CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 25-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Jan-2007 |
25-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
788.8 |
798.5 |
9.7 |
1.2% |
801.3 |
| High |
798.6 |
799.9 |
1.3 |
0.2% |
807.1 |
| Low |
788.4 |
785.1 |
-3.3 |
-0.4% |
778.7 |
| Close |
798.1 |
787.4 |
-10.7 |
-1.3% |
788.0 |
| Range |
10.2 |
14.8 |
4.6 |
45.1% |
28.4 |
| ATR |
11.4 |
11.7 |
0.2 |
2.1% |
0.0 |
| Volume |
174,783 |
135,680 |
-39,103 |
-22.4% |
651,834 |
|
| Daily Pivots for day following 25-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
835.2 |
826.1 |
795.5 |
|
| R3 |
820.4 |
811.3 |
791.5 |
|
| R2 |
805.6 |
805.6 |
790.1 |
|
| R1 |
796.5 |
796.5 |
788.8 |
793.7 |
| PP |
790.8 |
790.8 |
790.8 |
789.4 |
| S1 |
781.7 |
781.7 |
786.0 |
778.9 |
| S2 |
776.0 |
776.0 |
784.7 |
|
| S3 |
761.2 |
766.9 |
783.3 |
|
| S4 |
746.4 |
752.1 |
779.3 |
|
|
| 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 |
799.9 |
778.7 |
21.2 |
2.7% |
12.6 |
1.6% |
41% |
True |
False |
163,972 |
| 10 |
807.1 |
778.7 |
28.4 |
3.6% |
12.1 |
1.5% |
31% |
False |
False |
162,856 |
| 20 |
807.1 |
773.2 |
33.9 |
4.3% |
12.1 |
1.5% |
42% |
False |
False |
147,920 |
| 40 |
809.6 |
773.2 |
36.4 |
4.6% |
11.4 |
1.4% |
39% |
False |
False |
124,558 |
| 60 |
809.6 |
755.5 |
54.1 |
6.9% |
10.8 |
1.4% |
59% |
False |
False |
83,157 |
| 80 |
809.6 |
723.1 |
86.5 |
11.0% |
10.8 |
1.4% |
74% |
False |
False |
62,397 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
862.8 |
|
2.618 |
838.6 |
|
1.618 |
823.8 |
|
1.000 |
814.7 |
|
0.618 |
809.0 |
|
HIGH |
799.9 |
|
0.618 |
794.2 |
|
0.500 |
792.5 |
|
0.382 |
790.8 |
|
LOW |
785.1 |
|
0.618 |
776.0 |
|
1.000 |
770.3 |
|
1.618 |
761.2 |
|
2.618 |
746.4 |
|
4.250 |
722.2 |
|
|
| Fisher Pivots for day following 25-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
792.5 |
789.6 |
| PP |
790.8 |
788.9 |
| S1 |
789.1 |
788.1 |
|