CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 06-Nov-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Nov-2007 |
06-Nov-2007 |
Change |
Change % |
Previous Week |
| Open |
800.4 |
790.5 |
-9.9 |
-1.2% |
826.4 |
| High |
800.4 |
806.0 |
5.6 |
0.7% |
834.3 |
| Low |
785.7 |
785.6 |
-0.1 |
0.0% |
788.8 |
| Close |
790.8 |
805.6 |
14.8 |
1.9% |
800.7 |
| Range |
14.7 |
20.4 |
5.7 |
38.8% |
45.5 |
| ATR |
18.1 |
18.3 |
0.2 |
0.9% |
0.0 |
| Volume |
352,614 |
278,648 |
-73,966 |
-21.0% |
1,209,109 |
|
| Daily Pivots for day following 06-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
860.3 |
853.3 |
816.8 |
|
| R3 |
839.9 |
832.9 |
811.2 |
|
| R2 |
819.5 |
819.5 |
809.3 |
|
| R1 |
812.5 |
812.5 |
807.5 |
816.0 |
| PP |
799.1 |
799.1 |
799.1 |
800.8 |
| S1 |
792.1 |
792.1 |
803.7 |
795.6 |
| S2 |
778.7 |
778.7 |
801.9 |
|
| S3 |
758.3 |
771.7 |
800.0 |
|
| S4 |
737.9 |
751.3 |
794.4 |
|
|
| Weekly Pivots for week ending 02-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
944.4 |
918.1 |
825.7 |
|
| R3 |
898.9 |
872.6 |
813.2 |
|
| R2 |
853.4 |
853.4 |
809.0 |
|
| R1 |
827.1 |
827.1 |
804.9 |
817.5 |
| PP |
807.9 |
807.9 |
807.9 |
803.2 |
| S1 |
781.6 |
781.6 |
796.5 |
772.0 |
| S2 |
762.4 |
762.4 |
792.4 |
|
| S3 |
716.9 |
736.1 |
788.2 |
|
| S4 |
671.4 |
690.6 |
775.7 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
834.3 |
785.6 |
48.7 |
6.0% |
23.0 |
2.9% |
41% |
False |
True |
292,446 |
| 10 |
834.3 |
785.6 |
48.7 |
6.0% |
19.3 |
2.4% |
41% |
False |
True |
271,294 |
| 20 |
858.0 |
785.3 |
72.7 |
9.0% |
18.8 |
2.3% |
28% |
False |
False |
252,610 |
| 40 |
858.0 |
775.2 |
82.8 |
10.3% |
16.0 |
2.0% |
37% |
False |
False |
226,979 |
| 60 |
858.0 |
743.5 |
114.5 |
14.2% |
17.0 |
2.1% |
54% |
False |
False |
152,006 |
| 80 |
867.8 |
743.5 |
124.3 |
15.4% |
18.1 |
2.3% |
50% |
False |
False |
114,096 |
| 100 |
869.4 |
743.5 |
125.9 |
15.6% |
16.6 |
2.1% |
49% |
False |
False |
91,318 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
892.7 |
|
2.618 |
859.4 |
|
1.618 |
839.0 |
|
1.000 |
826.4 |
|
0.618 |
818.6 |
|
HIGH |
806.0 |
|
0.618 |
798.2 |
|
0.500 |
795.8 |
|
0.382 |
793.4 |
|
LOW |
785.6 |
|
0.618 |
773.0 |
|
1.000 |
765.2 |
|
1.618 |
752.6 |
|
2.618 |
732.2 |
|
4.250 |
698.9 |
|
|
| Fisher Pivots for day following 06-Nov-2007 |
| Pivot |
1 day |
3 day |
| R1 |
802.3 |
802.9 |
| PP |
799.1 |
800.2 |
| S1 |
795.8 |
797.5 |
|