CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 26-Dec-2006 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Dec-2006 |
26-Dec-2006 |
Change |
Change % |
Previous Week |
| Open |
789.5 |
785.0 |
-4.5 |
-0.6% |
800.0 |
| High |
790.3 |
795.6 |
5.3 |
0.7% |
803.2 |
| Low |
783.3 |
784.5 |
1.2 |
0.2% |
781.1 |
| Close |
784.0 |
795.3 |
11.3 |
1.4% |
784.0 |
| Range |
7.0 |
11.1 |
4.1 |
58.6% |
22.1 |
| ATR |
9.9 |
10.0 |
0.1 |
1.2% |
0.0 |
| Volume |
140,144 |
89,045 |
-51,099 |
-36.5% |
713,289 |
|
| Daily Pivots for day following 26-Dec-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
825.1 |
821.3 |
801.4 |
|
| R3 |
814.0 |
810.2 |
798.4 |
|
| R2 |
802.9 |
802.9 |
797.3 |
|
| R1 |
799.1 |
799.1 |
796.3 |
801.0 |
| PP |
791.8 |
791.8 |
791.8 |
792.8 |
| S1 |
788.0 |
788.0 |
794.3 |
789.9 |
| S2 |
780.7 |
780.7 |
793.3 |
|
| S3 |
769.6 |
776.9 |
792.2 |
|
| S4 |
758.5 |
765.8 |
789.2 |
|
|
| Weekly Pivots for week ending 22-Dec-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
855.7 |
842.0 |
796.2 |
|
| R3 |
833.6 |
819.9 |
790.1 |
|
| R2 |
811.5 |
811.5 |
788.1 |
|
| R1 |
797.8 |
797.8 |
786.0 |
793.6 |
| PP |
789.4 |
789.4 |
789.4 |
787.4 |
| S1 |
775.7 |
775.7 |
782.0 |
771.5 |
| S2 |
767.3 |
767.3 |
779.9 |
|
| S3 |
745.2 |
753.6 |
777.9 |
|
| S4 |
723.1 |
731.5 |
771.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
797.2 |
781.1 |
16.1 |
2.0% |
9.3 |
1.2% |
88% |
False |
False |
133,881 |
| 10 |
807.2 |
781.1 |
26.1 |
3.3% |
10.2 |
1.3% |
54% |
False |
False |
163,560 |
| 20 |
809.6 |
775.5 |
34.1 |
4.3% |
10.2 |
1.3% |
58% |
False |
False |
105,637 |
| 40 |
809.6 |
755.5 |
54.1 |
6.8% |
10.2 |
1.3% |
74% |
False |
False |
53,000 |
| 60 |
809.6 |
723.1 |
86.5 |
10.9% |
10.4 |
1.3% |
83% |
False |
False |
35,373 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
842.8 |
|
2.618 |
824.7 |
|
1.618 |
813.6 |
|
1.000 |
806.7 |
|
0.618 |
802.5 |
|
HIGH |
795.6 |
|
0.618 |
791.4 |
|
0.500 |
790.1 |
|
0.382 |
788.7 |
|
LOW |
784.5 |
|
0.618 |
777.6 |
|
1.000 |
773.4 |
|
1.618 |
766.5 |
|
2.618 |
755.4 |
|
4.250 |
737.3 |
|
|
| Fisher Pivots for day following 26-Dec-2006 |
| Pivot |
1 day |
3 day |
| R1 |
793.6 |
793.6 |
| PP |
791.8 |
791.9 |
| S1 |
790.1 |
790.3 |
|