CME eMini Russell 2000 Future June 2007
| Trading Metrics calculated at close of trading on 21-Mar-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Mar-2007 |
21-Mar-2007 |
Change |
Change % |
Previous Week |
| Open |
793.9 |
800.4 |
6.5 |
0.8% |
794.2 |
| High |
800.8 |
815.7 |
14.9 |
1.9% |
797.4 |
| Low |
791.0 |
798.4 |
7.4 |
0.9% |
766.7 |
| Close |
800.5 |
814.5 |
14.0 |
1.7% |
784.4 |
| Range |
9.8 |
17.3 |
7.5 |
76.5% |
30.7 |
| ATR |
13.3 |
13.6 |
0.3 |
2.1% |
0.0 |
| Volume |
168,523 |
155,718 |
-12,805 |
-7.6% |
1,425,124 |
|
| Daily Pivots for day following 21-Mar-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
861.4 |
855.3 |
824.0 |
|
| R3 |
844.1 |
838.0 |
819.3 |
|
| R2 |
826.8 |
826.8 |
817.7 |
|
| R1 |
820.7 |
820.7 |
816.1 |
823.8 |
| PP |
809.5 |
809.5 |
809.5 |
811.1 |
| S1 |
803.4 |
803.4 |
812.9 |
806.5 |
| S2 |
792.2 |
792.2 |
811.3 |
|
| S3 |
774.9 |
786.1 |
809.7 |
|
| S4 |
757.6 |
768.8 |
805.0 |
|
|
| Weekly Pivots for week ending 16-Mar-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
874.9 |
860.4 |
801.3 |
|
| R3 |
844.2 |
829.7 |
792.8 |
|
| R2 |
813.5 |
813.5 |
790.0 |
|
| R1 |
799.0 |
799.0 |
787.2 |
790.9 |
| PP |
782.8 |
782.8 |
782.8 |
778.8 |
| S1 |
768.3 |
768.3 |
781.6 |
760.2 |
| S2 |
752.1 |
752.1 |
778.8 |
|
| S3 |
721.4 |
737.6 |
776.0 |
|
| S4 |
690.7 |
706.9 |
767.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
815.7 |
780.8 |
34.9 |
4.3% |
12.3 |
1.5% |
97% |
True |
False |
221,949 |
| 10 |
815.7 |
766.7 |
49.0 |
6.0% |
13.4 |
1.6% |
98% |
True |
False |
220,750 |
| 20 |
838.9 |
762.4 |
76.5 |
9.4% |
15.5 |
1.9% |
68% |
False |
False |
113,173 |
| 40 |
838.9 |
762.4 |
76.5 |
9.4% |
12.0 |
1.5% |
68% |
False |
False |
56,767 |
| 60 |
838.9 |
762.4 |
76.5 |
9.4% |
11.5 |
1.4% |
68% |
False |
False |
37,895 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
889.2 |
|
2.618 |
861.0 |
|
1.618 |
843.7 |
|
1.000 |
833.0 |
|
0.618 |
826.4 |
|
HIGH |
815.7 |
|
0.618 |
809.1 |
|
0.500 |
807.1 |
|
0.382 |
805.0 |
|
LOW |
798.4 |
|
0.618 |
787.7 |
|
1.000 |
781.1 |
|
1.618 |
770.4 |
|
2.618 |
753.1 |
|
4.250 |
724.9 |
|
|
| Fisher Pivots for day following 21-Mar-2007 |
| Pivot |
1 day |
3 day |
| R1 |
812.0 |
809.1 |
| PP |
809.5 |
803.8 |
| S1 |
807.1 |
798.4 |
|