CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 14-Nov-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Nov-2007 |
14-Nov-2007 |
Change |
Change % |
Previous Week |
| Open |
765.4 |
789.5 |
24.1 |
3.1% |
800.4 |
| High |
792.4 |
796.8 |
4.4 |
0.6% |
806.0 |
| Low |
763.6 |
780.4 |
16.8 |
2.2% |
763.1 |
| Close |
789.5 |
785.5 |
-4.0 |
-0.5% |
773.4 |
| Range |
28.8 |
16.4 |
-12.4 |
-43.1% |
42.9 |
| ATR |
20.2 |
20.0 |
-0.3 |
-1.4% |
0.0 |
| Volume |
277,751 |
252,068 |
-25,683 |
-9.2% |
1,620,158 |
|
| Daily Pivots for day following 14-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
836.8 |
827.5 |
794.5 |
|
| R3 |
820.4 |
811.1 |
790.0 |
|
| R2 |
804.0 |
804.0 |
788.5 |
|
| R1 |
794.7 |
794.7 |
787.0 |
791.2 |
| PP |
787.6 |
787.6 |
787.6 |
785.8 |
| S1 |
778.3 |
778.3 |
784.0 |
774.8 |
| S2 |
771.2 |
771.2 |
782.5 |
|
| S3 |
754.8 |
761.9 |
781.0 |
|
| S4 |
738.4 |
745.5 |
776.5 |
|
|
| 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 |
796.8 |
763.1 |
33.7 |
4.3% |
22.0 |
2.8% |
66% |
True |
False |
312,038 |
| 10 |
831.4 |
763.1 |
68.3 |
8.7% |
23.1 |
2.9% |
33% |
False |
False |
308,318 |
| 20 |
834.3 |
763.1 |
71.2 |
9.1% |
21.0 |
2.7% |
31% |
False |
False |
278,867 |
| 40 |
858.0 |
763.1 |
94.9 |
12.1% |
17.0 |
2.2% |
24% |
False |
False |
242,200 |
| 60 |
858.0 |
763.1 |
94.9 |
12.1% |
16.7 |
2.1% |
24% |
False |
False |
182,241 |
| 80 |
858.0 |
743.5 |
114.5 |
14.6% |
18.8 |
2.4% |
37% |
False |
False |
136,757 |
| 100 |
869.4 |
743.5 |
125.9 |
16.0% |
17.3 |
2.2% |
33% |
False |
False |
109,466 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
866.5 |
|
2.618 |
839.7 |
|
1.618 |
823.3 |
|
1.000 |
813.2 |
|
0.618 |
806.9 |
|
HIGH |
796.8 |
|
0.618 |
790.5 |
|
0.500 |
788.6 |
|
0.382 |
786.7 |
|
LOW |
780.4 |
|
0.618 |
770.3 |
|
1.000 |
764.0 |
|
1.618 |
753.9 |
|
2.618 |
737.5 |
|
4.250 |
710.7 |
|
|
| Fisher Pivots for day following 14-Nov-2007 |
| Pivot |
1 day |
3 day |
| R1 |
788.6 |
783.7 |
| PP |
787.6 |
782.0 |
| S1 |
786.5 |
780.2 |
|