ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 01-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Jul-2011 |
01-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
796.7 |
805.5 |
8.8 |
1.1% |
830.6 |
| High |
800.6 |
808.8 |
8.2 |
1.0% |
836.6 |
| Low |
780.2 |
783.5 |
3.3 |
0.4% |
780.2 |
| Close |
795.5 |
790.2 |
-5.3 |
-0.7% |
795.5 |
| Range |
20.4 |
25.3 |
4.9 |
24.0% |
56.4 |
| ATR |
16.1 |
16.7 |
0.7 |
4.1% |
0.0 |
| Volume |
216,955 |
205,679 |
-11,276 |
-5.2% |
818,807 |
|
| Daily Pivots for day following 01-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
870.0 |
855.5 |
804.0 |
|
| R3 |
844.8 |
830.3 |
797.3 |
|
| R2 |
819.5 |
819.5 |
794.8 |
|
| R1 |
804.8 |
804.8 |
792.5 |
799.5 |
| PP |
794.3 |
794.3 |
794.3 |
791.5 |
| S1 |
779.5 |
779.5 |
788.0 |
774.3 |
| S2 |
768.8 |
768.8 |
785.5 |
|
| S3 |
743.5 |
754.3 |
783.3 |
|
| S4 |
718.3 |
729.0 |
776.3 |
|
|
| Weekly Pivots for week ending 29-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
973.3 |
940.8 |
826.5 |
|
| R3 |
917.0 |
884.5 |
811.0 |
|
| R2 |
860.5 |
860.5 |
805.8 |
|
| R1 |
828.0 |
828.0 |
800.8 |
816.0 |
| PP |
804.0 |
804.0 |
804.0 |
798.0 |
| S1 |
771.5 |
771.5 |
790.3 |
759.8 |
| S2 |
747.8 |
747.8 |
785.3 |
|
| S3 |
691.3 |
715.3 |
780.0 |
|
| S4 |
635.0 |
658.8 |
764.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
835.9 |
780.2 |
55.7 |
7.0% |
20.3 |
2.6% |
18% |
False |
False |
181,652 |
| 10 |
843.4 |
780.2 |
63.2 |
8.0% |
17.0 |
2.1% |
16% |
False |
False |
152,891 |
| 20 |
860.0 |
780.2 |
79.8 |
10.1% |
16.3 |
2.1% |
13% |
False |
False |
153,822 |
| 40 |
860.0 |
768.4 |
91.6 |
11.6% |
15.8 |
2.0% |
24% |
False |
False |
148,701 |
| 60 |
860.0 |
768.4 |
91.6 |
11.6% |
14.8 |
1.9% |
24% |
False |
False |
99,227 |
| 80 |
863.0 |
768.4 |
94.6 |
12.0% |
11.8 |
1.5% |
23% |
False |
False |
74,431 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
916.3 |
|
2.618 |
875.0 |
|
1.618 |
849.8 |
|
1.000 |
834.0 |
|
0.618 |
824.5 |
|
HIGH |
808.8 |
|
0.618 |
799.3 |
|
0.500 |
796.3 |
|
0.382 |
793.3 |
|
LOW |
783.5 |
|
0.618 |
767.8 |
|
1.000 |
758.3 |
|
1.618 |
742.5 |
|
2.618 |
717.3 |
|
4.250 |
676.0 |
|
|
| Fisher Pivots for day following 01-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
796.3 |
794.5 |
| PP |
794.3 |
793.0 |
| S1 |
792.3 |
791.8 |
|