CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 05-Feb-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Feb-2007 |
05-Feb-2007 |
Change |
Change % |
Previous Week |
| Open |
811.1 |
812.1 |
1.0 |
0.1% |
789.8 |
| High |
814.5 |
814.1 |
-0.4 |
0.0% |
814.5 |
| Low |
809.6 |
808.0 |
-1.6 |
-0.2% |
787.6 |
| Close |
812.6 |
811.5 |
-1.1 |
-0.1% |
812.6 |
| Range |
4.9 |
6.1 |
1.2 |
24.5% |
26.9 |
| ATR |
10.9 |
10.6 |
-0.3 |
-3.1% |
0.0 |
| Volume |
159,468 |
128,057 |
-31,411 |
-19.7% |
852,177 |
|
| Daily Pivots for day following 05-Feb-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
829.5 |
826.6 |
814.9 |
|
| R3 |
823.4 |
820.5 |
813.2 |
|
| R2 |
817.3 |
817.3 |
812.6 |
|
| R1 |
814.4 |
814.4 |
812.1 |
812.8 |
| PP |
811.2 |
811.2 |
811.2 |
810.4 |
| S1 |
808.3 |
808.3 |
810.9 |
806.7 |
| S2 |
805.1 |
805.1 |
810.4 |
|
| S3 |
799.0 |
802.2 |
809.8 |
|
| S4 |
792.9 |
796.1 |
808.1 |
|
|
| Weekly Pivots for week ending 02-Feb-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
885.6 |
876.0 |
827.4 |
|
| R3 |
858.7 |
849.1 |
820.0 |
|
| R2 |
831.8 |
831.8 |
817.5 |
|
| R1 |
822.2 |
822.2 |
815.1 |
827.0 |
| PP |
804.9 |
804.9 |
804.9 |
807.3 |
| S1 |
795.3 |
795.3 |
810.1 |
800.1 |
| S2 |
778.0 |
778.0 |
807.7 |
|
| S3 |
751.1 |
768.4 |
805.2 |
|
| S4 |
724.2 |
741.5 |
797.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
814.5 |
794.9 |
19.6 |
2.4% |
8.2 |
1.0% |
85% |
False |
False |
157,884 |
| 10 |
814.5 |
779.3 |
35.2 |
4.3% |
10.4 |
1.3% |
91% |
False |
False |
163,106 |
| 20 |
814.5 |
773.2 |
41.3 |
5.1% |
10.8 |
1.3% |
93% |
False |
False |
170,226 |
| 40 |
814.5 |
773.2 |
41.3 |
5.1% |
10.8 |
1.3% |
93% |
False |
False |
152,840 |
| 60 |
814.5 |
767.0 |
47.5 |
5.9% |
10.5 |
1.3% |
94% |
False |
False |
102,610 |
| 80 |
814.5 |
746.8 |
67.7 |
8.3% |
10.6 |
1.3% |
96% |
False |
False |
76,986 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
840.0 |
|
2.618 |
830.1 |
|
1.618 |
824.0 |
|
1.000 |
820.2 |
|
0.618 |
817.9 |
|
HIGH |
814.1 |
|
0.618 |
811.8 |
|
0.500 |
811.1 |
|
0.382 |
810.3 |
|
LOW |
808.0 |
|
0.618 |
804.2 |
|
1.000 |
801.9 |
|
1.618 |
798.1 |
|
2.618 |
792.0 |
|
4.250 |
782.1 |
|
|
| Fisher Pivots for day following 05-Feb-2007 |
| Pivot |
1 day |
3 day |
| R1 |
811.4 |
810.3 |
| PP |
811.2 |
809.0 |
| S1 |
811.1 |
807.8 |
|