CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 11-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Jan-2007 |
11-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
783.3 |
785.3 |
2.0 |
0.3% |
800.2 |
| High |
785.8 |
796.7 |
10.9 |
1.4% |
803.9 |
| Low |
776.8 |
783.4 |
6.6 |
0.8% |
778.6 |
| Close |
785.3 |
792.9 |
7.6 |
1.0% |
779.2 |
| Range |
9.0 |
13.3 |
4.3 |
47.8% |
25.3 |
| ATR |
11.1 |
11.3 |
0.2 |
1.4% |
0.0 |
| Volume |
196,341 |
174,416 |
-21,925 |
-11.2% |
398,426 |
|
| Daily Pivots for day following 11-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
830.9 |
825.2 |
800.2 |
|
| R3 |
817.6 |
811.9 |
796.6 |
|
| R2 |
804.3 |
804.3 |
795.3 |
|
| R1 |
798.6 |
798.6 |
794.1 |
801.5 |
| PP |
791.0 |
791.0 |
791.0 |
792.4 |
| S1 |
785.3 |
785.3 |
791.7 |
788.2 |
| S2 |
777.7 |
777.7 |
790.5 |
|
| S3 |
764.4 |
772.0 |
789.2 |
|
| S4 |
751.1 |
758.7 |
785.6 |
|
|
| Weekly Pivots for week ending 05-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
863.1 |
846.5 |
793.1 |
|
| R3 |
837.8 |
821.2 |
786.2 |
|
| R2 |
812.5 |
812.5 |
783.8 |
|
| R1 |
795.9 |
795.9 |
781.5 |
791.6 |
| PP |
787.2 |
787.2 |
787.2 |
785.1 |
| S1 |
770.6 |
770.6 |
776.9 |
766.3 |
| S2 |
761.9 |
761.9 |
774.6 |
|
| S3 |
736.6 |
745.3 |
772.2 |
|
| S4 |
711.3 |
720.0 |
765.3 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
796.7 |
773.2 |
23.5 |
3.0% |
12.5 |
1.6% |
84% |
True |
False |
195,440 |
| 10 |
805.9 |
773.2 |
32.7 |
4.1% |
12.3 |
1.6% |
60% |
False |
False |
141,521 |
| 20 |
807.2 |
773.2 |
34.0 |
4.3% |
11.3 |
1.4% |
58% |
False |
False |
152,541 |
| 40 |
809.6 |
773.2 |
36.4 |
4.6% |
10.3 |
1.3% |
54% |
False |
False |
88,352 |
| 60 |
809.6 |
755.5 |
54.1 |
6.8% |
10.6 |
1.3% |
69% |
False |
False |
58,941 |
| 80 |
809.6 |
723.1 |
86.5 |
10.9% |
10.7 |
1.4% |
81% |
False |
False |
44,225 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
853.2 |
|
2.618 |
831.5 |
|
1.618 |
818.2 |
|
1.000 |
810.0 |
|
0.618 |
804.9 |
|
HIGH |
796.7 |
|
0.618 |
791.6 |
|
0.500 |
790.1 |
|
0.382 |
788.5 |
|
LOW |
783.4 |
|
0.618 |
775.2 |
|
1.000 |
770.1 |
|
1.618 |
761.9 |
|
2.618 |
748.6 |
|
4.250 |
726.9 |
|
|
| Fisher Pivots for day following 11-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
792.0 |
790.3 |
| PP |
791.0 |
787.6 |
| S1 |
790.1 |
785.0 |
|