CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 24-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Jan-2007 |
24-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
782.3 |
788.8 |
6.5 |
0.8% |
801.3 |
| High |
793.4 |
798.6 |
5.2 |
0.7% |
807.1 |
| Low |
779.3 |
788.4 |
9.1 |
1.2% |
778.7 |
| Close |
788.8 |
798.1 |
9.3 |
1.2% |
788.0 |
| Range |
14.1 |
10.2 |
-3.9 |
-27.7% |
28.4 |
| ATR |
11.5 |
11.4 |
-0.1 |
-0.8% |
0.0 |
| Volume |
152,869 |
174,783 |
21,914 |
14.3% |
651,834 |
|
| Daily Pivots for day following 24-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
825.6 |
822.1 |
803.7 |
|
| R3 |
815.4 |
811.9 |
800.9 |
|
| R2 |
805.2 |
805.2 |
800.0 |
|
| R1 |
801.7 |
801.7 |
799.0 |
803.5 |
| PP |
795.0 |
795.0 |
795.0 |
795.9 |
| S1 |
791.5 |
791.5 |
797.2 |
793.3 |
| S2 |
784.8 |
784.8 |
796.2 |
|
| S3 |
774.6 |
781.3 |
795.3 |
|
| S4 |
764.4 |
771.1 |
792.5 |
|
|
| 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 |
798.6 |
778.7 |
19.9 |
2.5% |
12.3 |
1.5% |
97% |
True |
False |
169,177 |
| 10 |
807.1 |
776.8 |
30.3 |
3.8% |
11.5 |
1.4% |
70% |
False |
False |
168,922 |
| 20 |
807.1 |
773.2 |
33.9 |
4.2% |
11.7 |
1.5% |
73% |
False |
False |
148,143 |
| 40 |
809.6 |
773.2 |
36.4 |
4.6% |
11.1 |
1.4% |
68% |
False |
False |
121,172 |
| 60 |
809.6 |
755.5 |
54.1 |
6.8% |
10.8 |
1.4% |
79% |
False |
False |
80,901 |
| 80 |
809.6 |
723.1 |
86.5 |
10.8% |
10.7 |
1.3% |
87% |
False |
False |
60,701 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
842.0 |
|
2.618 |
825.3 |
|
1.618 |
815.1 |
|
1.000 |
808.8 |
|
0.618 |
804.9 |
|
HIGH |
798.6 |
|
0.618 |
794.7 |
|
0.500 |
793.5 |
|
0.382 |
792.3 |
|
LOW |
788.4 |
|
0.618 |
782.1 |
|
1.000 |
778.2 |
|
1.618 |
771.9 |
|
2.618 |
761.7 |
|
4.250 |
745.1 |
|
|
| Fisher Pivots for day following 24-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
796.6 |
795.0 |
| PP |
795.0 |
791.9 |
| S1 |
793.5 |
788.9 |
|