CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 27-Nov-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Nov-2007 |
27-Nov-2007 |
Change |
Change % |
Previous Week |
| Open |
754.3 |
733.6 |
-20.7 |
-2.7% |
767.5 |
| High |
762.9 |
747.6 |
-15.3 |
-2.0% |
770.5 |
| Low |
733.1 |
730.0 |
-3.1 |
-0.4% |
736.7 |
| Close |
733.5 |
743.6 |
10.1 |
1.4% |
755.0 |
| Range |
29.8 |
17.6 |
-12.2 |
-40.9% |
33.8 |
| ATR |
21.1 |
20.9 |
-0.3 |
-1.2% |
0.0 |
| Volume |
84,227 |
249,104 |
164,877 |
195.8% |
1,164,895 |
|
| Daily Pivots for day following 27-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
793.2 |
786.0 |
753.3 |
|
| R3 |
775.6 |
768.4 |
748.4 |
|
| R2 |
758.0 |
758.0 |
746.8 |
|
| R1 |
750.8 |
750.8 |
745.2 |
754.4 |
| PP |
740.4 |
740.4 |
740.4 |
742.2 |
| S1 |
733.2 |
733.2 |
742.0 |
736.8 |
| S2 |
722.8 |
722.8 |
740.4 |
|
| S3 |
705.2 |
715.6 |
738.8 |
|
| S4 |
687.6 |
698.0 |
733.9 |
|
|
| Weekly Pivots for week ending 23-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
855.5 |
839.0 |
773.6 |
|
| R3 |
821.7 |
805.2 |
764.3 |
|
| R2 |
787.9 |
787.9 |
761.2 |
|
| R1 |
771.4 |
771.4 |
758.1 |
762.8 |
| PP |
754.1 |
754.1 |
754.1 |
749.7 |
| S1 |
737.6 |
737.6 |
751.9 |
729.0 |
| S2 |
720.3 |
720.3 |
748.8 |
|
| S3 |
686.5 |
703.8 |
745.7 |
|
| S4 |
652.7 |
670.0 |
736.4 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
762.9 |
730.0 |
32.9 |
4.4% |
22.2 |
3.0% |
41% |
False |
True |
236,356 |
| 10 |
796.8 |
730.0 |
66.8 |
9.0% |
22.1 |
3.0% |
20% |
False |
True |
258,263 |
| 20 |
834.3 |
730.0 |
104.3 |
14.0% |
22.0 |
3.0% |
13% |
False |
True |
275,258 |
| 40 |
858.0 |
730.0 |
128.0 |
17.2% |
18.9 |
2.5% |
11% |
False |
True |
249,469 |
| 60 |
858.0 |
730.0 |
128.0 |
17.2% |
17.6 |
2.4% |
11% |
False |
True |
216,400 |
| 80 |
858.0 |
730.0 |
128.0 |
17.2% |
18.6 |
2.5% |
11% |
False |
True |
162,381 |
| 100 |
869.4 |
730.0 |
139.4 |
18.7% |
18.3 |
2.5% |
10% |
False |
True |
129,979 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
822.4 |
|
2.618 |
793.7 |
|
1.618 |
776.1 |
|
1.000 |
765.2 |
|
0.618 |
758.5 |
|
HIGH |
747.6 |
|
0.618 |
740.9 |
|
0.500 |
738.8 |
|
0.382 |
736.7 |
|
LOW |
730.0 |
|
0.618 |
719.1 |
|
1.000 |
712.4 |
|
1.618 |
701.5 |
|
2.618 |
683.9 |
|
4.250 |
655.2 |
|
|
| Fisher Pivots for day following 27-Nov-2007 |
| Pivot |
1 day |
3 day |
| R1 |
742.0 |
746.5 |
| PP |
740.4 |
745.5 |
| S1 |
738.8 |
744.6 |
|