CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 12-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Jan-2007 |
12-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
785.3 |
793.1 |
7.8 |
1.0% |
779.3 |
| High |
796.7 |
802.0 |
5.3 |
0.7% |
802.0 |
| Low |
783.4 |
791.6 |
8.2 |
1.0% |
773.2 |
| Close |
792.9 |
801.7 |
8.8 |
1.1% |
801.7 |
| Range |
13.3 |
10.4 |
-2.9 |
-21.8% |
28.8 |
| ATR |
11.3 |
11.2 |
-0.1 |
-0.6% |
0.0 |
| Volume |
174,416 |
177,153 |
2,737 |
1.6% |
959,799 |
|
| Daily Pivots for day following 12-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
829.6 |
826.1 |
807.4 |
|
| R3 |
819.2 |
815.7 |
804.6 |
|
| R2 |
808.8 |
808.8 |
803.6 |
|
| R1 |
805.3 |
805.3 |
802.7 |
807.1 |
| PP |
798.4 |
798.4 |
798.4 |
799.3 |
| S1 |
794.9 |
794.9 |
800.7 |
796.7 |
| S2 |
788.0 |
788.0 |
799.8 |
|
| S3 |
777.6 |
784.5 |
798.8 |
|
| S4 |
767.2 |
774.1 |
796.0 |
|
|
| Weekly Pivots for week ending 12-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
878.7 |
869.0 |
817.5 |
|
| R3 |
849.9 |
840.2 |
809.6 |
|
| R2 |
821.1 |
821.1 |
807.0 |
|
| R1 |
811.4 |
811.4 |
804.3 |
816.3 |
| PP |
792.3 |
792.3 |
792.3 |
794.7 |
| S1 |
782.6 |
782.6 |
799.1 |
787.5 |
| S2 |
763.5 |
763.5 |
796.4 |
|
| S3 |
734.7 |
753.8 |
793.8 |
|
| S4 |
705.9 |
725.0 |
785.9 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
802.0 |
773.2 |
28.8 |
3.6% |
11.1 |
1.4% |
99% |
True |
False |
191,959 |
| 10 |
805.9 |
773.2 |
32.7 |
4.1% |
12.3 |
1.5% |
87% |
False |
False |
153,261 |
| 20 |
807.2 |
773.2 |
34.0 |
4.2% |
11.2 |
1.4% |
84% |
False |
False |
152,162 |
| 40 |
809.6 |
773.2 |
36.4 |
4.5% |
10.2 |
1.3% |
78% |
False |
False |
92,779 |
| 60 |
809.6 |
755.5 |
54.1 |
6.7% |
10.6 |
1.3% |
85% |
False |
False |
61,892 |
| 80 |
809.6 |
723.1 |
86.5 |
10.8% |
10.7 |
1.3% |
91% |
False |
False |
46,438 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
846.2 |
|
2.618 |
829.2 |
|
1.618 |
818.8 |
|
1.000 |
812.4 |
|
0.618 |
808.4 |
|
HIGH |
802.0 |
|
0.618 |
798.0 |
|
0.500 |
796.8 |
|
0.382 |
795.6 |
|
LOW |
791.6 |
|
0.618 |
785.2 |
|
1.000 |
781.2 |
|
1.618 |
774.8 |
|
2.618 |
764.4 |
|
4.250 |
747.4 |
|
|
| Fisher Pivots for day following 12-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
800.1 |
797.6 |
| PP |
798.4 |
793.5 |
| S1 |
796.8 |
789.4 |
|