CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 03-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Dec-2006 |
03-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
801.2 |
800.2 |
-1.0 |
-0.1% |
785.0 |
| High |
802.8 |
803.9 |
1.1 |
0.1% |
805.9 |
| Low |
792.3 |
784.1 |
-8.2 |
-1.0% |
784.5 |
| Close |
794.9 |
793.6 |
-1.3 |
-0.2% |
794.9 |
| Range |
10.5 |
19.8 |
9.3 |
88.6% |
21.4 |
| ATR |
9.9 |
10.6 |
0.7 |
7.2% |
0.0 |
| Volume |
87,846 |
1,350 |
-86,496 |
-98.5% |
323,190 |
|
| Daily Pivots for day following 03-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
853.3 |
843.2 |
804.5 |
|
| R3 |
833.5 |
823.4 |
799.0 |
|
| R2 |
813.7 |
813.7 |
797.2 |
|
| R1 |
803.6 |
803.6 |
795.4 |
798.8 |
| PP |
793.9 |
793.9 |
793.9 |
791.4 |
| S1 |
783.8 |
783.8 |
791.8 |
779.0 |
| S2 |
774.1 |
774.1 |
790.0 |
|
| S3 |
754.3 |
764.0 |
788.2 |
|
| S4 |
734.5 |
744.2 |
782.7 |
|
|
| Weekly Pivots for week ending 29-Dec-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
859.3 |
848.5 |
806.7 |
|
| R3 |
837.9 |
827.1 |
800.8 |
|
| R2 |
816.5 |
816.5 |
798.8 |
|
| R1 |
805.7 |
805.7 |
796.9 |
811.1 |
| PP |
795.1 |
795.1 |
795.1 |
797.8 |
| S1 |
784.3 |
784.3 |
792.9 |
789.7 |
| S2 |
773.7 |
773.7 |
791.0 |
|
| S3 |
752.3 |
762.9 |
789.0 |
|
| S4 |
730.9 |
741.5 |
783.1 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
805.9 |
784.1 |
21.8 |
2.7% |
11.6 |
1.5% |
44% |
False |
True |
64,908 |
| 10 |
805.9 |
781.1 |
24.8 |
3.1% |
11.0 |
1.4% |
50% |
False |
False |
103,782 |
| 20 |
809.6 |
781.1 |
28.5 |
3.6% |
10.3 |
1.3% |
44% |
False |
False |
116,546 |
| 40 |
809.6 |
764.2 |
45.4 |
5.7% |
10.2 |
1.3% |
65% |
False |
False |
58,880 |
| 60 |
809.6 |
746.8 |
62.8 |
7.9% |
10.3 |
1.3% |
75% |
False |
False |
39,291 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
888.1 |
|
2.618 |
855.7 |
|
1.618 |
835.9 |
|
1.000 |
823.7 |
|
0.618 |
816.1 |
|
HIGH |
803.9 |
|
0.618 |
796.3 |
|
0.500 |
794.0 |
|
0.382 |
791.7 |
|
LOW |
784.1 |
|
0.618 |
771.9 |
|
1.000 |
764.3 |
|
1.618 |
752.1 |
|
2.618 |
732.3 |
|
4.250 |
700.0 |
|
|
| Fisher Pivots for day following 03-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
794.0 |
795.0 |
| PP |
793.9 |
794.5 |
| S1 |
793.7 |
794.1 |
|