CME eMini Russell 2000 Future March 2008
| Trading Metrics calculated at close of trading on 02-Jan-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-Dec-2007 |
02-Jan-2008 |
Change |
Change % |
Previous Week |
| Open |
774.0 |
769.0 |
-5.0 |
-0.6% |
791.0 |
| High |
775.7 |
771.9 |
-3.8 |
-0.5% |
804.7 |
| Low |
762.2 |
752.2 |
-10.0 |
-1.3% |
773.0 |
| Close |
772.2 |
758.5 |
-13.7 |
-1.8% |
773.3 |
| Range |
13.5 |
19.7 |
6.2 |
45.9% |
31.7 |
| ATR |
17.4 |
17.6 |
0.2 |
1.0% |
0.0 |
| Volume |
139,022 |
114,373 |
-24,649 |
-17.7% |
470,453 |
|
| Daily Pivots for day following 02-Jan-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
820.0 |
808.9 |
769.3 |
|
| R3 |
800.3 |
789.2 |
763.9 |
|
| R2 |
780.6 |
780.6 |
762.1 |
|
| R1 |
769.5 |
769.5 |
760.3 |
765.2 |
| PP |
760.9 |
760.9 |
760.9 |
758.7 |
| S1 |
749.8 |
749.8 |
756.7 |
745.5 |
| S2 |
741.2 |
741.2 |
754.9 |
|
| S3 |
721.5 |
730.1 |
753.1 |
|
| S4 |
701.8 |
710.4 |
747.7 |
|
|
| Weekly Pivots for week ending 28-Dec-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
878.8 |
857.7 |
790.7 |
|
| R3 |
847.1 |
826.0 |
782.0 |
|
| R2 |
815.4 |
815.4 |
779.1 |
|
| R1 |
794.3 |
794.3 |
776.2 |
789.0 |
| PP |
783.7 |
783.7 |
783.7 |
781.0 |
| S1 |
762.6 |
762.6 |
770.4 |
757.3 |
| S2 |
752.0 |
752.0 |
767.5 |
|
| S3 |
720.3 |
730.9 |
764.6 |
|
| S4 |
688.6 |
699.2 |
755.9 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
804.7 |
752.2 |
52.5 |
6.9% |
17.2 |
2.3% |
12% |
False |
True |
108,134 |
| 10 |
804.7 |
738.7 |
66.0 |
8.7% |
16.8 |
2.2% |
30% |
False |
False |
197,184 |
| 20 |
804.7 |
738.7 |
66.0 |
8.7% |
17.7 |
2.3% |
30% |
False |
False |
131,564 |
| 40 |
812.6 |
735.0 |
77.6 |
10.2% |
18.3 |
2.4% |
30% |
False |
False |
65,956 |
| 60 |
863.7 |
735.0 |
128.7 |
17.0% |
17.9 |
2.4% |
18% |
False |
False |
44,009 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
855.6 |
|
2.618 |
823.5 |
|
1.618 |
803.8 |
|
1.000 |
791.6 |
|
0.618 |
784.1 |
|
HIGH |
771.9 |
|
0.618 |
764.4 |
|
0.500 |
762.1 |
|
0.382 |
759.7 |
|
LOW |
752.2 |
|
0.618 |
740.0 |
|
1.000 |
732.5 |
|
1.618 |
720.3 |
|
2.618 |
700.6 |
|
4.250 |
668.5 |
|
|
| Fisher Pivots for day following 02-Jan-2008 |
| Pivot |
1 day |
3 day |
| R1 |
762.1 |
770.5 |
| PP |
760.9 |
766.5 |
| S1 |
759.7 |
762.5 |
|