CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 30-Jan-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Jan-2007 |
30-Jan-2007 |
Change |
Change % |
Previous Week |
| Open |
789.8 |
796.9 |
7.1 |
0.9% |
788.1 |
| High |
799.3 |
802.5 |
3.2 |
0.4% |
799.9 |
| Low |
787.6 |
794.9 |
7.3 |
0.9% |
779.1 |
| Close |
796.9 |
801.7 |
4.8 |
0.6% |
789.8 |
| Range |
11.7 |
7.6 |
-4.1 |
-35.0% |
20.8 |
| ATR |
11.7 |
11.4 |
-0.3 |
-2.5% |
0.0 |
| Volume |
190,810 |
180,755 |
-10,055 |
-5.3% |
812,665 |
|
| Daily Pivots for day following 30-Jan-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
822.5 |
819.7 |
805.9 |
|
| R3 |
814.9 |
812.1 |
803.8 |
|
| R2 |
807.3 |
807.3 |
803.1 |
|
| R1 |
804.5 |
804.5 |
802.4 |
805.9 |
| PP |
799.7 |
799.7 |
799.7 |
800.4 |
| S1 |
796.9 |
796.9 |
801.0 |
798.3 |
| S2 |
792.1 |
792.1 |
800.3 |
|
| S3 |
784.5 |
789.3 |
799.6 |
|
| S4 |
776.9 |
781.7 |
797.5 |
|
|
| 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 |
802.5 |
781.1 |
21.4 |
2.7% |
11.2 |
1.4% |
96% |
True |
False |
173,905 |
| 10 |
802.5 |
778.7 |
23.8 |
3.0% |
11.5 |
1.4% |
97% |
True |
False |
170,326 |
| 20 |
807.1 |
773.2 |
33.9 |
4.2% |
12.2 |
1.5% |
84% |
False |
False |
164,106 |
| 40 |
809.6 |
773.2 |
36.4 |
4.5% |
11.1 |
1.4% |
78% |
False |
False |
138,484 |
| 60 |
809.6 |
755.5 |
54.1 |
6.7% |
10.6 |
1.3% |
85% |
False |
False |
92,471 |
| 80 |
809.6 |
744.1 |
65.5 |
8.2% |
10.7 |
1.3% |
88% |
False |
False |
69,384 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
834.8 |
|
2.618 |
822.4 |
|
1.618 |
814.8 |
|
1.000 |
810.1 |
|
0.618 |
807.2 |
|
HIGH |
802.5 |
|
0.618 |
799.6 |
|
0.500 |
798.7 |
|
0.382 |
797.8 |
|
LOW |
794.9 |
|
0.618 |
790.2 |
|
1.000 |
787.3 |
|
1.618 |
782.6 |
|
2.618 |
775.0 |
|
4.250 |
762.6 |
|
|
| Fisher Pivots for day following 30-Jan-2007 |
| Pivot |
1 day |
3 day |
| R1 |
800.7 |
798.4 |
| PP |
799.7 |
795.1 |
| S1 |
798.7 |
791.8 |
|