CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 30-Nov-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Nov-2007 |
30-Nov-2007 |
Change |
Change % |
Previous Week |
| Open |
771.3 |
765.3 |
-6.0 |
-0.8% |
754.3 |
| High |
774.8 |
783.3 |
8.5 |
1.1% |
783.3 |
| Low |
762.5 |
764.9 |
2.4 |
0.3% |
730.0 |
| Close |
765.5 |
769.4 |
3.9 |
0.5% |
769.4 |
| Range |
12.3 |
18.4 |
6.1 |
49.6% |
53.3 |
| ATR |
21.0 |
20.8 |
-0.2 |
-0.9% |
0.0 |
| Volume |
268,340 |
209,165 |
-59,175 |
-22.1% |
1,067,331 |
|
| Daily Pivots for day following 30-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
827.7 |
817.0 |
779.5 |
|
| R3 |
809.3 |
798.6 |
774.5 |
|
| R2 |
790.9 |
790.9 |
772.8 |
|
| R1 |
780.2 |
780.2 |
771.1 |
785.6 |
| PP |
772.5 |
772.5 |
772.5 |
775.2 |
| S1 |
761.8 |
761.8 |
767.7 |
767.2 |
| S2 |
754.1 |
754.1 |
766.0 |
|
| S3 |
735.7 |
743.4 |
764.3 |
|
| S4 |
717.3 |
725.0 |
759.3 |
|
|
| Weekly Pivots for week ending 30-Nov-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
920.8 |
898.4 |
798.7 |
|
| R3 |
867.5 |
845.1 |
784.1 |
|
| R2 |
814.2 |
814.2 |
779.2 |
|
| R1 |
791.8 |
791.8 |
774.3 |
803.0 |
| PP |
760.9 |
760.9 |
760.9 |
766.5 |
| S1 |
738.5 |
738.5 |
764.5 |
749.7 |
| S2 |
707.6 |
707.6 |
759.6 |
|
| S3 |
654.3 |
685.2 |
754.7 |
|
| S4 |
601.0 |
631.9 |
740.1 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
783.3 |
730.0 |
53.3 |
6.9% |
22.0 |
2.9% |
74% |
True |
False |
213,466 |
| 10 |
783.3 |
730.0 |
53.3 |
6.9% |
21.7 |
2.8% |
74% |
True |
False |
253,111 |
| 20 |
809.3 |
730.0 |
79.3 |
10.3% |
21.7 |
2.8% |
50% |
False |
False |
280,509 |
| 40 |
858.0 |
730.0 |
128.0 |
16.6% |
19.9 |
2.6% |
31% |
False |
False |
252,573 |
| 60 |
858.0 |
730.0 |
128.0 |
16.6% |
18.0 |
2.3% |
31% |
False |
False |
228,525 |
| 80 |
858.0 |
730.0 |
128.0 |
16.6% |
18.5 |
2.4% |
31% |
False |
False |
171,547 |
| 100 |
869.4 |
730.0 |
139.4 |
18.1% |
18.6 |
2.4% |
28% |
False |
False |
137,312 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
861.5 |
|
2.618 |
831.5 |
|
1.618 |
813.1 |
|
1.000 |
801.7 |
|
0.618 |
794.7 |
|
HIGH |
783.3 |
|
0.618 |
776.3 |
|
0.500 |
774.1 |
|
0.382 |
771.9 |
|
LOW |
764.9 |
|
0.618 |
753.5 |
|
1.000 |
746.5 |
|
1.618 |
735.1 |
|
2.618 |
716.7 |
|
4.250 |
686.7 |
|
|
| Fisher Pivots for day following 30-Nov-2007 |
| Pivot |
1 day |
3 day |
| R1 |
774.1 |
766.9 |
| PP |
772.5 |
764.5 |
| S1 |
771.0 |
762.0 |
|