CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 20-Dec-2006 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Dec-2006 |
20-Dec-2006 |
Change |
Change % |
Previous Week |
| Open |
789.4 |
789.0 |
-0.4 |
-0.1% |
799.2 |
| High |
791.5 |
795.9 |
4.4 |
0.6% |
807.2 |
| Low |
781.1 |
788.9 |
7.8 |
1.0% |
790.2 |
| Close |
789.1 |
793.0 |
3.9 |
0.5% |
800.0 |
| Range |
10.4 |
7.0 |
-3.4 |
-32.7% |
17.0 |
| ATR |
10.3 |
10.1 |
-0.2 |
-2.3% |
0.0 |
| Volume |
162,155 |
164,756 |
2,601 |
1.6% |
1,041,141 |
|
| Daily Pivots for day following 20-Dec-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
813.6 |
810.3 |
796.9 |
|
| R3 |
806.6 |
803.3 |
794.9 |
|
| R2 |
799.6 |
799.6 |
794.3 |
|
| R1 |
796.3 |
796.3 |
793.6 |
798.0 |
| PP |
792.6 |
792.6 |
792.6 |
793.4 |
| S1 |
789.3 |
789.3 |
792.4 |
791.0 |
| S2 |
785.6 |
785.6 |
791.7 |
|
| S3 |
778.6 |
782.3 |
791.1 |
|
| S4 |
771.6 |
775.3 |
789.2 |
|
|
| 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% |
10.4 |
1.3% |
46% |
False |
False |
175,373 |
| 10 |
807.2 |
781.1 |
26.1 |
3.3% |
9.9 |
1.3% |
46% |
False |
False |
172,420 |
| 20 |
809.6 |
775.5 |
34.1 |
4.3% |
10.0 |
1.3% |
51% |
False |
False |
88,583 |
| 40 |
809.6 |
755.5 |
54.1 |
6.8% |
10.4 |
1.3% |
69% |
False |
False |
44,454 |
| 60 |
809.6 |
723.1 |
86.5 |
10.9% |
10.4 |
1.3% |
81% |
False |
False |
29,666 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
825.7 |
|
2.618 |
814.2 |
|
1.618 |
807.2 |
|
1.000 |
802.9 |
|
0.618 |
800.2 |
|
HIGH |
795.9 |
|
0.618 |
793.2 |
|
0.500 |
792.4 |
|
0.382 |
791.6 |
|
LOW |
788.9 |
|
0.618 |
784.6 |
|
1.000 |
781.9 |
|
1.618 |
777.6 |
|
2.618 |
770.6 |
|
4.250 |
759.2 |
|
|
| Fisher Pivots for day following 20-Dec-2006 |
| Pivot |
1 day |
3 day |
| R1 |
792.8 |
792.7 |
| PP |
792.6 |
792.4 |
| S1 |
792.4 |
792.2 |
|