CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 15-Nov-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Nov-2007 |
15-Nov-2007 |
Change |
Change % |
Previous Week |
| Open |
789.5 |
785.2 |
-4.3 |
-0.5% |
800.4 |
| High |
796.8 |
787.3 |
-9.5 |
-1.2% |
806.0 |
| Low |
780.4 |
766.3 |
-14.1 |
-1.8% |
763.1 |
| Close |
785.5 |
773.2 |
-12.3 |
-1.6% |
773.4 |
| Range |
16.4 |
21.0 |
4.6 |
28.0% |
42.9 |
| ATR |
20.0 |
20.0 |
0.1 |
0.4% |
0.0 |
| Volume |
252,068 |
255,700 |
3,632 |
1.4% |
1,620,158 |
|
| Daily Pivots for day following 15-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
838.6 |
826.9 |
784.8 |
|
| R3 |
817.6 |
805.9 |
779.0 |
|
| R2 |
796.6 |
796.6 |
777.1 |
|
| R1 |
784.9 |
784.9 |
775.1 |
780.3 |
| PP |
775.6 |
775.6 |
775.6 |
773.3 |
| S1 |
763.9 |
763.9 |
771.3 |
759.3 |
| S2 |
754.6 |
754.6 |
769.4 |
|
| S3 |
733.6 |
742.9 |
767.4 |
|
| S4 |
712.6 |
721.9 |
761.7 |
|
|
| 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 |
796.8 |
763.6 |
33.2 |
4.3% |
21.4 |
2.8% |
29% |
False |
False |
293,450 |
| 10 |
809.3 |
763.1 |
46.2 |
6.0% |
21.6 |
2.8% |
22% |
False |
False |
307,907 |
| 20 |
834.3 |
763.1 |
71.2 |
9.2% |
21.5 |
2.8% |
14% |
False |
False |
279,074 |
| 40 |
858.0 |
763.1 |
94.9 |
12.3% |
17.2 |
2.2% |
11% |
False |
False |
239,825 |
| 60 |
858.0 |
763.1 |
94.9 |
12.3% |
17.0 |
2.2% |
11% |
False |
False |
186,499 |
| 80 |
858.0 |
743.5 |
114.5 |
14.8% |
18.8 |
2.4% |
26% |
False |
False |
139,948 |
| 100 |
869.4 |
743.5 |
125.9 |
16.3% |
17.3 |
2.2% |
24% |
False |
False |
112,021 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
876.6 |
|
2.618 |
842.3 |
|
1.618 |
821.3 |
|
1.000 |
808.3 |
|
0.618 |
800.3 |
|
HIGH |
787.3 |
|
0.618 |
779.3 |
|
0.500 |
776.8 |
|
0.382 |
774.3 |
|
LOW |
766.3 |
|
0.618 |
753.3 |
|
1.000 |
745.3 |
|
1.618 |
732.3 |
|
2.618 |
711.3 |
|
4.250 |
677.1 |
|
|
| Fisher Pivots for day following 15-Nov-2007 |
| Pivot |
1 day |
3 day |
| R1 |
776.8 |
780.2 |
| PP |
775.6 |
777.9 |
| S1 |
774.4 |
775.5 |
|