CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 22-Oct-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Oct-2007 |
22-Oct-2007 |
Change |
Change % |
Previous Week |
| Open |
828.2 |
798.0 |
-30.2 |
-3.6% |
847.6 |
| High |
829.6 |
816.5 |
-13.1 |
-1.6% |
848.8 |
| Low |
797.6 |
785.3 |
-12.3 |
-1.5% |
797.6 |
| Close |
798.2 |
814.8 |
16.6 |
2.1% |
798.2 |
| Range |
32.0 |
31.2 |
-0.8 |
-2.5% |
51.2 |
| ATR |
15.8 |
16.9 |
1.1 |
7.0% |
0.0 |
| Volume |
191,498 |
306,993 |
115,495 |
60.3% |
1,107,284 |
|
| Daily Pivots for day following 22-Oct-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
899.1 |
888.2 |
832.0 |
|
| R3 |
867.9 |
857.0 |
823.4 |
|
| R2 |
836.7 |
836.7 |
820.5 |
|
| R1 |
825.8 |
825.8 |
817.7 |
831.3 |
| PP |
805.5 |
805.5 |
805.5 |
808.3 |
| S1 |
794.6 |
794.6 |
811.9 |
800.1 |
| S2 |
774.3 |
774.3 |
809.1 |
|
| S3 |
743.1 |
763.4 |
806.2 |
|
| S4 |
711.9 |
732.2 |
797.6 |
|
|
| Weekly Pivots for week ending 19-Oct-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
968.5 |
934.5 |
826.4 |
|
| R3 |
917.3 |
883.3 |
812.3 |
|
| R2 |
866.1 |
866.1 |
807.6 |
|
| R1 |
832.1 |
832.1 |
802.9 |
823.5 |
| PP |
814.9 |
814.9 |
814.9 |
810.6 |
| S1 |
780.9 |
780.9 |
793.5 |
772.3 |
| S2 |
763.7 |
763.7 |
788.8 |
|
| S3 |
712.5 |
729.7 |
784.1 |
|
| S4 |
661.3 |
678.5 |
770.0 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
839.6 |
785.3 |
54.3 |
6.7% |
21.1 |
2.6% |
54% |
False |
True |
241,982 |
| 10 |
858.0 |
785.3 |
72.7 |
8.9% |
18.0 |
2.2% |
41% |
False |
True |
215,741 |
| 20 |
858.0 |
785.3 |
72.7 |
8.9% |
14.9 |
1.8% |
41% |
False |
True |
203,882 |
| 40 |
858.0 |
764.4 |
93.6 |
11.5% |
15.4 |
1.9% |
54% |
False |
False |
152,657 |
| 60 |
858.0 |
743.5 |
114.5 |
14.1% |
17.9 |
2.2% |
62% |
False |
False |
101,856 |
| 80 |
869.4 |
743.5 |
125.9 |
15.5% |
16.7 |
2.0% |
57% |
False |
False |
76,483 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
949.1 |
|
2.618 |
898.2 |
|
1.618 |
867.0 |
|
1.000 |
847.7 |
|
0.618 |
835.8 |
|
HIGH |
816.5 |
|
0.618 |
804.6 |
|
0.500 |
800.9 |
|
0.382 |
797.2 |
|
LOW |
785.3 |
|
0.618 |
766.0 |
|
1.000 |
754.1 |
|
1.618 |
734.8 |
|
2.618 |
703.6 |
|
4.250 |
652.7 |
|
|
| Fisher Pivots for day following 22-Oct-2007 |
| Pivot |
1 day |
3 day |
| R1 |
810.2 |
812.8 |
| PP |
805.5 |
810.8 |
| S1 |
800.9 |
808.8 |
|