CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 07-Mar-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
06-Mar-2007 |
07-Mar-2007 |
Change |
Change % |
Previous Week |
| Open |
758.3 |
778.1 |
19.8 |
2.6% |
827.2 |
| High |
783.0 |
781.9 |
-1.1 |
-0.1% |
831.3 |
| Low |
755.3 |
773.5 |
18.2 |
2.4% |
773.2 |
| Close |
778.2 |
775.1 |
-3.1 |
-0.4% |
773.8 |
| Range |
27.7 |
8.4 |
-19.3 |
-69.7% |
58.1 |
| ATR |
14.9 |
14.4 |
-0.5 |
-3.1% |
0.0 |
| Volume |
318,635 |
264,230 |
-54,405 |
-17.1% |
1,298,098 |
|
| Daily Pivots for day following 07-Mar-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
802.0 |
797.0 |
779.7 |
|
| R3 |
793.6 |
788.6 |
777.4 |
|
| R2 |
785.2 |
785.2 |
776.6 |
|
| R1 |
780.2 |
780.2 |
775.9 |
778.5 |
| PP |
776.8 |
776.8 |
776.8 |
776.0 |
| S1 |
771.8 |
771.8 |
774.3 |
770.1 |
| S2 |
768.4 |
768.4 |
773.6 |
|
| S3 |
760.0 |
763.4 |
772.8 |
|
| S4 |
751.6 |
755.0 |
770.5 |
|
|
| Weekly Pivots for week ending 02-Mar-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
967.1 |
928.5 |
805.8 |
|
| R3 |
909.0 |
870.4 |
789.8 |
|
| R2 |
850.9 |
850.9 |
784.5 |
|
| R1 |
812.3 |
812.3 |
779.1 |
802.6 |
| PP |
792.8 |
792.8 |
792.8 |
787.9 |
| S1 |
754.2 |
754.2 |
768.5 |
744.5 |
| S2 |
734.7 |
734.7 |
763.1 |
|
| S3 |
676.6 |
696.1 |
757.8 |
|
| S4 |
618.5 |
638.0 |
741.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
797.4 |
755.3 |
42.1 |
5.4% |
20.2 |
2.6% |
47% |
False |
False |
280,177 |
| 10 |
831.9 |
755.3 |
76.6 |
9.9% |
18.3 |
2.4% |
26% |
False |
False |
245,801 |
| 20 |
831.9 |
755.3 |
76.6 |
9.9% |
13.7 |
1.8% |
26% |
False |
False |
202,867 |
| 40 |
831.9 |
755.3 |
76.6 |
9.9% |
12.2 |
1.6% |
26% |
False |
False |
184,841 |
| 60 |
831.9 |
755.3 |
76.6 |
9.9% |
11.8 |
1.5% |
26% |
False |
False |
171,590 |
| 80 |
831.9 |
755.3 |
76.6 |
9.9% |
11.3 |
1.5% |
26% |
False |
False |
129,351 |
| 100 |
831.9 |
754.0 |
77.9 |
10.1% |
11.2 |
1.4% |
27% |
False |
False |
103,505 |
| 120 |
831.9 |
723.1 |
108.8 |
14.0% |
11.0 |
1.4% |
48% |
False |
False |
86,262 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
817.6 |
|
2.618 |
803.9 |
|
1.618 |
795.5 |
|
1.000 |
790.3 |
|
0.618 |
787.1 |
|
HIGH |
781.9 |
|
0.618 |
778.7 |
|
0.500 |
777.7 |
|
0.382 |
776.7 |
|
LOW |
773.5 |
|
0.618 |
768.3 |
|
1.000 |
765.1 |
|
1.618 |
759.9 |
|
2.618 |
751.5 |
|
4.250 |
737.8 |
|
|
| Fisher Pivots for day following 07-Mar-2007 |
| Pivot |
1 day |
3 day |
| R1 |
777.7 |
773.1 |
| PP |
776.8 |
771.1 |
| S1 |
776.0 |
769.2 |
|