ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 28-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Nov-2011 |
28-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
668.7 |
676.6 |
7.9 |
1.2% |
712.3 |
| High |
679.0 |
698.0 |
19.0 |
2.8% |
715.5 |
| Low |
661.5 |
675.2 |
13.7 |
2.1% |
661.5 |
| Close |
664.0 |
697.1 |
33.1 |
5.0% |
664.0 |
| Range |
17.5 |
22.8 |
5.3 |
30.3% |
54.0 |
| ATR |
23.4 |
24.1 |
0.8 |
3.2% |
0.0 |
| Volume |
64,721 |
157,184 |
92,463 |
142.9% |
501,357 |
|
| Daily Pivots for day following 28-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
758.5 |
750.5 |
709.8 |
|
| R3 |
735.8 |
727.8 |
703.3 |
|
| R2 |
713.0 |
713.0 |
701.3 |
|
| R1 |
705.0 |
705.0 |
699.3 |
709.0 |
| PP |
690.0 |
690.0 |
690.0 |
692.0 |
| S1 |
682.3 |
682.3 |
695.0 |
686.3 |
| S2 |
667.3 |
667.3 |
693.0 |
|
| S3 |
644.5 |
659.5 |
690.8 |
|
| S4 |
621.8 |
636.5 |
684.5 |
|
|
| Weekly Pivots for week ending 25-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
842.3 |
807.3 |
693.8 |
|
| R3 |
788.3 |
753.3 |
678.8 |
|
| R2 |
734.3 |
734.3 |
674.0 |
|
| R1 |
699.3 |
699.3 |
669.0 |
689.8 |
| PP |
680.3 |
680.3 |
680.3 |
675.5 |
| S1 |
645.3 |
645.3 |
659.0 |
635.8 |
| S2 |
626.3 |
626.3 |
654.0 |
|
| S3 |
572.3 |
591.3 |
649.3 |
|
| S4 |
518.3 |
537.3 |
634.3 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
715.5 |
661.5 |
54.0 |
7.7% |
19.8 |
2.8% |
66% |
False |
False |
131,708 |
| 10 |
749.5 |
661.5 |
88.0 |
12.6% |
20.8 |
3.0% |
40% |
False |
False |
142,005 |
| 20 |
758.9 |
661.5 |
97.4 |
14.0% |
23.0 |
3.3% |
37% |
False |
False |
154,987 |
| 40 |
768.4 |
597.1 |
171.3 |
24.6% |
25.3 |
3.6% |
58% |
False |
False |
169,917 |
| 60 |
768.4 |
597.1 |
171.3 |
24.6% |
25.5 |
3.7% |
58% |
False |
False |
175,327 |
| 80 |
768.4 |
597.1 |
171.3 |
24.6% |
26.3 |
3.8% |
58% |
False |
False |
131,542 |
| 100 |
848.3 |
597.1 |
251.2 |
36.0% |
22.8 |
3.3% |
40% |
False |
False |
105,238 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
795.0 |
|
2.618 |
757.8 |
|
1.618 |
735.0 |
|
1.000 |
720.8 |
|
0.618 |
712.0 |
|
HIGH |
698.0 |
|
0.618 |
689.3 |
|
0.500 |
686.5 |
|
0.382 |
684.0 |
|
LOW |
675.3 |
|
0.618 |
661.0 |
|
1.000 |
652.5 |
|
1.618 |
638.3 |
|
2.618 |
615.5 |
|
4.250 |
578.3 |
|
|
| Fisher Pivots for day following 28-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
693.5 |
691.3 |
| PP |
690.0 |
685.5 |
| S1 |
686.5 |
679.8 |
|