CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 28-Nov-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Nov-2007 |
28-Nov-2007 |
Change |
Change % |
Previous Week |
| Open |
733.6 |
743.7 |
10.1 |
1.4% |
767.5 |
| High |
747.6 |
772.8 |
25.2 |
3.4% |
770.5 |
| Low |
730.0 |
740.7 |
10.7 |
1.5% |
736.7 |
| Close |
743.6 |
771.6 |
28.0 |
3.8% |
755.0 |
| Range |
17.6 |
32.1 |
14.5 |
82.4% |
33.8 |
| ATR |
20.9 |
21.7 |
0.8 |
3.8% |
0.0 |
| Volume |
249,104 |
256,495 |
7,391 |
3.0% |
1,164,895 |
|
| Daily Pivots for day following 28-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
858.0 |
846.9 |
789.3 |
|
| R3 |
825.9 |
814.8 |
780.4 |
|
| R2 |
793.8 |
793.8 |
777.5 |
|
| R1 |
782.7 |
782.7 |
774.5 |
788.3 |
| PP |
761.7 |
761.7 |
761.7 |
764.5 |
| S1 |
750.6 |
750.6 |
768.7 |
756.2 |
| S2 |
729.6 |
729.6 |
765.7 |
|
| S3 |
697.5 |
718.5 |
762.8 |
|
| S4 |
665.4 |
686.4 |
753.9 |
|
|
| 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 |
772.8 |
730.0 |
42.8 |
5.5% |
24.1 |
3.1% |
97% |
True |
False |
231,540 |
| 10 |
796.8 |
730.0 |
66.8 |
8.7% |
22.4 |
2.9% |
62% |
False |
False |
256,138 |
| 20 |
834.3 |
730.0 |
104.3 |
13.5% |
23.1 |
3.0% |
40% |
False |
False |
279,349 |
| 40 |
858.0 |
730.0 |
128.0 |
16.6% |
19.5 |
2.5% |
33% |
False |
False |
250,200 |
| 60 |
858.0 |
730.0 |
128.0 |
16.6% |
17.9 |
2.3% |
33% |
False |
False |
220,669 |
| 80 |
858.0 |
730.0 |
128.0 |
16.6% |
18.7 |
2.4% |
33% |
False |
False |
165,585 |
| 100 |
869.4 |
730.0 |
139.4 |
18.1% |
18.5 |
2.4% |
30% |
False |
False |
132,541 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
909.2 |
|
2.618 |
856.8 |
|
1.618 |
824.7 |
|
1.000 |
804.9 |
|
0.618 |
792.6 |
|
HIGH |
772.8 |
|
0.618 |
760.5 |
|
0.500 |
756.8 |
|
0.382 |
753.0 |
|
LOW |
740.7 |
|
0.618 |
720.9 |
|
1.000 |
708.6 |
|
1.618 |
688.8 |
|
2.618 |
656.7 |
|
4.250 |
604.3 |
|
|
| Fisher Pivots for day following 28-Nov-2007 |
| Pivot |
1 day |
3 day |
| R1 |
766.7 |
764.9 |
| PP |
761.7 |
758.1 |
| S1 |
756.8 |
751.4 |
|