CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 12-Nov-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
09-Nov-2007 |
12-Nov-2007 |
Change |
Change % |
Previous Week |
| Open |
782.0 |
772.6 |
-9.4 |
-1.2% |
800.4 |
| High |
785.3 |
785.9 |
0.6 |
0.1% |
806.0 |
| Low |
765.8 |
764.7 |
-1.1 |
-0.1% |
763.1 |
| Close |
773.4 |
765.4 |
-8.0 |
-1.0% |
773.4 |
| Range |
19.5 |
21.2 |
1.7 |
8.7% |
42.9 |
| ATR |
19.4 |
19.6 |
0.1 |
0.6% |
0.0 |
| Volume |
385,012 |
296,723 |
-88,289 |
-22.9% |
1,620,158 |
|
| Daily Pivots for day following 12-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
835.6 |
821.7 |
777.1 |
|
| R3 |
814.4 |
800.5 |
771.2 |
|
| R2 |
793.2 |
793.2 |
769.3 |
|
| R1 |
779.3 |
779.3 |
767.3 |
775.7 |
| PP |
772.0 |
772.0 |
772.0 |
770.2 |
| S1 |
758.1 |
758.1 |
763.5 |
754.5 |
| S2 |
750.8 |
750.8 |
761.5 |
|
| S3 |
729.6 |
736.9 |
759.6 |
|
| S4 |
708.4 |
715.7 |
753.7 |
|
|
| Weekly Pivots for week ending 09-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
909.5 |
884.4 |
797.0 |
|
| R3 |
866.6 |
841.5 |
785.2 |
|
| R2 |
823.7 |
823.7 |
781.3 |
|
| R1 |
798.6 |
798.6 |
777.3 |
789.7 |
| PP |
780.8 |
780.8 |
780.8 |
776.4 |
| S1 |
755.7 |
755.7 |
769.5 |
746.8 |
| S2 |
737.9 |
737.9 |
765.5 |
|
| S3 |
695.0 |
712.8 |
761.6 |
|
| S4 |
652.1 |
669.9 |
749.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
806.0 |
763.1 |
42.9 |
5.6% |
22.9 |
3.0% |
5% |
False |
False |
312,853 |
| 10 |
834.3 |
763.1 |
71.2 |
9.3% |
22.0 |
2.9% |
3% |
False |
False |
292,253 |
| 20 |
839.6 |
763.1 |
76.5 |
10.0% |
20.3 |
2.7% |
3% |
False |
False |
275,369 |
| 40 |
858.0 |
763.1 |
94.9 |
12.4% |
17.2 |
2.2% |
2% |
False |
False |
245,298 |
| 60 |
858.0 |
763.1 |
94.9 |
12.4% |
16.4 |
2.1% |
2% |
False |
False |
173,418 |
| 80 |
858.0 |
743.5 |
114.5 |
15.0% |
18.7 |
2.4% |
19% |
False |
False |
130,146 |
| 100 |
869.4 |
743.5 |
125.9 |
16.4% |
17.1 |
2.2% |
17% |
False |
False |
104,172 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
876.0 |
|
2.618 |
841.4 |
|
1.618 |
820.2 |
|
1.000 |
807.1 |
|
0.618 |
799.0 |
|
HIGH |
785.9 |
|
0.618 |
777.8 |
|
0.500 |
775.3 |
|
0.382 |
772.8 |
|
LOW |
764.7 |
|
0.618 |
751.6 |
|
1.000 |
743.5 |
|
1.618 |
730.4 |
|
2.618 |
709.2 |
|
4.250 |
674.6 |
|
|
| Fisher Pivots for day following 12-Nov-2007 |
| Pivot |
1 day |
3 day |
| R1 |
775.3 |
775.3 |
| PP |
772.0 |
772.0 |
| S1 |
768.7 |
768.7 |
|