CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 20-Dec-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Dec-2007 |
20-Dec-2007 |
Change |
Change % |
Previous Week |
| Open |
754.0 |
758.3 |
4.3 |
0.6% |
786.6 |
| High |
759.2 |
772.2 |
13.0 |
1.7% |
800.3 |
| Low |
749.0 |
750.1 |
1.1 |
0.1% |
751.5 |
| Close |
758.9 |
771.6 |
12.7 |
1.7% |
752.3 |
| Range |
10.2 |
22.1 |
11.9 |
116.7% |
48.8 |
| ATR |
19.0 |
19.2 |
0.2 |
1.2% |
0.0 |
| Volume |
130,224 |
99,680 |
-30,544 |
-23.5% |
1,198,291 |
|
| Daily Pivots for day following 20-Dec-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
830.9 |
823.4 |
783.8 |
|
| R3 |
808.8 |
801.3 |
777.7 |
|
| R2 |
786.7 |
786.7 |
775.7 |
|
| R1 |
779.2 |
779.2 |
773.6 |
783.0 |
| PP |
764.6 |
764.6 |
764.6 |
766.5 |
| S1 |
757.1 |
757.1 |
769.6 |
760.9 |
| S2 |
742.5 |
742.5 |
767.5 |
|
| S3 |
720.4 |
735.0 |
765.5 |
|
| S4 |
698.3 |
712.9 |
759.4 |
|
|
| Weekly Pivots for week ending 14-Dec-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
914.4 |
882.2 |
779.1 |
|
| R3 |
865.6 |
833.4 |
765.7 |
|
| R2 |
816.8 |
816.8 |
761.2 |
|
| R1 |
784.6 |
784.6 |
756.8 |
776.3 |
| PP |
768.0 |
768.0 |
768.0 |
763.9 |
| S1 |
735.8 |
735.8 |
747.8 |
727.5 |
| S2 |
719.2 |
719.2 |
743.4 |
|
| S3 |
670.4 |
687.0 |
738.9 |
|
| S4 |
621.6 |
638.2 |
725.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
772.2 |
735.3 |
36.9 |
4.8% |
17.3 |
2.2% |
98% |
True |
False |
143,434 |
| 10 |
800.3 |
735.3 |
65.0 |
8.4% |
18.8 |
2.4% |
56% |
False |
False |
196,020 |
| 20 |
800.3 |
730.0 |
70.3 |
9.1% |
19.3 |
2.5% |
59% |
False |
False |
205,056 |
| 40 |
834.3 |
730.0 |
104.3 |
13.5% |
20.1 |
2.6% |
40% |
False |
False |
246,907 |
| 60 |
858.0 |
730.0 |
128.0 |
16.6% |
18.6 |
2.4% |
33% |
False |
False |
234,827 |
| 80 |
858.0 |
730.0 |
128.0 |
16.6% |
17.8 |
2.3% |
33% |
False |
False |
206,407 |
| 100 |
858.0 |
730.0 |
128.0 |
16.6% |
18.7 |
2.4% |
33% |
False |
False |
165,178 |
| 120 |
869.4 |
730.0 |
139.4 |
18.1% |
18.0 |
2.3% |
30% |
False |
False |
137,711 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
866.1 |
|
2.618 |
830.1 |
|
1.618 |
808.0 |
|
1.000 |
794.3 |
|
0.618 |
785.9 |
|
HIGH |
772.2 |
|
0.618 |
763.8 |
|
0.500 |
761.2 |
|
0.382 |
758.5 |
|
LOW |
750.1 |
|
0.618 |
736.4 |
|
1.000 |
728.0 |
|
1.618 |
714.3 |
|
2.618 |
692.2 |
|
4.250 |
656.2 |
|
|
| Fisher Pivots for day following 20-Dec-2007 |
| Pivot |
1 day |
3 day |
| R1 |
768.1 |
765.7 |
| PP |
764.6 |
759.7 |
| S1 |
761.2 |
753.8 |
|