 |
789.4 |
2.0 |
0.3% |
787.4 |
| Range |
9.7 |
7.5 |
-2.2 |
-22.7% |
34.1 |
| ATR |
14.1 |
13.7 |
-0.5 |
-3.4% |
0.0 |
| Volume |
162,712 |
77,812 |
-84,900 |
-52.2% |
1,215,601 |
|
| Daily Pivots for day following 12-Mar-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
810.1 |
807.3 |
793.5 |
|
| R3 |
802.6 |
799.8 |
791.5 |
|
| R2 |
795.1 |
795.1 |
790.8 |
|
| R1 |
792.3 |
792.3 |
790.1 |
793.7 |
| PP |
787.6 |
787.6 |
787.6 |
788.4 |
| S1 |
784.8 |
784.8 |
788.7 |
786.2 |
| S2 |
780.1 |
780.1 |
788.0 |
|
| S3 |
772.6 |
777.3 |
787.3 |
|
| S4 |
765.1 |
769.8 |
785.3 |
|
|
| 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 |
790.5 |
755.3 |
35.2 |
4.5% |
13.7 |
1.7% |
97% |
True |
False |
209,553 |
| 10 |
825.5 |
755.3 |
70.2 |
8.9% |
18.8 |
2.4% |
49% |
False |
False |
242,657 |
| 20 |
831.9 |
755.3 |
76.6 |
9.7% |
13.8 |
1.8% |
45% |
False |
False |
202,735 |
| 40 |
831.9 |
755.3 |
76.6 |
9.7% |
12.2 |
1.5% |
45% |
False |
False |
181,960 |
| 60 |
831.9 |
755.3 |
76.6 |
9.7% |
11.9 |
1.5% |
45% |
False |
False |
172,154 |
| 80 |
831.9 |
755.3 |
76.6 |
9.7% |
11.3 |
1.4% |
45% |
False |
False |
135,156 |
| 100 |
831.9 |
755.3 |
76.6 |
9.7% |
11.2 |
1.4% |
45% |
False |
False |
108,149 |
| 120 |
831.9 |
723.1 |
108.8 |
13.8% |
11.2 |
1.4% |
61% |
False |
False |
90,137 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
822.4 |
|
2.618 |
810.1 |
|
1.618 |
802.6 |
|
1.000 |
798.0 |
|
0.618 |
795.1 |
|
HIGH |
790.5 |
|
0.618 |
787.6 |
|
0.500 |
786.8 |
|
0.382 |
785.9 |
|
LOW |
783.0 |
|
0.618 |
778.4 |
|
1.000 |
775.5 |
|
1.618 |
770.9 |
|
2.618 |
763.4 |
|
4.250 |
751.1 |
|
|
| Fisher Pivots for day following 12-Mar-2007 |
| Pivot |
1 day |
3 day |
| R1 |
788.5 |
786.7 |
| PP |
787.6 |
784.0 |
| S1 |
786.8 |
781.4 |
|