CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 13-Mar-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Mar-2007 |
13-Mar-2007 |
Change |
Change % |
Previous Week |
| Open |
786.6 |
789.3 |
2.7 |
0.3% |
774.0 |
| High |
790.5 |
789.7 |
-0.8 |
-0.1% |
789.4 |
| Low |
783.0 |
767.8 |
-15.2 |
-1.9% |
755.3 |
| Close |
789.4 |
769.9 |
-19.5 |
-2.5% |
787.4 |
| Range |
7.5 |
21.9 |
14.4 |
192.0% |
34.1 |
| ATR |
13.7 |
14.3 |
0.6 |
4.3% |
0.0 |
| Volume |
77,812 |
90,544 |
12,732 |
16.4% |
1,215,601 |
|
| Daily Pivots for day following 13-Mar-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
841.5 |
827.6 |
781.9 |
|
| R3 |
819.6 |
805.7 |
775.9 |
|
| R2 |
797.7 |
797.7 |
773.9 |
|
| R1 |
783.8 |
783.8 |
771.9 |
779.8 |
| PP |
775.8 |
775.8 |
775.8 |
773.8 |
| S1 |
761.9 |
761.9 |
767.9 |
757.9 |
| S2 |
753.9 |
753.9 |
765.9 |
|
| S3 |
732.0 |
740.0 |
763.9 |
|
| S4 |
710.1 |
718.1 |
757.9 |
|
|
| Weekly Pivots for week ending 09-Mar-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
879.7 |
867.6 |
806.2 |
|
| R3 |
845.6 |
833.5 |
796.8 |
|
| R2 |
811.5 |
811.5 |
793.7 |
|
| R1 |
799.4 |
799.4 |
790.5 |
805.5 |
| PP |
777.4 |
777.4 |
777.4 |
780.4 |
| S1 |
765.3 |
765.3 |
784.3 |
771.4 |
| S2 |
743.3 |
743.3 |
781.1 |
|
| S3 |
709.2 |
731.2 |
778.0 |
|
| S4 |
675.1 |
697.1 |
768.6 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
790.5 |
767.8 |
22.7 |
2.9% |
12.6 |
1.6% |
9% |
False |
True |
163,935 |
| 10 |
798.8 |
755.3 |
43.5 |
5.7% |
17.1 |
2.2% |
34% |
False |
False |
234,108 |
| 20 |
831.9 |
755.3 |
76.6 |
9.9% |
14.5 |
1.9% |
19% |
False |
False |
197,872 |
| 40 |
831.9 |
755.3 |
76.6 |
9.9% |
12.4 |
1.6% |
19% |
False |
False |
179,795 |
| 60 |
831.9 |
755.3 |
76.6 |
9.9% |
12.0 |
1.6% |
19% |
False |
False |
170,584 |
| 80 |
831.9 |
755.3 |
76.6 |
9.9% |
11.3 |
1.5% |
19% |
False |
False |
136,287 |
| 100 |
831.9 |
755.3 |
76.6 |
9.9% |
11.3 |
1.5% |
19% |
False |
False |
109,053 |
| 120 |
831.9 |
723.1 |
108.8 |
14.1% |
11.3 |
1.5% |
43% |
False |
False |
90,890 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
882.8 |
|
2.618 |
847.0 |
|
1.618 |
825.1 |
|
1.000 |
811.6 |
|
0.618 |
803.2 |
|
HIGH |
789.7 |
|
0.618 |
781.3 |
|
0.500 |
778.8 |
|
0.382 |
776.2 |
|
LOW |
767.8 |
|
0.618 |
754.3 |
|
1.000 |
745.9 |
|
1.618 |
732.4 |
|
2.618 |
710.5 |
|
4.250 |
674.7 |
|
|
| Fisher Pivots for day following 13-Mar-2007 |
| Pivot |
1 day |
3 day |
| R1 |
778.8 |
779.2 |
| PP |
775.8 |
776.1 |
| S1 |
772.9 |
773.0 |
|