CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 21-Nov-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Nov-2007 |
21-Nov-2007 |
Change |
Change % |
Previous Week |
| Open |
751.0 |
754.4 |
3.4 |
0.5% |
772.6 |
| High |
759.3 |
754.9 |
-4.4 |
-0.6% |
796.8 |
| Low |
736.7 |
736.8 |
0.1 |
0.0% |
759.6 |
| Close |
754.1 |
739.0 |
-15.1 |
-2.0% |
766.7 |
| Range |
22.6 |
18.1 |
-4.5 |
-19.9% |
37.2 |
| ATR |
20.4 |
20.3 |
-0.2 |
-0.8% |
0.0 |
| Volume |
280,576 |
326,965 |
46,389 |
16.5% |
1,381,133 |
|
| Daily Pivots for day following 21-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
797.9 |
786.5 |
749.0 |
|
| R3 |
779.8 |
768.4 |
744.0 |
|
| R2 |
761.7 |
761.7 |
742.3 |
|
| R1 |
750.3 |
750.3 |
740.7 |
747.0 |
| PP |
743.6 |
743.6 |
743.6 |
741.9 |
| S1 |
732.2 |
732.2 |
737.3 |
728.9 |
| S2 |
725.5 |
725.5 |
735.7 |
|
| S3 |
707.4 |
714.1 |
734.0 |
|
| S4 |
689.3 |
696.0 |
729.0 |
|
|
| 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 |
787.3 |
736.7 |
50.6 |
6.8% |
21.0 |
2.8% |
5% |
False |
False |
295,714 |
| 10 |
796.8 |
736.7 |
60.1 |
8.1% |
21.5 |
2.9% |
4% |
False |
False |
303,876 |
| 20 |
834.3 |
736.7 |
97.6 |
13.2% |
20.8 |
2.8% |
2% |
False |
False |
288,758 |
| 40 |
858.0 |
736.7 |
121.3 |
16.4% |
18.2 |
2.5% |
2% |
False |
False |
249,712 |
| 60 |
858.0 |
736.7 |
121.3 |
16.4% |
17.2 |
2.3% |
2% |
False |
False |
206,858 |
| 80 |
858.0 |
736.7 |
121.3 |
16.4% |
18.6 |
2.5% |
2% |
False |
False |
155,209 |
| 100 |
869.4 |
736.7 |
132.7 |
18.0% |
17.7 |
2.4% |
2% |
False |
False |
124,242 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
831.8 |
|
2.618 |
802.3 |
|
1.618 |
784.2 |
|
1.000 |
773.0 |
|
0.618 |
766.1 |
|
HIGH |
754.9 |
|
0.618 |
748.0 |
|
0.500 |
745.9 |
|
0.382 |
743.7 |
|
LOW |
736.8 |
|
0.618 |
725.6 |
|
1.000 |
718.7 |
|
1.618 |
707.5 |
|
2.618 |
689.4 |
|
4.250 |
659.9 |
|
|
| Fisher Pivots for day following 21-Nov-2007 |
| Pivot |
1 day |
3 day |
| R1 |
745.9 |
753.6 |
| PP |
743.6 |
748.7 |
| S1 |
741.3 |
743.9 |
|