ICE Russell 2000 Mini Future March 2011
| Trading Metrics calculated at close of trading on 27-Dec-2010 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Dec-2010 |
27-Dec-2010 |
Change |
Change % |
Previous Week |
| Open |
788.5 |
784.0 |
-4.5 |
-0.6% |
777.9 |
| High |
791.0 |
791.0 |
0.0 |
0.0% |
791.6 |
| Low |
786.0 |
782.9 |
-3.1 |
-0.4% |
773.5 |
| Close |
787.2 |
789.3 |
2.1 |
0.3% |
787.2 |
| Range |
5.0 |
8.1 |
3.1 |
62.0% |
18.1 |
| ATR |
9.7 |
9.6 |
-0.1 |
-1.2% |
0.0 |
| Volume |
45,585 |
37,028 |
-8,557 |
-18.8% |
265,278 |
|
| Daily Pivots for day following 27-Dec-2010 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
812.0 |
808.8 |
793.8 |
|
| R3 |
804.0 |
800.8 |
791.5 |
|
| R2 |
795.8 |
795.8 |
790.8 |
|
| R1 |
792.5 |
792.5 |
790.0 |
794.3 |
| PP |
787.8 |
787.8 |
787.8 |
788.5 |
| S1 |
784.5 |
784.5 |
788.5 |
786.0 |
| S2 |
779.8 |
779.8 |
787.8 |
|
| S3 |
771.5 |
776.3 |
787.0 |
|
| S4 |
763.5 |
768.3 |
784.8 |
|
|
| Weekly Pivots for week ending 24-Dec-2010 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
838.5 |
831.0 |
797.3 |
|
| R3 |
820.3 |
812.8 |
792.3 |
|
| R2 |
802.3 |
802.3 |
790.5 |
|
| R1 |
794.8 |
794.8 |
788.8 |
798.5 |
| PP |
784.0 |
784.0 |
784.0 |
786.0 |
| S1 |
776.5 |
776.5 |
785.5 |
780.3 |
| S2 |
766.0 |
766.0 |
784.0 |
|
| S3 |
748.0 |
758.5 |
782.3 |
|
| S4 |
729.8 |
740.5 |
777.3 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
791.6 |
773.5 |
18.1 |
2.3% |
7.8 |
1.0% |
87% |
False |
False |
60,461 |
| 10 |
791.6 |
765.1 |
26.5 |
3.4% |
8.5 |
1.1% |
91% |
False |
False |
105,721 |
| 20 |
791.6 |
716.7 |
74.9 |
9.5% |
10.3 |
1.3% |
97% |
False |
False |
67,770 |
| 40 |
791.6 |
693.5 |
98.1 |
12.4% |
9.5 |
1.2% |
98% |
False |
False |
34,111 |
| 60 |
791.6 |
665.7 |
125.9 |
16.0% |
8.8 |
1.1% |
98% |
False |
False |
22,744 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
825.5 |
|
2.618 |
812.3 |
|
1.618 |
804.0 |
|
1.000 |
799.0 |
|
0.618 |
796.0 |
|
HIGH |
791.0 |
|
0.618 |
788.0 |
|
0.500 |
787.0 |
|
0.382 |
786.0 |
|
LOW |
783.0 |
|
0.618 |
778.0 |
|
1.000 |
774.8 |
|
1.618 |
769.8 |
|
2.618 |
761.8 |
|
4.250 |
748.5 |
|
|
| Fisher Pivots for day following 27-Dec-2010 |
| Pivot |
1 day |
3 day |
| R1 |
788.5 |
788.5 |
| PP |
787.8 |
788.0 |
| S1 |
787.0 |
787.3 |
|