CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 16-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Jan-2007 |
16-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
793.1 |
801.3 |
8.2 |
1.0% |
779.3 |
| High |
802.0 |
807.1 |
5.1 |
0.6% |
802.0 |
| Low |
791.6 |
793.6 |
2.0 |
0.3% |
773.2 |
| Close |
801.7 |
794.9 |
-6.8 |
-0.8% |
801.7 |
| Range |
10.4 |
13.5 |
3.1 |
29.8% |
28.8 |
| ATR |
11.2 |
11.4 |
0.2 |
1.5% |
0.0 |
| Volume |
177,153 |
132,799 |
-44,354 |
-25.0% |
959,799 |
|
| Daily Pivots for day following 16-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
839.0 |
830.5 |
802.3 |
|
| R3 |
825.5 |
817.0 |
798.6 |
|
| R2 |
812.0 |
812.0 |
797.4 |
|
| R1 |
803.5 |
803.5 |
796.1 |
801.0 |
| PP |
798.5 |
798.5 |
798.5 |
797.3 |
| S1 |
790.0 |
790.0 |
793.7 |
787.5 |
| S2 |
785.0 |
785.0 |
792.4 |
|
| S3 |
771.5 |
776.5 |
791.2 |
|
| S4 |
758.0 |
763.0 |
787.5 |
|
|
| 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 |
807.1 |
773.2 |
33.9 |
4.3% |
11.6 |
1.5% |
64% |
True |
False |
178,021 |
| 10 |
807.1 |
773.2 |
33.9 |
4.3% |
13.0 |
1.6% |
64% |
True |
False |
157,887 |
| 20 |
807.2 |
773.2 |
34.0 |
4.3% |
11.4 |
1.4% |
64% |
False |
False |
147,226 |
| 40 |
809.6 |
773.2 |
36.4 |
4.6% |
10.3 |
1.3% |
60% |
False |
False |
96,086 |
| 60 |
809.6 |
755.5 |
54.1 |
6.8% |
10.6 |
1.3% |
73% |
False |
False |
64,104 |
| 80 |
809.6 |
723.1 |
86.5 |
10.9% |
10.8 |
1.4% |
83% |
False |
False |
48,098 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
864.5 |
|
2.618 |
842.4 |
|
1.618 |
828.9 |
|
1.000 |
820.6 |
|
0.618 |
815.4 |
|
HIGH |
807.1 |
|
0.618 |
801.9 |
|
0.500 |
800.4 |
|
0.382 |
798.8 |
|
LOW |
793.6 |
|
0.618 |
785.3 |
|
1.000 |
780.1 |
|
1.618 |
771.8 |
|
2.618 |
758.3 |
|
4.250 |
736.2 |
|
|
| Fisher Pivots for day following 16-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
800.4 |
795.3 |
| PP |
798.5 |
795.1 |
| S1 |
796.7 |
795.0 |
|