CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 23-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Jan-2007 |
23-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
788.1 |
782.3 |
-5.8 |
-0.7% |
801.3 |
| High |
791.4 |
793.4 |
2.0 |
0.3% |
807.1 |
| Low |
779.1 |
779.3 |
0.2 |
0.0% |
778.7 |
| Close |
782.0 |
788.8 |
6.8 |
0.9% |
788.0 |
| Range |
12.3 |
14.1 |
1.8 |
14.6% |
28.4 |
| ATR |
11.3 |
11.5 |
0.2 |
1.7% |
0.0 |
| Volume |
161,832 |
152,869 |
-8,963 |
-5.5% |
651,834 |
|
| Daily Pivots for day following 23-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
829.5 |
823.2 |
796.6 |
|
| R3 |
815.4 |
809.1 |
792.7 |
|
| R2 |
801.3 |
801.3 |
791.4 |
|
| R1 |
795.0 |
795.0 |
790.1 |
798.2 |
| PP |
787.2 |
787.2 |
787.2 |
788.7 |
| S1 |
780.9 |
780.9 |
787.5 |
784.1 |
| S2 |
773.1 |
773.1 |
786.2 |
|
| S3 |
759.0 |
766.8 |
784.9 |
|
| S4 |
744.9 |
752.7 |
781.0 |
|
|
| 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 |
798.7 |
778.7 |
20.0 |
2.5% |
11.7 |
1.5% |
51% |
False |
False |
166,747 |
| 10 |
807.1 |
773.2 |
33.9 |
4.3% |
11.6 |
1.5% |
46% |
False |
False |
172,384 |
| 20 |
807.1 |
773.2 |
33.9 |
4.3% |
11.7 |
1.5% |
46% |
False |
False |
145,070 |
| 40 |
809.6 |
773.2 |
36.4 |
4.6% |
10.8 |
1.4% |
43% |
False |
False |
116,826 |
| 60 |
809.6 |
755.5 |
54.1 |
6.9% |
10.8 |
1.4% |
62% |
False |
False |
77,992 |
| 80 |
809.6 |
723.1 |
86.5 |
11.0% |
10.7 |
1.4% |
76% |
False |
False |
58,517 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
853.3 |
|
2.618 |
830.3 |
|
1.618 |
816.2 |
|
1.000 |
807.5 |
|
0.618 |
802.1 |
|
HIGH |
793.4 |
|
0.618 |
788.0 |
|
0.500 |
786.4 |
|
0.382 |
784.7 |
|
LOW |
779.3 |
|
0.618 |
770.6 |
|
1.000 |
765.2 |
|
1.618 |
756.5 |
|
2.618 |
742.4 |
|
4.250 |
719.4 |
|
|
| Fisher Pivots for day following 23-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
788.0 |
787.9 |
| PP |
787.2 |
787.0 |
| S1 |
786.4 |
786.1 |
|