CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 20-Nov-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Nov-2007 |
20-Nov-2007 |
Change |
Change % |
Previous Week |
| Open |
767.5 |
751.0 |
-16.5 |
-2.1% |
772.6 |
| High |
770.5 |
759.3 |
-11.2 |
-1.5% |
796.8 |
| Low |
747.6 |
736.7 |
-10.9 |
-1.5% |
759.6 |
| Close |
750.6 |
754.1 |
3.5 |
0.5% |
766.7 |
| Range |
22.9 |
22.6 |
-0.3 |
-1.3% |
37.2 |
| ATR |
20.3 |
20.4 |
0.2 |
0.8% |
0.0 |
| Volume |
316,442 |
280,576 |
-35,866 |
-11.3% |
1,381,133 |
|
| Daily Pivots for day following 20-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
817.8 |
808.6 |
766.5 |
|
| R3 |
795.2 |
786.0 |
760.3 |
|
| R2 |
772.6 |
772.6 |
758.2 |
|
| R1 |
763.4 |
763.4 |
756.2 |
768.0 |
| PP |
750.0 |
750.0 |
750.0 |
752.4 |
| S1 |
740.8 |
740.8 |
752.0 |
745.4 |
| S2 |
727.4 |
727.4 |
750.0 |
|
| S3 |
704.8 |
718.2 |
747.9 |
|
| S4 |
682.2 |
695.6 |
741.7 |
|
|
| 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 |
736.7 |
60.1 |
8.0% |
20.7 |
2.7% |
29% |
False |
True |
280,735 |
| 10 |
805.6 |
736.7 |
68.9 |
9.1% |
22.6 |
3.0% |
25% |
False |
True |
296,704 |
| 20 |
834.3 |
736.7 |
97.6 |
12.9% |
21.0 |
2.8% |
18% |
False |
True |
283,999 |
| 40 |
858.0 |
736.7 |
121.3 |
16.1% |
18.0 |
2.4% |
14% |
False |
True |
246,327 |
| 60 |
858.0 |
736.7 |
121.3 |
16.1% |
17.3 |
2.3% |
14% |
False |
True |
201,411 |
| 80 |
858.0 |
736.7 |
121.3 |
16.1% |
18.6 |
2.5% |
14% |
False |
True |
151,125 |
| 100 |
869.4 |
736.7 |
132.7 |
17.6% |
17.6 |
2.3% |
13% |
False |
True |
120,973 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
855.4 |
|
2.618 |
818.5 |
|
1.618 |
795.9 |
|
1.000 |
781.9 |
|
0.618 |
773.3 |
|
HIGH |
759.3 |
|
0.618 |
750.7 |
|
0.500 |
748.0 |
|
0.382 |
745.3 |
|
LOW |
736.7 |
|
0.618 |
722.7 |
|
1.000 |
714.1 |
|
1.618 |
700.1 |
|
2.618 |
677.5 |
|
4.250 |
640.7 |
|
|
| Fisher Pivots for day following 20-Nov-2007 |
| Pivot |
1 day |
3 day |
| R1 |
752.1 |
758.4 |
| PP |
750.0 |
756.9 |
| S1 |
748.0 |
755.5 |
|