CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 24-Oct-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Oct-2007 |
24-Oct-2007 |
Change |
Change % |
Previous Week |
| Open |
815.1 |
819.3 |
4.2 |
0.5% |
847.6 |
| High |
822.5 |
819.4 |
-3.1 |
-0.4% |
848.8 |
| Low |
808.8 |
797.8 |
-11.0 |
-1.4% |
797.6 |
| Close |
820.5 |
815.2 |
-5.3 |
-0.6% |
798.2 |
| Range |
13.7 |
21.6 |
7.9 |
57.7% |
51.2 |
| ATR |
16.6 |
17.1 |
0.4 |
2.6% |
0.0 |
| Volume |
298,911 |
231,799 |
-67,112 |
-22.5% |
1,107,284 |
|
| Daily Pivots for day following 24-Oct-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
875.6 |
867.0 |
827.1 |
|
| R3 |
854.0 |
845.4 |
821.1 |
|
| R2 |
832.4 |
832.4 |
819.2 |
|
| R1 |
823.8 |
823.8 |
817.2 |
817.3 |
| PP |
810.8 |
810.8 |
810.8 |
807.6 |
| S1 |
802.2 |
802.2 |
813.2 |
795.7 |
| S2 |
789.2 |
789.2 |
811.2 |
|
| S3 |
767.6 |
780.6 |
809.3 |
|
| S4 |
746.0 |
759.0 |
803.3 |
|
|
| Weekly Pivots for week ending 19-Oct-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
968.5 |
934.5 |
826.4 |
|
| R3 |
917.3 |
883.3 |
812.3 |
|
| R2 |
866.1 |
866.1 |
807.6 |
|
| R1 |
832.1 |
832.1 |
802.9 |
823.5 |
| PP |
814.9 |
814.9 |
814.9 |
810.6 |
| S1 |
780.9 |
780.9 |
793.5 |
772.3 |
| S2 |
763.7 |
763.7 |
788.8 |
|
| S3 |
712.5 |
729.7 |
784.1 |
|
| S4 |
661.3 |
678.5 |
770.0 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
832.3 |
785.3 |
47.0 |
5.8% |
21.8 |
2.7% |
64% |
False |
False |
256,150 |
| 10 |
858.0 |
785.3 |
72.7 |
8.9% |
19.6 |
2.4% |
41% |
False |
False |
240,379 |
| 20 |
858.0 |
785.3 |
72.7 |
8.9% |
15.7 |
1.9% |
41% |
False |
False |
210,667 |
| 40 |
858.0 |
764.4 |
93.6 |
11.5% |
15.5 |
1.9% |
54% |
False |
False |
165,908 |
| 60 |
858.0 |
743.5 |
114.5 |
14.0% |
17.8 |
2.2% |
63% |
False |
False |
110,693 |
| 80 |
869.4 |
743.5 |
125.9 |
15.4% |
17.0 |
2.1% |
57% |
False |
False |
83,113 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
911.2 |
|
2.618 |
875.9 |
|
1.618 |
854.3 |
|
1.000 |
841.0 |
|
0.618 |
832.7 |
|
HIGH |
819.4 |
|
0.618 |
811.1 |
|
0.500 |
808.6 |
|
0.382 |
806.1 |
|
LOW |
797.8 |
|
0.618 |
784.5 |
|
1.000 |
776.2 |
|
1.618 |
762.9 |
|
2.618 |
741.3 |
|
4.250 |
706.0 |
|
|
| Fisher Pivots for day following 24-Oct-2007 |
| Pivot |
1 day |
3 day |
| R1 |
813.0 |
811.4 |
| PP |
810.8 |
807.7 |
| S1 |
808.6 |
803.9 |
|