CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 21-Dec-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Dec-2007 |
21-Dec-2007 |
Change |
Change % |
Previous Week |
| Open |
758.3 |
772.2 |
13.9 |
1.8% |
750.3 |
| High |
772.2 |
781.8 |
9.6 |
1.2% |
781.8 |
| Low |
750.1 |
770.8 |
20.7 |
2.8% |
735.3 |
| Close |
771.6 |
781.8 |
10.2 |
1.3% |
781.8 |
| Range |
22.1 |
11.0 |
-11.1 |
-50.4% |
46.5 |
| ATR |
19.2 |
18.6 |
-0.6 |
-3.1% |
0.0 |
| Volume |
99,680 |
54,778 |
-44,902 |
-45.0% |
572,316 |
|
| Daily Pivots for day following 21-Dec-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
811.0 |
807.4 |
787.8 |
|
| R3 |
800.1 |
796.4 |
784.8 |
|
| R2 |
789.1 |
789.1 |
783.8 |
|
| R1 |
785.4 |
785.4 |
782.8 |
787.3 |
| PP |
778.1 |
778.1 |
778.1 |
779.0 |
| S1 |
774.5 |
774.5 |
780.8 |
776.3 |
| S2 |
767.1 |
767.1 |
779.8 |
|
| S3 |
756.2 |
763.5 |
778.8 |
|
| S4 |
745.2 |
752.5 |
775.7 |
|
|
| Weekly Pivots for week ending 21-Dec-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
905.7 |
890.2 |
807.3 |
|
| R3 |
859.2 |
843.7 |
794.5 |
|
| R2 |
812.8 |
812.8 |
790.3 |
|
| R1 |
797.3 |
797.3 |
786.0 |
805.0 |
| PP |
766.3 |
766.3 |
766.3 |
770.2 |
| S1 |
750.8 |
750.8 |
777.5 |
758.5 |
| S2 |
719.8 |
719.8 |
773.3 |
|
| S3 |
673.3 |
704.3 |
769.0 |
|
| S4 |
626.9 |
657.9 |
756.2 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
781.8 |
735.3 |
46.5 |
5.9% |
15.6 |
2.0% |
100% |
True |
False |
114,463 |
| 10 |
800.3 |
735.3 |
65.0 |
8.3% |
19.0 |
2.4% |
71% |
False |
False |
177,060 |
| 20 |
800.3 |
730.0 |
70.3 |
9.0% |
18.7 |
2.4% |
74% |
False |
False |
195,749 |
| 40 |
834.3 |
730.0 |
104.3 |
13.3% |
19.9 |
2.5% |
50% |
False |
False |
239,516 |
| 60 |
858.0 |
730.0 |
128.0 |
16.4% |
18.7 |
2.4% |
40% |
False |
False |
232,410 |
| 80 |
858.0 |
730.0 |
128.0 |
16.4% |
17.6 |
2.3% |
40% |
False |
False |
207,084 |
| 100 |
858.0 |
730.0 |
128.0 |
16.4% |
18.6 |
2.4% |
40% |
False |
False |
165,724 |
| 120 |
869.4 |
730.0 |
139.4 |
17.8% |
18.1 |
2.3% |
37% |
False |
False |
138,166 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
828.4 |
|
2.618 |
810.5 |
|
1.618 |
799.5 |
|
1.000 |
792.7 |
|
0.618 |
788.5 |
|
HIGH |
781.8 |
|
0.618 |
777.6 |
|
0.500 |
776.3 |
|
0.382 |
775.0 |
|
LOW |
770.8 |
|
0.618 |
764.0 |
|
1.000 |
759.8 |
|
1.618 |
753.1 |
|
2.618 |
742.1 |
|
4.250 |
724.2 |
|
|
| Fisher Pivots for day following 21-Dec-2007 |
| Pivot |
1 day |
3 day |
| R1 |
779.9 |
776.3 |
| PP |
778.1 |
770.8 |
| S1 |
776.3 |
765.4 |
|