CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 26-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Jan-2007 |
26-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
798.5 |
787.9 |
-10.6 |
-1.3% |
788.1 |
| High |
799.9 |
792.9 |
-7.0 |
-0.9% |
799.9 |
| Low |
785.1 |
781.1 |
-4.0 |
-0.5% |
779.1 |
| Close |
787.4 |
789.8 |
2.4 |
0.3% |
789.8 |
| Range |
14.8 |
11.8 |
-3.0 |
-20.3% |
20.8 |
| ATR |
11.7 |
11.7 |
0.0 |
0.1% |
0.0 |
| Volume |
135,680 |
187,501 |
51,821 |
38.2% |
812,665 |
|
| Daily Pivots for day following 26-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
823.3 |
818.4 |
796.3 |
|
| R3 |
811.5 |
806.6 |
793.0 |
|
| R2 |
799.7 |
799.7 |
792.0 |
|
| R1 |
794.8 |
794.8 |
790.9 |
797.3 |
| PP |
787.9 |
787.9 |
787.9 |
789.2 |
| S1 |
783.0 |
783.0 |
788.7 |
785.5 |
| S2 |
776.1 |
776.1 |
787.6 |
|
| S3 |
764.3 |
771.2 |
786.6 |
|
| S4 |
752.5 |
759.4 |
783.3 |
|
|
| Weekly Pivots for week ending 26-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
852.0 |
841.7 |
801.2 |
|
| R3 |
831.2 |
820.9 |
795.5 |
|
| R2 |
810.4 |
810.4 |
793.6 |
|
| R1 |
800.1 |
800.1 |
791.7 |
805.3 |
| PP |
789.6 |
789.6 |
789.6 |
792.2 |
| S1 |
779.3 |
779.3 |
787.9 |
784.5 |
| S2 |
768.8 |
768.8 |
786.0 |
|
| S3 |
748.0 |
758.5 |
784.1 |
|
| S4 |
727.2 |
737.7 |
778.4 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
799.9 |
779.1 |
20.8 |
2.6% |
12.6 |
1.6% |
51% |
False |
False |
162,533 |
| 10 |
807.1 |
778.7 |
28.4 |
3.6% |
11.9 |
1.5% |
39% |
False |
False |
164,165 |
| 20 |
807.1 |
773.2 |
33.9 |
4.3% |
12.1 |
1.5% |
49% |
False |
False |
152,843 |
| 40 |
809.6 |
773.2 |
36.4 |
4.6% |
11.1 |
1.4% |
46% |
False |
False |
129,240 |
| 60 |
809.6 |
755.5 |
54.1 |
6.8% |
10.8 |
1.4% |
63% |
False |
False |
86,281 |
| 80 |
809.6 |
723.1 |
86.5 |
11.0% |
10.8 |
1.4% |
77% |
False |
False |
64,741 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
843.1 |
|
2.618 |
823.8 |
|
1.618 |
812.0 |
|
1.000 |
804.7 |
|
0.618 |
800.2 |
|
HIGH |
792.9 |
|
0.618 |
788.4 |
|
0.500 |
787.0 |
|
0.382 |
785.6 |
|
LOW |
781.1 |
|
0.618 |
773.8 |
|
1.000 |
769.3 |
|
1.618 |
762.0 |
|
2.618 |
750.2 |
|
4.250 |
731.0 |
|
|
| Fisher Pivots for day following 26-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
788.9 |
790.5 |
| PP |
787.9 |
790.3 |
| S1 |
787.0 |
790.0 |
|