ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 28-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Jun-2011 |
28-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
791.6 |
804.3 |
12.7 |
1.6% |
774.8 |
| High |
803.7 |
816.9 |
13.2 |
1.6% |
807.1 |
| Low |
789.2 |
799.0 |
9.8 |
1.2% |
770.7 |
| Close |
802.3 |
815.8 |
13.5 |
1.7% |
794.3 |
| Range |
14.5 |
17.9 |
3.4 |
23.4% |
36.4 |
| ATR |
14.7 |
14.9 |
0.2 |
1.6% |
0.0 |
| Volume |
145,270 |
142,711 |
-2,559 |
-1.8% |
741,593 |
|
| Daily Pivots for day following 28-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
864.3 |
858.0 |
825.8 |
|
| R3 |
846.3 |
840.0 |
820.8 |
|
| R2 |
828.5 |
828.5 |
819.0 |
|
| R1 |
822.3 |
822.3 |
817.5 |
825.3 |
| PP |
810.5 |
810.5 |
810.5 |
812.3 |
| S1 |
804.3 |
804.3 |
814.3 |
807.5 |
| S2 |
792.8 |
792.8 |
812.5 |
|
| S3 |
774.8 |
786.3 |
811.0 |
|
| S4 |
756.8 |
768.5 |
806.0 |
|
|
| Weekly Pivots for week ending 24-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
900.0 |
883.5 |
814.3 |
|
| R3 |
863.5 |
847.0 |
804.3 |
|
| R2 |
827.0 |
827.0 |
801.0 |
|
| R1 |
810.8 |
810.8 |
797.8 |
819.0 |
| PP |
790.8 |
790.8 |
790.8 |
794.8 |
| S1 |
774.3 |
774.3 |
791.0 |
782.5 |
| S2 |
754.3 |
754.3 |
787.8 |
|
| S3 |
718.0 |
738.0 |
784.3 |
|
| S4 |
681.5 |
701.5 |
774.3 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
816.9 |
779.0 |
37.9 |
4.6% |
16.5 |
2.0% |
97% |
True |
False |
149,948 |
| 10 |
816.9 |
768.4 |
48.5 |
5.9% |
16.8 |
2.1% |
98% |
True |
False |
167,182 |
| 20 |
848.7 |
768.4 |
80.3 |
9.8% |
16.0 |
2.0% |
59% |
False |
False |
122,982 |
| 40 |
852.3 |
768.4 |
83.9 |
10.3% |
13.3 |
1.6% |
56% |
False |
False |
61,562 |
| 60 |
863.0 |
768.4 |
94.6 |
11.6% |
10.0 |
1.2% |
50% |
False |
False |
41,049 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
893.0 |
|
2.618 |
863.8 |
|
1.618 |
845.8 |
|
1.000 |
834.8 |
|
0.618 |
828.0 |
|
HIGH |
817.0 |
|
0.618 |
810.0 |
|
0.500 |
808.0 |
|
0.382 |
805.8 |
|
LOW |
799.0 |
|
0.618 |
788.0 |
|
1.000 |
781.0 |
|
1.618 |
770.0 |
|
2.618 |
752.3 |
|
4.250 |
723.0 |
|
|
| Fisher Pivots for day following 28-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
813.3 |
811.5 |
| PP |
810.5 |
807.3 |
| S1 |
808.0 |
803.0 |
|