ICE Russell 2000 Mini Future December 2009
| Trading Metrics calculated at close of trading on 20-Oct-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Oct-2009 |
20-Oct-2009 |
Change |
Change % |
Previous Week |
| Open |
612.3 |
621.6 |
9.3 |
1.5% |
612.4 |
| High |
623.5 |
624.5 |
1.0 |
0.2% |
624.2 |
| Low |
609.7 |
607.9 |
-1.8 |
-0.3% |
604.1 |
| Close |
617.7 |
613.8 |
-3.9 |
-0.6% |
614.3 |
| Range |
13.8 |
16.6 |
2.8 |
20.3% |
20.1 |
| ATR |
12.5 |
12.8 |
0.3 |
2.4% |
0.0 |
| Volume |
162,966 |
135,573 |
-27,393 |
-16.8% |
597,385 |
|
| Daily Pivots for day following 20-Oct-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
665.3 |
656.0 |
623.0 |
|
| R3 |
648.5 |
639.5 |
618.3 |
|
| R2 |
632.0 |
632.0 |
616.8 |
|
| R1 |
623.0 |
623.0 |
615.3 |
619.3 |
| PP |
615.5 |
615.5 |
615.5 |
613.5 |
| S1 |
606.3 |
606.3 |
612.3 |
602.5 |
| S2 |
598.8 |
598.8 |
610.8 |
|
| S3 |
582.3 |
589.8 |
609.3 |
|
| S4 |
565.5 |
573.0 |
604.8 |
|
|
| Weekly Pivots for week ending 16-Oct-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
674.5 |
664.5 |
625.3 |
|
| R3 |
654.5 |
644.5 |
619.8 |
|
| R2 |
634.3 |
634.3 |
618.0 |
|
| R1 |
624.3 |
624.3 |
616.3 |
629.3 |
| PP |
614.3 |
614.3 |
614.3 |
616.8 |
| S1 |
604.3 |
604.3 |
612.5 |
609.3 |
| S2 |
594.0 |
594.0 |
610.5 |
|
| S3 |
574.0 |
584.0 |
608.8 |
|
| S4 |
554.0 |
564.0 |
603.3 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
624.5 |
607.9 |
16.6 |
2.7% |
12.3 |
2.0% |
36% |
True |
True |
140,547 |
| 10 |
624.5 |
596.0 |
28.5 |
4.6% |
11.3 |
1.8% |
62% |
True |
False |
131,402 |
| 20 |
624.5 |
573.4 |
51.1 |
8.3% |
13.3 |
2.2% |
79% |
True |
False |
142,042 |
| 40 |
624.5 |
549.0 |
75.5 |
12.3% |
12.3 |
2.0% |
86% |
True |
False |
107,131 |
| 60 |
624.5 |
541.3 |
83.2 |
13.6% |
11.3 |
1.8% |
87% |
True |
False |
71,470 |
| 80 |
624.5 |
471.2 |
153.3 |
25.0% |
10.3 |
1.7% |
93% |
True |
False |
53,629 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
695.0 |
|
2.618 |
668.0 |
|
1.618 |
651.3 |
|
1.000 |
641.0 |
|
0.618 |
634.8 |
|
HIGH |
624.5 |
|
0.618 |
618.3 |
|
0.500 |
616.3 |
|
0.382 |
614.3 |
|
LOW |
608.0 |
|
0.618 |
597.8 |
|
1.000 |
591.3 |
|
1.618 |
581.0 |
|
2.618 |
564.5 |
|
4.250 |
537.3 |
|
|
| Fisher Pivots for day following 20-Oct-2009 |
| Pivot |
1 day |
3 day |
| R1 |
616.3 |
616.3 |
| PP |
615.5 |
615.5 |
| S1 |
614.5 |
614.5 |
|