ICE Russell 2000 Mini Future December 2009
| Trading Metrics calculated at close of trading on 15-Dec-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Dec-2009 |
15-Dec-2009 |
Change |
Change % |
Previous Week |
| Open |
601.0 |
609.6 |
8.6 |
1.4% |
603.4 |
| High |
609.5 |
613.5 |
4.0 |
0.7% |
606.4 |
| Low |
598.0 |
606.1 |
8.1 |
1.4% |
591.0 |
| Close |
608.5 |
607.7 |
-0.8 |
-0.1% |
600.3 |
| Range |
11.5 |
7.4 |
-4.1 |
-35.7% |
15.4 |
| ATR |
13.8 |
13.3 |
-0.5 |
-3.3% |
0.0 |
| Volume |
66,928 |
81,158 |
14,230 |
21.3% |
697,827 |
|
| Daily Pivots for day following 15-Dec-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
631.3 |
627.0 |
611.8 |
|
| R3 |
624.0 |
619.5 |
609.8 |
|
| R2 |
616.5 |
616.5 |
609.0 |
|
| R1 |
612.0 |
612.0 |
608.5 |
610.5 |
| PP |
609.0 |
609.0 |
609.0 |
608.3 |
| S1 |
604.8 |
604.8 |
607.0 |
603.3 |
| S2 |
601.8 |
601.8 |
606.3 |
|
| S3 |
594.3 |
597.3 |
605.8 |
|
| S4 |
587.0 |
590.0 |
603.8 |
|
|
| 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 |
613.5 |
591.0 |
22.5 |
3.7% |
10.0 |
1.7% |
74% |
True |
False |
112,175 |
| 10 |
613.5 |
586.0 |
27.5 |
4.5% |
12.5 |
2.0% |
79% |
True |
False |
121,590 |
| 20 |
613.5 |
558.8 |
54.7 |
9.0% |
13.0 |
2.1% |
89% |
True |
False |
114,580 |
| 40 |
624.5 |
551.4 |
73.1 |
12.0% |
15.0 |
2.5% |
77% |
False |
False |
138,495 |
| 60 |
624.5 |
551.4 |
73.1 |
12.0% |
14.3 |
2.3% |
77% |
False |
False |
139,432 |
| 80 |
624.5 |
549.0 |
75.5 |
12.4% |
13.5 |
2.2% |
78% |
False |
False |
121,119 |
| 100 |
624.5 |
541.3 |
83.2 |
13.7% |
12.8 |
2.1% |
80% |
False |
False |
96,926 |
| 120 |
624.5 |
471.2 |
153.3 |
25.2% |
11.8 |
1.9% |
89% |
False |
False |
80,788 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
645.0 |
|
2.618 |
632.8 |
|
1.618 |
625.5 |
|
1.000 |
621.0 |
|
0.618 |
618.0 |
|
HIGH |
613.5 |
|
0.618 |
610.8 |
|
0.500 |
609.8 |
|
0.382 |
609.0 |
|
LOW |
606.0 |
|
0.618 |
601.5 |
|
1.000 |
598.8 |
|
1.618 |
594.3 |
|
2.618 |
586.8 |
|
4.250 |
574.8 |
|
|
| Fisher Pivots for day following 15-Dec-2009 |
| Pivot |
1 day |
3 day |
| R1 |
609.8 |
606.3 |
| PP |
609.0 |
604.8 |
| S1 |
608.5 |
603.3 |
|