CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 16-Nov-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Nov-2007 |
16-Nov-2007 |
Change |
Change % |
Previous Week |
| Open |
785.2 |
773.1 |
-12.1 |
-1.5% |
772.6 |
| High |
787.3 |
780.0 |
-7.3 |
-0.9% |
796.8 |
| Low |
766.3 |
759.6 |
-6.7 |
-0.9% |
759.6 |
| Close |
773.2 |
766.7 |
-6.5 |
-0.8% |
766.7 |
| Range |
21.0 |
20.4 |
-0.6 |
-2.9% |
37.2 |
| ATR |
20.0 |
20.1 |
0.0 |
0.1% |
0.0 |
| Volume |
255,700 |
298,891 |
43,191 |
16.9% |
1,381,133 |
|
| Daily Pivots for day following 16-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
830.0 |
818.7 |
777.9 |
|
| R3 |
809.6 |
798.3 |
772.3 |
|
| R2 |
789.2 |
789.2 |
770.4 |
|
| R1 |
777.9 |
777.9 |
768.6 |
773.4 |
| PP |
768.8 |
768.8 |
768.8 |
766.5 |
| S1 |
757.5 |
757.5 |
764.8 |
753.0 |
| S2 |
748.4 |
748.4 |
763.0 |
|
| S3 |
728.0 |
737.1 |
761.1 |
|
| S4 |
707.6 |
716.7 |
755.5 |
|
|
| Weekly Pivots for week ending 16-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
886.0 |
863.5 |
787.2 |
|
| R3 |
848.8 |
826.3 |
776.9 |
|
| R2 |
811.6 |
811.6 |
773.5 |
|
| R1 |
789.1 |
789.1 |
770.1 |
781.8 |
| PP |
774.4 |
774.4 |
774.4 |
770.7 |
| S1 |
751.9 |
751.9 |
763.3 |
744.6 |
| S2 |
737.2 |
737.2 |
759.9 |
|
| S3 |
700.0 |
714.7 |
756.5 |
|
| S4 |
662.8 |
677.5 |
746.2 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
796.8 |
759.6 |
37.2 |
4.9% |
21.6 |
2.8% |
19% |
False |
True |
276,226 |
| 10 |
806.0 |
759.6 |
46.4 |
6.1% |
21.6 |
2.8% |
15% |
False |
True |
300,129 |
| 20 |
834.3 |
759.6 |
74.7 |
9.7% |
20.9 |
2.7% |
10% |
False |
True |
284,444 |
| 40 |
858.0 |
759.6 |
98.4 |
12.8% |
17.5 |
2.3% |
7% |
False |
True |
240,442 |
| 60 |
858.0 |
759.6 |
98.4 |
12.8% |
16.9 |
2.2% |
7% |
False |
True |
191,476 |
| 80 |
858.0 |
743.5 |
114.5 |
14.9% |
18.6 |
2.4% |
20% |
False |
False |
143,670 |
| 100 |
869.4 |
743.5 |
125.9 |
16.4% |
17.4 |
2.3% |
18% |
False |
False |
115,009 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
866.7 |
|
2.618 |
833.4 |
|
1.618 |
813.0 |
|
1.000 |
800.4 |
|
0.618 |
792.6 |
|
HIGH |
780.0 |
|
0.618 |
772.2 |
|
0.500 |
769.8 |
|
0.382 |
767.4 |
|
LOW |
759.6 |
|
0.618 |
747.0 |
|
1.000 |
739.2 |
|
1.618 |
726.6 |
|
2.618 |
706.2 |
|
4.250 |
672.9 |
|
|
| Fisher Pivots for day following 16-Nov-2007 |
| Pivot |
1 day |
3 day |
| R1 |
769.8 |
778.2 |
| PP |
768.8 |
774.4 |
| S1 |
767.7 |
770.5 |
|