ICE Russell 2000 Mini Future March 2011
| Trading Metrics calculated at close of trading on 04-Jan-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Jan-2011 |
04-Jan-2011 |
Change |
Change % |
Previous Week |
| Open |
784.5 |
795.3 |
10.8 |
1.4% |
784.0 |
| High |
800.3 |
799.0 |
-1.3 |
-0.2% |
792.2 |
| Low |
783.5 |
775.5 |
-8.0 |
-1.0% |
781.3 |
| Close |
794.9 |
783.3 |
-11.6 |
-1.5% |
782.3 |
| Range |
16.8 |
23.5 |
6.7 |
39.9% |
10.9 |
| ATR |
9.4 |
10.4 |
1.0 |
10.8% |
0.0 |
| Volume |
109,599 |
147,520 |
37,921 |
34.6% |
221,604 |
|
| Daily Pivots for day following 04-Jan-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
856.5 |
843.3 |
796.3 |
|
| R3 |
833.0 |
819.8 |
789.8 |
|
| R2 |
809.5 |
809.5 |
787.5 |
|
| R1 |
796.3 |
796.3 |
785.5 |
791.3 |
| PP |
786.0 |
786.0 |
786.0 |
783.3 |
| S1 |
772.8 |
772.8 |
781.3 |
767.8 |
| S2 |
762.5 |
762.5 |
779.0 |
|
| S3 |
739.0 |
749.3 |
776.8 |
|
| S4 |
715.5 |
725.8 |
770.5 |
|
|
| Weekly Pivots for week ending 31-Dec-2010 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
818.0 |
811.0 |
788.3 |
|
| R3 |
807.0 |
800.3 |
785.3 |
|
| R2 |
796.3 |
796.3 |
784.3 |
|
| R1 |
789.3 |
789.3 |
783.3 |
787.3 |
| PP |
785.3 |
785.3 |
785.3 |
784.3 |
| S1 |
778.3 |
778.3 |
781.3 |
776.3 |
| S2 |
774.3 |
774.3 |
780.3 |
|
| S3 |
763.5 |
767.5 |
779.3 |
|
| S4 |
752.5 |
756.5 |
776.3 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
800.3 |
775.5 |
24.8 |
3.2% |
11.5 |
1.5% |
31% |
False |
True |
79,525 |
| 10 |
800.3 |
775.5 |
24.8 |
3.2% |
9.3 |
1.2% |
31% |
False |
True |
65,280 |
| 20 |
800.3 |
756.0 |
44.3 |
5.7% |
9.5 |
1.2% |
62% |
False |
False |
89,511 |
| 40 |
800.3 |
698.7 |
101.6 |
13.0% |
9.8 |
1.3% |
83% |
False |
False |
45,031 |
| 60 |
800.3 |
682.1 |
118.2 |
15.1% |
9.0 |
1.2% |
86% |
False |
False |
30,104 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
899.0 |
|
2.618 |
860.5 |
|
1.618 |
837.0 |
|
1.000 |
822.5 |
|
0.618 |
813.5 |
|
HIGH |
799.0 |
|
0.618 |
790.0 |
|
0.500 |
787.3 |
|
0.382 |
784.5 |
|
LOW |
775.5 |
|
0.618 |
761.0 |
|
1.000 |
752.0 |
|
1.618 |
737.5 |
|
2.618 |
714.0 |
|
4.250 |
675.5 |
|
|
| Fisher Pivots for day following 04-Jan-2011 |
| Pivot |
1 day |
3 day |
| R1 |
787.3 |
788.0 |
| PP |
786.0 |
786.3 |
| S1 |
784.5 |
784.8 |
|