CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 02-Nov-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Nov-2007 |
02-Nov-2007 |
Change |
Change % |
Previous Week |
| Open |
830.1 |
797.1 |
-33.0 |
-4.0% |
826.4 |
| High |
831.4 |
809.3 |
-22.1 |
-2.7% |
834.3 |
| Low |
795.1 |
788.8 |
-6.3 |
-0.8% |
788.8 |
| Close |
796.9 |
800.7 |
3.8 |
0.5% |
800.7 |
| Range |
36.3 |
20.5 |
-15.8 |
-43.5% |
45.5 |
| ATR |
18.2 |
18.4 |
0.2 |
0.9% |
0.0 |
| Volume |
259,807 |
376,674 |
116,867 |
45.0% |
1,209,109 |
|
| Daily Pivots for day following 02-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
861.1 |
851.4 |
812.0 |
|
| R3 |
840.6 |
830.9 |
806.3 |
|
| R2 |
820.1 |
820.1 |
804.5 |
|
| R1 |
810.4 |
810.4 |
802.6 |
815.3 |
| PP |
799.6 |
799.6 |
799.6 |
802.0 |
| S1 |
789.9 |
789.9 |
798.8 |
794.8 |
| S2 |
779.1 |
779.1 |
796.9 |
|
| S3 |
758.6 |
769.4 |
795.1 |
|
| S4 |
738.1 |
748.9 |
789.4 |
|
|
| Weekly Pivots for week ending 02-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
944.4 |
918.1 |
825.7 |
|
| R3 |
898.9 |
872.6 |
813.2 |
|
| R2 |
853.4 |
853.4 |
809.0 |
|
| R1 |
827.1 |
827.1 |
804.9 |
817.5 |
| PP |
807.9 |
807.9 |
807.9 |
803.2 |
| S1 |
781.6 |
781.6 |
796.5 |
772.0 |
| S2 |
762.4 |
762.4 |
792.4 |
|
| S3 |
716.9 |
736.1 |
788.2 |
|
| S4 |
671.4 |
690.6 |
775.7 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
834.3 |
788.8 |
45.5 |
5.7% |
20.2 |
2.5% |
26% |
False |
True |
241,821 |
| 10 |
834.3 |
785.3 |
49.0 |
6.1% |
20.3 |
2.5% |
31% |
False |
False |
268,759 |
| 20 |
858.0 |
785.3 |
72.7 |
9.1% |
18.0 |
2.3% |
21% |
False |
False |
237,222 |
| 40 |
858.0 |
764.4 |
93.6 |
11.7% |
16.1 |
2.0% |
39% |
False |
False |
211,785 |
| 60 |
858.0 |
743.5 |
114.5 |
14.3% |
17.4 |
2.2% |
50% |
False |
False |
141,495 |
| 80 |
869.4 |
743.5 |
125.9 |
15.7% |
17.9 |
2.2% |
45% |
False |
False |
106,217 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
896.4 |
|
2.618 |
863.0 |
|
1.618 |
842.5 |
|
1.000 |
829.8 |
|
0.618 |
822.0 |
|
HIGH |
809.3 |
|
0.618 |
801.5 |
|
0.500 |
799.1 |
|
0.382 |
796.6 |
|
LOW |
788.8 |
|
0.618 |
776.1 |
|
1.000 |
768.3 |
|
1.618 |
755.6 |
|
2.618 |
735.1 |
|
4.250 |
701.7 |
|
|
| Fisher Pivots for day following 02-Nov-2007 |
| Pivot |
1 day |
3 day |
| R1 |
800.2 |
811.6 |
| PP |
799.6 |
807.9 |
| S1 |
799.1 |
804.3 |
|