CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 01-Nov-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-Oct-2007 |
01-Nov-2007 |
Change |
Change % |
Previous Week |
| Open |
818.8 |
830.1 |
11.3 |
1.4% |
798.0 |
| High |
834.3 |
831.4 |
-2.9 |
-0.3% |
827.2 |
| Low |
811.4 |
795.1 |
-16.3 |
-2.0% |
785.3 |
| Close |
832.3 |
796.9 |
-35.4 |
-4.3% |
826.7 |
| Range |
22.9 |
36.3 |
13.4 |
58.5% |
41.9 |
| ATR |
16.7 |
18.2 |
1.5 |
8.7% |
0.0 |
| Volume |
194,490 |
259,807 |
65,317 |
33.6% |
1,478,481 |
|
| Daily Pivots for day following 01-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
916.7 |
893.1 |
816.9 |
|
| R3 |
880.4 |
856.8 |
806.9 |
|
| R2 |
844.1 |
844.1 |
803.6 |
|
| R1 |
820.5 |
820.5 |
800.2 |
814.2 |
| PP |
807.8 |
807.8 |
807.8 |
804.6 |
| S1 |
784.2 |
784.2 |
793.6 |
777.9 |
| S2 |
771.5 |
771.5 |
790.2 |
|
| S3 |
735.2 |
747.9 |
786.9 |
|
| S4 |
698.9 |
711.6 |
776.9 |
|
|
| Weekly Pivots for week ending 26-Oct-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
938.8 |
924.6 |
849.7 |
|
| R3 |
896.9 |
882.7 |
838.2 |
|
| R2 |
855.0 |
855.0 |
834.4 |
|
| R1 |
840.8 |
840.8 |
830.5 |
847.9 |
| PP |
813.1 |
813.1 |
813.1 |
816.6 |
| S1 |
798.9 |
798.9 |
822.9 |
806.0 |
| S2 |
771.2 |
771.2 |
819.0 |
|
| S3 |
729.3 |
757.0 |
815.2 |
|
| S4 |
687.4 |
715.1 |
803.7 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
834.3 |
795.1 |
39.2 |
4.9% |
19.4 |
2.4% |
5% |
False |
True |
224,559 |
| 10 |
834.3 |
785.3 |
49.0 |
6.1% |
21.4 |
2.7% |
24% |
False |
False |
250,241 |
| 20 |
858.0 |
785.3 |
72.7 |
9.1% |
18.0 |
2.3% |
16% |
False |
False |
224,638 |
| 40 |
858.0 |
764.4 |
93.6 |
11.7% |
16.1 |
2.0% |
35% |
False |
False |
202,532 |
| 60 |
858.0 |
743.5 |
114.5 |
14.4% |
17.4 |
2.2% |
47% |
False |
False |
135,226 |
| 80 |
869.4 |
743.5 |
125.9 |
15.8% |
17.8 |
2.2% |
42% |
False |
False |
101,513 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
985.7 |
|
2.618 |
926.4 |
|
1.618 |
890.1 |
|
1.000 |
867.7 |
|
0.618 |
853.8 |
|
HIGH |
831.4 |
|
0.618 |
817.5 |
|
0.500 |
813.3 |
|
0.382 |
809.0 |
|
LOW |
795.1 |
|
0.618 |
772.7 |
|
1.000 |
758.8 |
|
1.618 |
736.4 |
|
2.618 |
700.1 |
|
4.250 |
640.8 |
|
|
| Fisher Pivots for day following 01-Nov-2007 |
| Pivot |
1 day |
3 day |
| R1 |
813.3 |
814.7 |
| PP |
807.8 |
808.8 |
| S1 |
802.4 |
802.8 |
|