CME eMini Russell 2000 Future December 2007
| Trading Metrics calculated at close of trading on 11-Dec-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Dec-2007 |
11-Dec-2007 |
Change |
Change % |
Previous Week |
| Open |
786.6 |
794.4 |
7.8 |
1.0% |
769.6 |
| High |
795.5 |
800.3 |
4.8 |
0.6% |
791.5 |
| Low |
781.8 |
764.8 |
-17.0 |
-2.2% |
748.7 |
| Close |
794.6 |
765.6 |
-29.0 |
-3.6% |
787.0 |
| Range |
13.7 |
35.5 |
21.8 |
159.1% |
42.8 |
| ATR |
18.6 |
19.8 |
1.2 |
6.5% |
0.0 |
| Volume |
175,066 |
168,815 |
-6,251 |
-3.6% |
1,077,049 |
|
| Daily Pivots for day following 11-Dec-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
883.4 |
860.0 |
785.1 |
|
| R3 |
847.9 |
824.5 |
775.4 |
|
| R2 |
812.4 |
812.4 |
772.1 |
|
| R1 |
789.0 |
789.0 |
768.9 |
783.0 |
| PP |
776.9 |
776.9 |
776.9 |
773.9 |
| S1 |
753.5 |
753.5 |
762.3 |
747.5 |
| S2 |
741.4 |
741.4 |
759.1 |
|
| S3 |
705.9 |
718.0 |
755.8 |
|
| S4 |
670.4 |
682.5 |
746.1 |
|
|
| Weekly Pivots for week ending 07-Dec-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
904.1 |
888.4 |
810.5 |
|
| R3 |
861.3 |
845.6 |
798.8 |
|
| R2 |
818.5 |
818.5 |
794.8 |
|
| R1 |
802.8 |
802.8 |
790.9 |
810.7 |
| PP |
775.7 |
775.7 |
775.7 |
779.7 |
| S1 |
760.0 |
760.0 |
783.1 |
767.9 |
| S2 |
732.9 |
732.9 |
779.2 |
|
| S3 |
690.1 |
717.2 |
775.2 |
|
| S4 |
647.3 |
674.4 |
763.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
800.3 |
753.3 |
47.0 |
6.1% |
19.7 |
2.6% |
26% |
True |
False |
198,142 |
| 10 |
800.3 |
740.7 |
59.6 |
7.8% |
18.7 |
2.4% |
42% |
True |
False |
215,493 |
| 20 |
800.3 |
730.0 |
70.3 |
9.2% |
20.4 |
2.7% |
51% |
True |
False |
236,878 |
| 40 |
839.6 |
730.0 |
109.6 |
14.3% |
20.3 |
2.7% |
32% |
False |
False |
256,123 |
| 60 |
858.0 |
730.0 |
128.0 |
16.7% |
18.3 |
2.4% |
28% |
False |
False |
242,491 |
| 80 |
858.0 |
730.0 |
128.0 |
16.7% |
17.4 |
2.3% |
28% |
False |
False |
189,283 |
| 100 |
858.0 |
730.0 |
128.0 |
16.7% |
19.0 |
2.5% |
28% |
False |
False |
151,492 |
| 120 |
869.4 |
730.0 |
139.4 |
18.2% |
17.6 |
2.3% |
26% |
False |
False |
126,290 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
951.2 |
|
2.618 |
893.2 |
|
1.618 |
857.7 |
|
1.000 |
835.8 |
|
0.618 |
822.2 |
|
HIGH |
800.3 |
|
0.618 |
786.7 |
|
0.500 |
782.6 |
|
0.382 |
778.4 |
|
LOW |
764.8 |
|
0.618 |
742.9 |
|
1.000 |
729.3 |
|
1.618 |
707.4 |
|
2.618 |
671.9 |
|
4.250 |
613.9 |
|
|
| Fisher Pivots for day following 11-Dec-2007 |
| Pivot |
1 day |
3 day |
| R1 |
782.6 |
782.6 |
| PP |
776.9 |
776.9 |
| S1 |
771.3 |
771.3 |
|