CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 12-Dec-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Dec-2007 |
12-Dec-2007 |
Change |
Change % |
Previous Week |
| Open |
794.4 |
766.0 |
-28.4 |
-3.6% |
769.6 |
| High |
800.3 |
790.9 |
-9.4 |
-1.2% |
791.5 |
| Low |
764.8 |
763.1 |
-1.7 |
-0.2% |
748.7 |
| Close |
765.6 |
772.4 |
6.8 |
0.9% |
787.0 |
| Range |
35.5 |
27.8 |
-7.7 |
-21.7% |
42.8 |
| ATR |
19.8 |
20.4 |
0.6 |
2.9% |
0.0 |
| Volume |
168,815 |
291,451 |
122,636 |
72.6% |
1,077,049 |
|
| Daily Pivots for day following 12-Dec-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
858.9 |
843.4 |
787.7 |
|
| R3 |
831.1 |
815.6 |
780.0 |
|
| R2 |
803.3 |
803.3 |
777.5 |
|
| R1 |
787.8 |
787.8 |
774.9 |
795.6 |
| PP |
775.5 |
775.5 |
775.5 |
779.3 |
| S1 |
760.0 |
760.0 |
769.9 |
767.8 |
| S2 |
747.7 |
747.7 |
767.3 |
|
| S3 |
719.9 |
732.2 |
764.8 |
|
| S4 |
692.1 |
704.4 |
757.1 |
|
|
| Weekly Pivots for week ending 07-Dec-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
904.1 |
888.4 |
810.5 |
|
| R3 |
861.3 |
845.6 |
798.8 |
|
| R2 |
818.5 |
818.5 |
794.8 |
|
| R1 |
802.8 |
802.8 |
790.9 |
810.7 |
| PP |
775.7 |
775.7 |
775.7 |
779.7 |
| S1 |
760.0 |
760.0 |
783.1 |
767.9 |
| S2 |
732.9 |
732.9 |
779.2 |
|
| S3 |
690.1 |
717.2 |
775.2 |
|
| S4 |
647.3 |
674.4 |
763.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
800.3 |
763.1 |
37.2 |
4.8% |
22.1 |
2.9% |
25% |
False |
True |
216,236 |
| 10 |
800.3 |
748.7 |
51.6 |
6.7% |
18.3 |
2.4% |
46% |
False |
False |
218,988 |
| 20 |
800.3 |
730.0 |
70.3 |
9.1% |
20.3 |
2.6% |
60% |
False |
False |
237,563 |
| 40 |
837.5 |
730.0 |
107.5 |
13.9% |
20.7 |
2.7% |
39% |
False |
False |
257,030 |
| 60 |
858.0 |
730.0 |
128.0 |
16.6% |
18.1 |
2.3% |
33% |
False |
False |
242,930 |
| 80 |
858.0 |
730.0 |
128.0 |
16.6% |
17.6 |
2.3% |
33% |
False |
False |
192,922 |
| 100 |
858.0 |
730.0 |
128.0 |
16.6% |
19.2 |
2.5% |
33% |
False |
False |
154,399 |
| 120 |
869.4 |
730.0 |
139.4 |
18.0% |
17.7 |
2.3% |
30% |
False |
False |
128,718 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
909.1 |
|
2.618 |
863.7 |
|
1.618 |
835.9 |
|
1.000 |
818.7 |
|
0.618 |
808.1 |
|
HIGH |
790.9 |
|
0.618 |
780.3 |
|
0.500 |
777.0 |
|
0.382 |
773.7 |
|
LOW |
763.1 |
|
0.618 |
745.9 |
|
1.000 |
735.3 |
|
1.618 |
718.1 |
|
2.618 |
690.3 |
|
4.250 |
645.0 |
|
|
| Fisher Pivots for day following 12-Dec-2007 |
| Pivot |
1 day |
3 day |
| R1 |
777.0 |
781.7 |
| PP |
775.5 |
778.6 |
| S1 |
773.9 |
775.5 |
|