CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 19-Nov-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
16-Nov-2007 |
19-Nov-2007 |
Change |
Change % |
Previous Week |
| Open |
773.1 |
767.5 |
-5.6 |
-0.7% |
772.6 |
| High |
780.0 |
770.5 |
-9.5 |
-1.2% |
796.8 |
| Low |
759.6 |
747.6 |
-12.0 |
-1.6% |
759.6 |
| Close |
766.7 |
750.6 |
-16.1 |
-2.1% |
766.7 |
| Range |
20.4 |
22.9 |
2.5 |
12.3% |
37.2 |
| ATR |
20.1 |
20.3 |
0.2 |
1.0% |
0.0 |
| Volume |
298,891 |
316,442 |
17,551 |
5.9% |
1,381,133 |
|
| Daily Pivots for day following 19-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
824.9 |
810.7 |
763.2 |
|
| R3 |
802.0 |
787.8 |
756.9 |
|
| R2 |
779.1 |
779.1 |
754.8 |
|
| R1 |
764.9 |
764.9 |
752.7 |
760.6 |
| PP |
756.2 |
756.2 |
756.2 |
754.1 |
| S1 |
742.0 |
742.0 |
748.5 |
737.7 |
| S2 |
733.3 |
733.3 |
746.4 |
|
| S3 |
710.4 |
719.1 |
744.3 |
|
| S4 |
687.5 |
696.2 |
738.0 |
|
|
| 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 |
747.6 |
49.2 |
6.6% |
21.9 |
2.9% |
6% |
False |
True |
280,170 |
| 10 |
806.0 |
747.6 |
58.4 |
7.8% |
22.4 |
3.0% |
5% |
False |
True |
296,511 |
| 20 |
834.3 |
747.6 |
86.7 |
11.6% |
20.5 |
2.7% |
3% |
False |
True |
284,916 |
| 40 |
858.0 |
747.6 |
110.4 |
14.7% |
17.7 |
2.4% |
3% |
False |
True |
244,399 |
| 60 |
858.0 |
747.6 |
110.4 |
14.7% |
17.1 |
2.3% |
3% |
False |
True |
196,743 |
| 80 |
858.0 |
743.5 |
114.5 |
15.3% |
18.6 |
2.5% |
6% |
False |
False |
147,621 |
| 100 |
869.4 |
743.5 |
125.9 |
16.8% |
17.5 |
2.3% |
6% |
False |
False |
118,169 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
867.8 |
|
2.618 |
830.5 |
|
1.618 |
807.6 |
|
1.000 |
793.4 |
|
0.618 |
784.7 |
|
HIGH |
770.5 |
|
0.618 |
761.8 |
|
0.500 |
759.1 |
|
0.382 |
756.3 |
|
LOW |
747.6 |
|
0.618 |
733.4 |
|
1.000 |
724.7 |
|
1.618 |
710.5 |
|
2.618 |
687.6 |
|
4.250 |
650.3 |
|
|
| Fisher Pivots for day following 19-Nov-2007 |
| Pivot |
1 day |
3 day |
| R1 |
759.1 |
767.5 |
| PP |
756.2 |
761.8 |
| S1 |
753.4 |
756.2 |
|