CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 19-Dec-2006 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
18-Dec-2006 |
19-Dec-2006 |
Change |
Change % |
Previous Week |
| Open |
800.0 |
789.4 |
-10.6 |
-1.3% |
799.2 |
| High |
803.2 |
791.5 |
-11.7 |
-1.5% |
807.2 |
| Low |
786.7 |
781.1 |
-5.6 |
-0.7% |
790.2 |
| Close |
789.5 |
789.1 |
-0.4 |
-0.1% |
800.0 |
| Range |
16.5 |
10.4 |
-6.1 |
-37.0% |
17.0 |
| ATR |
10.3 |
10.3 |
0.0 |
0.1% |
0.0 |
| Volume |
132,925 |
162,155 |
29,230 |
22.0% |
1,041,141 |
|
| Daily Pivots for day following 19-Dec-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
818.4 |
814.2 |
794.8 |
|
| R3 |
808.0 |
803.8 |
792.0 |
|
| R2 |
797.6 |
797.6 |
791.0 |
|
| R1 |
793.4 |
793.4 |
790.1 |
790.3 |
| PP |
787.2 |
787.2 |
787.2 |
785.7 |
| S1 |
783.0 |
783.0 |
788.1 |
779.9 |
| S2 |
776.8 |
776.8 |
787.2 |
|
| S3 |
766.4 |
772.6 |
786.2 |
|
| S4 |
756.0 |
762.2 |
783.4 |
|
|
| 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 |
781.1 |
26.1 |
3.3% |
10.7 |
1.4% |
31% |
False |
True |
188,723 |
| 10 |
807.2 |
781.1 |
26.1 |
3.3% |
9.9 |
1.3% |
31% |
False |
True |
156,926 |
| 20 |
809.6 |
775.5 |
34.1 |
4.3% |
9.9 |
1.3% |
40% |
False |
False |
80,392 |
| 40 |
809.6 |
755.5 |
54.1 |
6.9% |
10.4 |
1.3% |
62% |
False |
False |
40,335 |
| 60 |
809.6 |
723.1 |
86.5 |
11.0% |
10.4 |
1.3% |
76% |
False |
False |
26,920 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
835.7 |
|
2.618 |
818.7 |
|
1.618 |
808.3 |
|
1.000 |
801.9 |
|
0.618 |
797.9 |
|
HIGH |
791.5 |
|
0.618 |
787.5 |
|
0.500 |
786.3 |
|
0.382 |
785.1 |
|
LOW |
781.1 |
|
0.618 |
774.7 |
|
1.000 |
770.7 |
|
1.618 |
764.3 |
|
2.618 |
753.9 |
|
4.250 |
736.9 |
|
|
| Fisher Pivots for day following 19-Dec-2006 |
| Pivot |
1 day |
3 day |
| R1 |
788.2 |
793.6 |
| PP |
787.2 |
792.1 |
| S1 |
786.3 |
790.6 |
|