CME eMini Russell 2000 Future March 2007
| Trading Metrics calculated at close of trading on 15-Mar-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Mar-2007 |
15-Mar-2007 |
Change |
Change % |
Previous Week |
| Open |
769.4 |
777.8 |
8.4 |
1.1% |
774.0 |
| High |
779.4 |
784.4 |
5.0 |
0.6% |
789.4 |
| Low |
760.6 |
775.1 |
14.5 |
1.9% |
755.3 |
| Close |
777.9 |
783.0 |
5.1 |
0.7% |
787.4 |
| Range |
18.8 |
9.3 |
-9.5 |
-50.5% |
34.1 |
| ATR |
14.6 |
14.2 |
-0.4 |
-2.6% |
0.0 |
| Volume |
105,327 |
89,972 |
-15,355 |
-14.6% |
1,215,601 |
|
| Daily Pivots for day following 15-Mar-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
808.7 |
805.2 |
788.1 |
|
| R3 |
799.4 |
795.9 |
785.6 |
|
| R2 |
790.1 |
790.1 |
784.7 |
|
| R1 |
786.6 |
786.6 |
783.9 |
788.4 |
| PP |
780.8 |
780.8 |
780.8 |
781.7 |
| S1 |
777.3 |
777.3 |
782.1 |
779.1 |
| S2 |
771.5 |
771.5 |
781.3 |
|
| S3 |
762.2 |
768.0 |
780.4 |
|
| S4 |
752.9 |
758.7 |
777.9 |
|
|
| 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 |
760.6 |
29.9 |
3.8% |
13.4 |
1.7% |
75% |
False |
False |
105,273 |
| 10 |
792.7 |
755.3 |
37.4 |
4.8% |
16.0 |
2.0% |
74% |
False |
False |
187,194 |
| 20 |
831.9 |
755.3 |
76.6 |
9.8% |
15.2 |
1.9% |
36% |
False |
False |
192,625 |
| 40 |
831.9 |
755.3 |
76.6 |
9.8% |
12.6 |
1.6% |
36% |
False |
False |
177,292 |
| 60 |
831.9 |
755.3 |
76.6 |
9.8% |
12.2 |
1.6% |
36% |
False |
False |
166,321 |
| 80 |
831.9 |
755.3 |
76.6 |
9.8% |
11.4 |
1.5% |
36% |
False |
False |
138,710 |
| 100 |
831.9 |
755.3 |
76.6 |
9.8% |
11.4 |
1.5% |
36% |
False |
False |
111,004 |
| 120 |
831.9 |
723.1 |
108.8 |
13.9% |
11.3 |
1.4% |
55% |
False |
False |
92,518 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
823.9 |
|
2.618 |
808.7 |
|
1.618 |
799.4 |
|
1.000 |
793.7 |
|
0.618 |
790.1 |
|
HIGH |
784.4 |
|
0.618 |
780.8 |
|
0.500 |
779.8 |
|
0.382 |
778.7 |
|
LOW |
775.1 |
|
0.618 |
769.4 |
|
1.000 |
765.8 |
|
1.618 |
760.1 |
|
2.618 |
750.8 |
|
4.250 |
735.6 |
|
|
| Fisher Pivots for day following 15-Mar-2007 |
| Pivot |
1 day |
3 day |
| R1 |
781.9 |
780.4 |
| PP |
780.8 |
777.8 |
| S1 |
779.8 |
775.2 |
|