CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 04-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Jan-2007 |
04-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
800.2 |
793.6 |
-6.6 |
-0.8% |
785.0 |
| High |
803.9 |
798.3 |
-5.6 |
-0.7% |
805.9 |
| Low |
784.1 |
784.6 |
0.5 |
0.1% |
784.5 |
| Close |
793.6 |
795.9 |
2.3 |
0.3% |
794.9 |
| Range |
19.8 |
13.7 |
-6.1 |
-30.8% |
21.4 |
| ATR |
10.6 |
10.8 |
0.2 |
2.1% |
0.0 |
| Volume |
1,350 |
202,518 |
201,168 |
14,901.3% |
323,190 |
|
| Daily Pivots for day following 04-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
834.0 |
828.7 |
803.4 |
|
| R3 |
820.3 |
815.0 |
799.7 |
|
| R2 |
806.6 |
806.6 |
798.4 |
|
| R1 |
801.3 |
801.3 |
797.2 |
804.0 |
| PP |
792.9 |
792.9 |
792.9 |
794.3 |
| S1 |
787.6 |
787.6 |
794.6 |
790.3 |
| S2 |
779.2 |
779.2 |
793.4 |
|
| S3 |
765.5 |
773.9 |
792.1 |
|
| S4 |
751.8 |
760.2 |
788.4 |
|
|
| 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% |
12.2 |
1.5% |
54% |
False |
False |
87,602 |
| 10 |
805.9 |
781.1 |
24.8 |
3.1% |
10.7 |
1.3% |
60% |
False |
False |
110,742 |
| 20 |
809.6 |
781.1 |
28.5 |
3.6% |
10.2 |
1.3% |
52% |
False |
False |
126,561 |
| 40 |
809.6 |
767.0 |
42.6 |
5.4% |
10.2 |
1.3% |
68% |
False |
False |
63,939 |
| 60 |
809.6 |
746.8 |
62.8 |
7.9% |
10.4 |
1.3% |
78% |
False |
False |
42,664 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
856.5 |
|
2.618 |
834.2 |
|
1.618 |
820.5 |
|
1.000 |
812.0 |
|
0.618 |
806.8 |
|
HIGH |
798.3 |
|
0.618 |
793.1 |
|
0.500 |
791.5 |
|
0.382 |
789.8 |
|
LOW |
784.6 |
|
0.618 |
776.1 |
|
1.000 |
770.9 |
|
1.618 |
762.4 |
|
2.618 |
748.7 |
|
4.250 |
726.4 |
|
|
| Fisher Pivots for day following 04-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
794.4 |
795.3 |
| PP |
792.9 |
794.6 |
| S1 |
791.5 |
794.0 |
|