CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 16-Oct-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Oct-2007 |
16-Oct-2007 |
Change |
Change % |
Previous Week |
| Open |
847.6 |
837.1 |
-10.5 |
-1.2% |
850.0 |
| High |
848.8 |
839.6 |
-9.2 |
-1.1% |
858.0 |
| Low |
828.5 |
827.1 |
-1.4 |
-0.2% |
835.0 |
| Close |
837.5 |
827.8 |
-9.7 |
-1.2% |
846.8 |
| Range |
20.3 |
12.5 |
-7.8 |
-38.4% |
23.0 |
| ATR |
14.6 |
14.5 |
-0.2 |
-1.0% |
0.0 |
| Volume |
204,363 |
255,174 |
50,811 |
24.9% |
949,577 |
|
| Daily Pivots for day following 16-Oct-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
869.0 |
860.9 |
834.7 |
|
| R3 |
856.5 |
848.4 |
831.2 |
|
| R2 |
844.0 |
844.0 |
830.1 |
|
| R1 |
835.9 |
835.9 |
828.9 |
833.7 |
| PP |
831.5 |
831.5 |
831.5 |
830.4 |
| S1 |
823.4 |
823.4 |
826.7 |
821.2 |
| S2 |
819.0 |
819.0 |
825.5 |
|
| S3 |
806.5 |
810.9 |
824.4 |
|
| S4 |
794.0 |
798.4 |
820.9 |
|
|
| Weekly Pivots for week ending 12-Oct-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
915.6 |
904.2 |
859.5 |
|
| R3 |
892.6 |
881.2 |
853.1 |
|
| R2 |
869.6 |
869.6 |
851.0 |
|
| R1 |
858.2 |
858.2 |
848.9 |
852.4 |
| PP |
846.6 |
846.6 |
846.6 |
843.7 |
| S1 |
835.2 |
835.2 |
844.7 |
829.4 |
| S2 |
823.6 |
823.6 |
842.6 |
|
| S3 |
800.6 |
812.2 |
840.5 |
|
| S4 |
777.6 |
789.2 |
834.2 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
858.0 |
827.1 |
30.9 |
3.7% |
15.3 |
1.8% |
2% |
False |
True |
217,122 |
| 10 |
858.0 |
827.1 |
30.9 |
3.7% |
13.3 |
1.6% |
2% |
False |
True |
191,668 |
| 20 |
858.0 |
801.8 |
56.2 |
6.8% |
12.9 |
1.6% |
46% |
False |
False |
214,729 |
| 40 |
858.0 |
764.4 |
93.6 |
11.3% |
14.4 |
1.7% |
68% |
False |
False |
128,814 |
| 60 |
858.0 |
743.5 |
114.5 |
13.8% |
18.2 |
2.2% |
74% |
False |
False |
85,979 |
| 80 |
869.4 |
743.5 |
125.9 |
15.2% |
16.2 |
2.0% |
67% |
False |
False |
64,561 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
892.7 |
|
2.618 |
872.3 |
|
1.618 |
859.8 |
|
1.000 |
852.1 |
|
0.618 |
847.3 |
|
HIGH |
839.6 |
|
0.618 |
834.8 |
|
0.500 |
833.4 |
|
0.382 |
831.9 |
|
LOW |
827.1 |
|
0.618 |
819.4 |
|
1.000 |
814.6 |
|
1.618 |
806.9 |
|
2.618 |
794.4 |
|
4.250 |
774.0 |
|
|
| Fisher Pivots for day following 16-Oct-2007 |
| Pivot |
1 day |
3 day |
| R1 |
833.4 |
838.4 |
| PP |
831.5 |
834.9 |
| S1 |
829.7 |
831.3 |
|