CME eMini Russell 2000 Future March 2008
| Trading Metrics calculated at close of trading on 27-Dec-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Dec-2007 |
27-Dec-2007 |
Change |
Change % |
Previous Week |
| Open |
797.3 |
801.6 |
4.3 |
0.5% |
756.4 |
| High |
804.7 |
802.3 |
-2.4 |
-0.3% |
792.9 |
| Low |
793.3 |
776.6 |
-16.7 |
-2.1% |
738.7 |
| Close |
801.4 |
780.4 |
-21.0 |
-2.6% |
792.0 |
| Range |
11.4 |
25.7 |
14.3 |
125.4% |
54.2 |
| ATR |
17.3 |
17.9 |
0.6 |
3.5% |
0.0 |
| Volume |
46,383 |
83,431 |
37,048 |
79.9% |
1,507,123 |
|
| Daily Pivots for day following 27-Dec-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
863.5 |
847.7 |
794.5 |
|
| R3 |
837.8 |
822.0 |
787.5 |
|
| R2 |
812.1 |
812.1 |
785.1 |
|
| R1 |
796.3 |
796.3 |
782.8 |
791.4 |
| PP |
786.4 |
786.4 |
786.4 |
784.0 |
| S1 |
770.6 |
770.6 |
778.0 |
765.7 |
| S2 |
760.7 |
760.7 |
775.7 |
|
| S3 |
735.0 |
744.9 |
773.3 |
|
| S4 |
709.3 |
719.2 |
766.3 |
|
|
| Weekly Pivots for week ending 21-Dec-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
937.1 |
918.8 |
821.8 |
|
| R3 |
882.9 |
864.6 |
806.9 |
|
| R2 |
828.7 |
828.7 |
801.9 |
|
| R1 |
810.4 |
810.4 |
797.0 |
819.6 |
| PP |
774.5 |
774.5 |
774.5 |
779.1 |
| S1 |
756.2 |
756.2 |
787.0 |
765.4 |
| S2 |
720.3 |
720.3 |
782.1 |
|
| S3 |
666.1 |
702.0 |
777.1 |
|
| S4 |
611.9 |
647.8 |
762.2 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
804.7 |
753.5 |
51.2 |
6.6% |
17.5 |
2.2% |
53% |
False |
False |
172,500 |
| 10 |
804.7 |
738.7 |
66.0 |
8.5% |
16.8 |
2.1% |
63% |
False |
False |
215,859 |
| 20 |
804.7 |
738.7 |
66.0 |
8.5% |
17.4 |
2.2% |
63% |
False |
False |
111,121 |
| 40 |
831.4 |
735.0 |
96.4 |
12.4% |
18.7 |
2.4% |
47% |
False |
False |
55,700 |
| 60 |
863.7 |
735.0 |
128.7 |
16.5% |
17.7 |
2.3% |
35% |
False |
False |
37,165 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
911.5 |
|
2.618 |
869.6 |
|
1.618 |
843.9 |
|
1.000 |
828.0 |
|
0.618 |
818.2 |
|
HIGH |
802.3 |
|
0.618 |
792.5 |
|
0.500 |
789.5 |
|
0.382 |
786.4 |
|
LOW |
776.6 |
|
0.618 |
760.7 |
|
1.000 |
750.9 |
|
1.618 |
735.0 |
|
2.618 |
709.3 |
|
4.250 |
667.4 |
|
|
| Fisher Pivots for day following 27-Dec-2007 |
| Pivot |
1 day |
3 day |
| R1 |
789.5 |
790.7 |
| PP |
786.4 |
787.2 |
| S1 |
783.4 |
783.8 |
|