CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 19-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
18-Jan-2007 |
19-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
792.1 |
782.5 |
-9.6 |
-1.2% |
801.3 |
| High |
794.0 |
790.2 |
-3.8 |
-0.5% |
807.1 |
| Low |
780.4 |
778.7 |
-1.7 |
-0.2% |
778.7 |
| Close |
782.8 |
788.0 |
5.2 |
0.7% |
788.0 |
| Range |
13.6 |
11.5 |
-2.1 |
-15.4% |
28.4 |
| ATR |
11.2 |
11.3 |
0.0 |
0.2% |
0.0 |
| Volume |
161,701 |
194,700 |
32,999 |
20.4% |
651,834 |
|
| Daily Pivots for day following 19-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
820.1 |
815.6 |
794.3 |
|
| R3 |
808.6 |
804.1 |
791.2 |
|
| R2 |
797.1 |
797.1 |
790.1 |
|
| R1 |
792.6 |
792.6 |
789.1 |
794.9 |
| PP |
785.6 |
785.6 |
785.6 |
786.8 |
| S1 |
781.1 |
781.1 |
786.9 |
783.4 |
| S2 |
774.1 |
774.1 |
785.9 |
|
| S3 |
762.6 |
769.6 |
784.8 |
|
| S4 |
751.1 |
758.1 |
781.7 |
|
|
| Weekly Pivots for week ending 19-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
876.5 |
860.6 |
803.6 |
|
| R3 |
848.1 |
832.2 |
795.8 |
|
| R2 |
819.7 |
819.7 |
793.2 |
|
| R1 |
803.8 |
803.8 |
790.6 |
797.6 |
| PP |
791.3 |
791.3 |
791.3 |
788.1 |
| S1 |
775.4 |
775.4 |
785.4 |
769.2 |
| S2 |
762.9 |
762.9 |
782.8 |
|
| S3 |
734.5 |
747.0 |
780.2 |
|
| S4 |
706.1 |
718.6 |
772.4 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
807.1 |
778.7 |
28.4 |
3.6% |
11.2 |
1.4% |
33% |
False |
True |
165,797 |
| 10 |
807.1 |
773.2 |
33.9 |
4.3% |
11.8 |
1.5% |
44% |
False |
False |
180,619 |
| 20 |
807.1 |
773.2 |
33.9 |
4.3% |
11.3 |
1.4% |
44% |
False |
False |
145,680 |
| 40 |
809.6 |
773.2 |
36.4 |
4.6% |
10.5 |
1.3% |
41% |
False |
False |
109,018 |
| 60 |
809.6 |
755.5 |
54.1 |
6.9% |
10.6 |
1.4% |
60% |
False |
False |
72,750 |
| 80 |
809.6 |
723.1 |
86.5 |
11.0% |
10.6 |
1.3% |
75% |
False |
False |
54,584 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
839.1 |
|
2.618 |
820.3 |
|
1.618 |
808.8 |
|
1.000 |
801.7 |
|
0.618 |
797.3 |
|
HIGH |
790.2 |
|
0.618 |
785.8 |
|
0.500 |
784.5 |
|
0.382 |
783.1 |
|
LOW |
778.7 |
|
0.618 |
771.6 |
|
1.000 |
767.2 |
|
1.618 |
760.1 |
|
2.618 |
748.6 |
|
4.250 |
729.8 |
|
|
| Fisher Pivots for day following 19-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
786.8 |
788.7 |
| PP |
785.6 |
788.5 |
| S1 |
784.5 |
788.2 |
|