ICE Russell 2000 Mini Future September 2009
| Trading Metrics calculated at close of trading on 31-Jul-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Jul-2009 |
31-Jul-2009 |
Change |
Change % |
Previous Week |
| Open |
548.0 |
554.9 |
6.9 |
1.3% |
547.8 |
| High |
562.8 |
561.4 |
-1.4 |
-0.2% |
562.8 |
| Low |
547.7 |
551.4 |
3.7 |
0.7% |
541.9 |
| Close |
555.4 |
555.9 |
0.5 |
0.1% |
555.9 |
| Range |
15.1 |
10.0 |
-5.1 |
-33.8% |
20.9 |
| ATR |
12.8 |
12.6 |
-0.2 |
-1.6% |
0.0 |
| Volume |
115,989 |
144,775 |
28,786 |
24.8% |
592,074 |
|
| Daily Pivots for day following 31-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
586.3 |
581.0 |
561.5 |
|
| R3 |
576.3 |
571.0 |
558.8 |
|
| R2 |
566.3 |
566.3 |
557.8 |
|
| R1 |
561.0 |
561.0 |
556.8 |
563.8 |
| PP |
556.3 |
556.3 |
556.3 |
557.5 |
| S1 |
551.0 |
551.0 |
555.0 |
553.8 |
| S2 |
546.3 |
546.3 |
554.0 |
|
| S3 |
536.3 |
541.0 |
553.3 |
|
| S4 |
526.3 |
531.0 |
550.5 |
|
|
| Weekly Pivots for week ending 31-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
616.3 |
607.0 |
567.5 |
|
| R3 |
595.3 |
586.0 |
561.8 |
|
| R2 |
574.5 |
574.5 |
559.8 |
|
| R1 |
565.3 |
565.3 |
557.8 |
569.8 |
| PP |
553.5 |
553.5 |
553.5 |
555.8 |
| S1 |
544.3 |
544.3 |
554.0 |
549.0 |
| S2 |
532.8 |
532.8 |
552.0 |
|
| S3 |
511.8 |
523.3 |
550.3 |
|
| S4 |
490.8 |
502.5 |
544.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
562.8 |
541.9 |
20.9 |
3.8% |
10.5 |
1.9% |
67% |
False |
False |
118,414 |
| 10 |
562.8 |
516.0 |
46.8 |
8.4% |
12.0 |
2.1% |
85% |
False |
False |
119,410 |
| 20 |
562.8 |
470.6 |
92.2 |
16.6% |
12.5 |
2.2% |
93% |
False |
False |
119,424 |
| 40 |
562.8 |
470.6 |
92.2 |
16.6% |
13.0 |
2.3% |
93% |
False |
False |
117,864 |
| 60 |
562.8 |
468.5 |
94.3 |
17.0% |
12.5 |
2.3% |
93% |
False |
False |
79,049 |
| 80 |
562.8 |
440.3 |
122.5 |
22.0% |
13.0 |
2.3% |
94% |
False |
False |
59,368 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
604.0 |
|
2.618 |
587.5 |
|
1.618 |
577.5 |
|
1.000 |
571.5 |
|
0.618 |
567.5 |
|
HIGH |
561.5 |
|
0.618 |
557.5 |
|
0.500 |
556.5 |
|
0.382 |
555.3 |
|
LOW |
551.5 |
|
0.618 |
545.3 |
|
1.000 |
541.5 |
|
1.618 |
535.3 |
|
2.618 |
525.3 |
|
4.250 |
509.0 |
|
|
| Fisher Pivots for day following 31-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
556.5 |
554.8 |
| PP |
556.3 |
553.8 |
| S1 |
556.0 |
552.5 |
|