ICE Russell 2000 Mini Future December 2009
| Trading Metrics calculated at close of trading on 14-Dec-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Dec-2009 |
14-Dec-2009 |
Change |
Change % |
Previous Week |
| Open |
596.0 |
601.0 |
5.0 |
0.8% |
603.4 |
| High |
601.6 |
609.5 |
7.9 |
1.3% |
606.4 |
| Low |
592.9 |
598.0 |
5.1 |
0.9% |
591.0 |
| Close |
600.3 |
608.5 |
8.2 |
1.4% |
600.3 |
| Range |
8.7 |
11.5 |
2.8 |
32.2% |
15.4 |
| ATR |
14.0 |
13.8 |
-0.2 |
-1.3% |
0.0 |
| Volume |
134,251 |
66,928 |
-67,323 |
-50.1% |
697,827 |
|
| Daily Pivots for day following 14-Dec-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
639.8 |
635.8 |
614.8 |
|
| R3 |
628.3 |
624.3 |
611.8 |
|
| R2 |
616.8 |
616.8 |
610.5 |
|
| R1 |
612.8 |
612.8 |
609.5 |
614.8 |
| PP |
605.3 |
605.3 |
605.3 |
606.5 |
| S1 |
601.3 |
601.3 |
607.5 |
603.3 |
| S2 |
593.8 |
593.8 |
606.5 |
|
| S3 |
582.3 |
589.8 |
605.3 |
|
| S4 |
570.8 |
578.3 |
602.3 |
|
|
| Weekly Pivots for week ending 11-Dec-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
645.5 |
638.3 |
608.8 |
|
| R3 |
630.0 |
622.8 |
604.5 |
|
| R2 |
614.8 |
614.8 |
603.0 |
|
| R1 |
607.5 |
607.5 |
601.8 |
603.3 |
| PP |
599.3 |
599.3 |
599.3 |
597.3 |
| S1 |
592.0 |
592.0 |
599.0 |
588.0 |
| S2 |
583.8 |
583.8 |
597.5 |
|
| S3 |
568.5 |
576.8 |
596.0 |
|
| S4 |
553.0 |
561.3 |
591.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
609.5 |
591.0 |
18.5 |
3.0% |
11.5 |
1.9% |
95% |
True |
False |
114,801 |
| 10 |
609.5 |
577.6 |
31.9 |
5.2% |
13.0 |
2.1% |
97% |
True |
False |
128,933 |
| 20 |
609.5 |
558.8 |
50.7 |
8.3% |
13.5 |
2.2% |
98% |
True |
False |
117,067 |
| 40 |
624.5 |
551.4 |
73.1 |
12.0% |
15.0 |
2.5% |
78% |
False |
False |
140,540 |
| 60 |
624.5 |
551.4 |
73.1 |
12.0% |
14.3 |
2.3% |
78% |
False |
False |
140,509 |
| 80 |
624.5 |
549.0 |
75.5 |
12.4% |
13.5 |
2.2% |
79% |
False |
False |
120,113 |
| 100 |
624.5 |
536.7 |
87.8 |
14.4% |
12.5 |
2.1% |
82% |
False |
False |
96,116 |
| 120 |
624.5 |
471.2 |
153.3 |
25.2% |
11.8 |
1.9% |
90% |
False |
False |
80,112 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
658.5 |
|
2.618 |
639.5 |
|
1.618 |
628.0 |
|
1.000 |
621.0 |
|
0.618 |
616.5 |
|
HIGH |
609.5 |
|
0.618 |
605.0 |
|
0.500 |
603.8 |
|
0.382 |
602.5 |
|
LOW |
598.0 |
|
0.618 |
591.0 |
|
1.000 |
586.5 |
|
1.618 |
579.5 |
|
2.618 |
568.0 |
|
4.250 |
549.0 |
|
|
| Fisher Pivots for day following 14-Dec-2009 |
| Pivot |
1 day |
3 day |
| R1 |
607.0 |
606.0 |
| PP |
605.3 |
603.3 |
| S1 |
603.8 |
600.8 |
|