CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 14-Mar-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Mar-2007 |
14-Mar-2007 |
Change |
Change % |
Previous Week |
| Open |
789.3 |
769.4 |
-19.9 |
-2.5% |
774.0 |
| High |
789.7 |
779.4 |
-10.3 |
-1.3% |
789.4 |
| Low |
767.8 |
760.6 |
-7.2 |
-0.9% |
755.3 |
| Close |
769.9 |
777.9 |
8.0 |
1.0% |
787.4 |
| Range |
21.9 |
18.8 |
-3.1 |
-14.2% |
34.1 |
| ATR |
14.3 |
14.6 |
0.3 |
2.3% |
0.0 |
| Volume |
90,544 |
105,327 |
14,783 |
16.3% |
1,215,601 |
|
| Daily Pivots for day following 14-Mar-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
829.0 |
822.3 |
788.2 |
|
| R3 |
810.2 |
803.5 |
783.1 |
|
| R2 |
791.4 |
791.4 |
781.3 |
|
| R1 |
784.7 |
784.7 |
779.6 |
788.1 |
| PP |
772.6 |
772.6 |
772.6 |
774.3 |
| S1 |
765.9 |
765.9 |
776.2 |
769.3 |
| S2 |
753.8 |
753.8 |
774.5 |
|
| S3 |
735.0 |
747.1 |
772.7 |
|
| S4 |
716.2 |
728.3 |
767.6 |
|
|
| 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 |
760.6 |
29.9 |
3.8% |
14.6 |
1.9% |
58% |
False |
True |
132,154 |
| 10 |
797.4 |
755.3 |
42.1 |
5.4% |
17.4 |
2.2% |
54% |
False |
False |
206,166 |
| 20 |
831.9 |
755.3 |
76.6 |
9.8% |
15.1 |
1.9% |
30% |
False |
False |
195,653 |
| 40 |
831.9 |
755.3 |
76.6 |
9.8% |
12.6 |
1.6% |
30% |
False |
False |
179,108 |
| 60 |
831.9 |
755.3 |
76.6 |
9.8% |
12.2 |
1.6% |
30% |
False |
False |
168,481 |
| 80 |
831.9 |
755.3 |
76.6 |
9.8% |
11.4 |
1.5% |
30% |
False |
False |
137,597 |
| 100 |
831.9 |
755.3 |
76.6 |
9.8% |
11.4 |
1.5% |
30% |
False |
False |
110,106 |
| 120 |
831.9 |
723.1 |
108.8 |
14.0% |
11.4 |
1.5% |
50% |
False |
False |
91,768 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
859.3 |
|
2.618 |
828.6 |
|
1.618 |
809.8 |
|
1.000 |
798.2 |
|
0.618 |
791.0 |
|
HIGH |
779.4 |
|
0.618 |
772.2 |
|
0.500 |
770.0 |
|
0.382 |
767.8 |
|
LOW |
760.6 |
|
0.618 |
749.0 |
|
1.000 |
741.8 |
|
1.618 |
730.2 |
|
2.618 |
711.4 |
|
4.250 |
680.7 |
|
|
| Fisher Pivots for day following 14-Mar-2007 |
| Pivot |
1 day |
3 day |
| R1 |
775.3 |
777.1 |
| PP |
772.6 |
776.3 |
| S1 |
770.0 |
775.6 |
|