CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 21-Dec-2006 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Dec-2006 |
21-Dec-2006 |
Change |
Change % |
Previous Week |
| Open |
789.0 |
793.1 |
4.1 |
0.5% |
799.2 |
| High |
795.9 |
797.2 |
1.3 |
0.2% |
807.2 |
| Low |
788.9 |
786.1 |
-2.8 |
-0.4% |
790.2 |
| Close |
793.0 |
789.3 |
-3.7 |
-0.5% |
800.0 |
| Range |
7.0 |
11.1 |
4.1 |
58.6% |
17.0 |
| ATR |
10.1 |
10.1 |
0.1 |
0.7% |
0.0 |
| Volume |
164,756 |
113,309 |
-51,447 |
-31.2% |
1,041,141 |
|
| Daily Pivots for day following 21-Dec-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
824.2 |
817.8 |
795.4 |
|
| R3 |
813.1 |
806.7 |
792.4 |
|
| R2 |
802.0 |
802.0 |
791.3 |
|
| R1 |
795.6 |
795.6 |
790.3 |
793.3 |
| PP |
790.9 |
790.9 |
790.9 |
789.7 |
| S1 |
784.5 |
784.5 |
788.3 |
782.2 |
| S2 |
779.8 |
779.8 |
787.3 |
|
| S3 |
768.7 |
773.4 |
786.2 |
|
| S4 |
757.6 |
762.3 |
783.2 |
|
|
| 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 |
806.0 |
781.1 |
24.9 |
3.2% |
10.4 |
1.3% |
33% |
False |
False |
154,121 |
| 10 |
807.2 |
781.1 |
26.1 |
3.3% |
10.2 |
1.3% |
31% |
False |
False |
181,263 |
| 20 |
809.6 |
775.5 |
34.1 |
4.3% |
10.5 |
1.3% |
40% |
False |
False |
94,201 |
| 40 |
809.6 |
755.5 |
54.1 |
6.9% |
10.3 |
1.3% |
62% |
False |
False |
47,279 |
| 60 |
809.6 |
723.1 |
86.5 |
11.0% |
10.4 |
1.3% |
77% |
False |
False |
31,554 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
844.4 |
|
2.618 |
826.3 |
|
1.618 |
815.2 |
|
1.000 |
808.3 |
|
0.618 |
804.1 |
|
HIGH |
797.2 |
|
0.618 |
793.0 |
|
0.500 |
791.7 |
|
0.382 |
790.3 |
|
LOW |
786.1 |
|
0.618 |
779.2 |
|
1.000 |
775.0 |
|
1.618 |
768.1 |
|
2.618 |
757.0 |
|
4.250 |
738.9 |
|
|
| Fisher Pivots for day following 21-Dec-2006 |
| Pivot |
1 day |
3 day |
| R1 |
791.7 |
789.3 |
| PP |
790.9 |
789.2 |
| S1 |
790.1 |
789.2 |
|