CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 26-Nov-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Nov-2007 |
26-Nov-2007 |
Change |
Change % |
Previous Week |
| Open |
740.7 |
754.3 |
13.6 |
1.8% |
767.5 |
| High |
761.4 |
762.9 |
1.5 |
0.2% |
770.5 |
| Low |
738.3 |
733.1 |
-5.2 |
-0.7% |
736.7 |
| Close |
755.0 |
733.5 |
-21.5 |
-2.8% |
755.0 |
| Range |
23.1 |
29.8 |
6.7 |
29.0% |
33.8 |
| ATR |
20.5 |
21.1 |
0.7 |
3.3% |
0.0 |
| Volume |
240,912 |
84,227 |
-156,685 |
-65.0% |
1,164,895 |
|
| Daily Pivots for day following 26-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
832.6 |
812.8 |
749.9 |
|
| R3 |
802.8 |
783.0 |
741.7 |
|
| R2 |
773.0 |
773.0 |
739.0 |
|
| R1 |
753.2 |
753.2 |
736.2 |
748.2 |
| PP |
743.2 |
743.2 |
743.2 |
740.7 |
| S1 |
723.4 |
723.4 |
730.8 |
718.4 |
| S2 |
713.4 |
713.4 |
728.0 |
|
| S3 |
683.6 |
693.6 |
725.3 |
|
| S4 |
653.8 |
663.8 |
717.1 |
|
|
| Weekly Pivots for week ending 23-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
855.5 |
839.0 |
773.6 |
|
| R3 |
821.7 |
805.2 |
764.3 |
|
| R2 |
787.9 |
787.9 |
761.2 |
|
| R1 |
771.4 |
771.4 |
758.1 |
762.8 |
| PP |
754.1 |
754.1 |
754.1 |
749.7 |
| S1 |
737.6 |
737.6 |
751.9 |
729.0 |
| S2 |
720.3 |
720.3 |
748.8 |
|
| S3 |
686.5 |
703.8 |
745.7 |
|
| S4 |
652.7 |
670.0 |
736.4 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
770.5 |
733.1 |
37.4 |
5.1% |
23.3 |
3.2% |
1% |
False |
True |
249,824 |
| 10 |
796.8 |
733.1 |
63.7 |
8.7% |
22.4 |
3.1% |
1% |
False |
True |
263,025 |
| 20 |
834.3 |
733.1 |
101.2 |
13.8% |
21.7 |
3.0% |
0% |
False |
True |
272,976 |
| 40 |
858.0 |
733.1 |
124.9 |
17.0% |
19.1 |
2.6% |
0% |
False |
True |
248,647 |
| 60 |
858.0 |
733.1 |
124.9 |
17.0% |
17.5 |
2.4% |
0% |
False |
True |
212,262 |
| 80 |
858.0 |
733.1 |
124.9 |
17.0% |
18.8 |
2.6% |
0% |
False |
True |
159,268 |
| 100 |
869.4 |
733.1 |
136.3 |
18.6% |
18.2 |
2.5% |
0% |
False |
True |
127,491 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
889.6 |
|
2.618 |
840.9 |
|
1.618 |
811.1 |
|
1.000 |
792.7 |
|
0.618 |
781.3 |
|
HIGH |
762.9 |
|
0.618 |
751.5 |
|
0.500 |
748.0 |
|
0.382 |
744.5 |
|
LOW |
733.1 |
|
0.618 |
714.7 |
|
1.000 |
703.3 |
|
1.618 |
684.9 |
|
2.618 |
655.1 |
|
4.250 |
606.5 |
|
|
| Fisher Pivots for day following 26-Nov-2007 |
| Pivot |
1 day |
3 day |
| R1 |
748.0 |
748.0 |
| PP |
743.2 |
743.2 |
| S1 |
738.3 |
738.3 |
|