CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 14-Dec-2006 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Dec-2006 |
14-Dec-2006 |
Change |
Change % |
Previous Week |
| Open |
796.1 |
797.8 |
1.7 |
0.2% |
790.1 |
| High |
801.3 |
807.2 |
5.9 |
0.7% |
809.6 |
| Low |
792.5 |
796.4 |
3.9 |
0.5% |
789.3 |
| Close |
797.9 |
801.1 |
3.2 |
0.4% |
799.2 |
| Range |
8.8 |
10.8 |
2.0 |
22.7% |
20.3 |
| ATR |
10.0 |
10.0 |
0.1 |
0.6% |
0.0 |
| Volume |
231,504 |
219,572 |
-11,932 |
-5.2% |
251,968 |
|
| Daily Pivots for day following 14-Dec-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
834.0 |
828.3 |
807.0 |
|
| R3 |
823.2 |
817.5 |
804.1 |
|
| R2 |
812.4 |
812.4 |
803.1 |
|
| R1 |
806.7 |
806.7 |
802.1 |
809.6 |
| PP |
801.6 |
801.6 |
801.6 |
803.0 |
| S1 |
795.9 |
795.9 |
800.1 |
798.8 |
| S2 |
790.8 |
790.8 |
799.1 |
|
| S3 |
780.0 |
785.1 |
798.1 |
|
| S4 |
769.2 |
774.3 |
795.2 |
|
|
| Weekly Pivots for week ending 08-Dec-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
860.3 |
850.0 |
810.4 |
|
| R3 |
840.0 |
829.7 |
804.8 |
|
| R2 |
819.7 |
819.7 |
802.9 |
|
| R1 |
809.4 |
809.4 |
801.1 |
814.6 |
| PP |
799.4 |
799.4 |
799.4 |
801.9 |
| S1 |
789.1 |
789.1 |
797.3 |
794.3 |
| S2 |
779.1 |
779.1 |
795.5 |
|
| S3 |
758.8 |
768.8 |
793.6 |
|
| S4 |
738.5 |
748.5 |
788.0 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
807.2 |
790.2 |
17.0 |
2.1% |
10.0 |
1.2% |
64% |
True |
False |
208,406 |
| 10 |
809.6 |
780.4 |
29.2 |
3.6% |
10.3 |
1.3% |
71% |
False |
False |
110,888 |
| 20 |
809.6 |
775.5 |
34.1 |
4.3% |
9.2 |
1.2% |
75% |
False |
False |
55,878 |
| 40 |
809.6 |
755.5 |
54.1 |
6.8% |
10.3 |
1.3% |
84% |
False |
False |
28,028 |
| 60 |
809.6 |
723.1 |
86.5 |
10.8% |
10.5 |
1.3% |
90% |
False |
False |
18,714 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
853.1 |
|
2.618 |
835.5 |
|
1.618 |
824.7 |
|
1.000 |
818.0 |
|
0.618 |
813.9 |
|
HIGH |
807.2 |
|
0.618 |
803.1 |
|
0.500 |
801.8 |
|
0.382 |
800.5 |
|
LOW |
796.4 |
|
0.618 |
789.7 |
|
1.000 |
785.6 |
|
1.618 |
778.9 |
|
2.618 |
768.1 |
|
4.250 |
750.5 |
|
|
| Fisher Pivots for day following 14-Dec-2006 |
| Pivot |
1 day |
3 day |
| R1 |
801.8 |
800.3 |
| PP |
801.6 |
799.5 |
| S1 |
801.3 |
798.7 |
|