CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 18-Dec-2006 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Dec-2006 |
18-Dec-2006 |
Change |
Change % |
Previous Week |
| Open |
801.4 |
800.0 |
-1.4 |
-0.2% |
799.2 |
| High |
806.0 |
803.2 |
-2.8 |
-0.3% |
807.2 |
| Low |
798.9 |
786.7 |
-12.2 |
-1.5% |
790.2 |
| Close |
800.0 |
789.5 |
-10.5 |
-1.3% |
800.0 |
| Range |
7.1 |
16.5 |
9.4 |
132.4% |
17.0 |
| ATR |
9.8 |
10.3 |
0.5 |
4.9% |
0.0 |
| Volume |
197,460 |
132,925 |
-64,535 |
-32.7% |
1,041,141 |
|
| Daily Pivots for day following 18-Dec-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
842.6 |
832.6 |
798.6 |
|
| R3 |
826.1 |
816.1 |
794.0 |
|
| R2 |
809.6 |
809.6 |
792.5 |
|
| R1 |
799.6 |
799.6 |
791.0 |
796.4 |
| PP |
793.1 |
793.1 |
793.1 |
791.5 |
| S1 |
783.1 |
783.1 |
788.0 |
779.9 |
| S2 |
776.6 |
776.6 |
786.5 |
|
| S3 |
760.1 |
766.6 |
785.0 |
|
| S4 |
743.6 |
750.1 |
780.4 |
|
|
| Weekly Pivots for week ending 15-Dec-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
850.1 |
842.1 |
809.4 |
|
| R3 |
833.1 |
825.1 |
804.7 |
|
| R2 |
816.1 |
816.1 |
803.1 |
|
| R1 |
808.1 |
808.1 |
801.6 |
812.1 |
| PP |
799.1 |
799.1 |
799.1 |
801.2 |
| S1 |
791.1 |
791.1 |
798.4 |
795.1 |
| S2 |
782.1 |
782.1 |
796.9 |
|
| S3 |
765.1 |
774.1 |
795.3 |
|
| S4 |
748.1 |
757.1 |
790.7 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
807.2 |
786.7 |
20.5 |
2.6% |
11.0 |
1.4% |
14% |
False |
True |
193,239 |
| 10 |
809.6 |
786.7 |
22.9 |
2.9% |
9.6 |
1.2% |
12% |
False |
True |
142,380 |
| 20 |
809.6 |
775.5 |
34.1 |
4.3% |
9.6 |
1.2% |
41% |
False |
False |
72,356 |
| 40 |
809.6 |
755.5 |
54.1 |
6.9% |
10.3 |
1.3% |
63% |
False |
False |
36,284 |
| 60 |
809.6 |
723.1 |
86.5 |
11.0% |
10.4 |
1.3% |
77% |
False |
False |
24,219 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
873.3 |
|
2.618 |
846.4 |
|
1.618 |
829.9 |
|
1.000 |
819.7 |
|
0.618 |
813.4 |
|
HIGH |
803.2 |
|
0.618 |
796.9 |
|
0.500 |
795.0 |
|
0.382 |
793.0 |
|
LOW |
786.7 |
|
0.618 |
776.5 |
|
1.000 |
770.2 |
|
1.618 |
760.0 |
|
2.618 |
743.5 |
|
4.250 |
716.6 |
|
|
| Fisher Pivots for day following 18-Dec-2006 |
| Pivot |
1 day |
3 day |
| R1 |
795.0 |
797.0 |
| PP |
793.1 |
794.5 |
| S1 |
791.3 |
792.0 |
|