ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 01-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Jun-2011 |
01-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
819.0 |
824.5 |
5.5 |
0.7% |
791.6 |
| High |
827.1 |
839.0 |
11.9 |
1.4% |
839.0 |
| Low |
817.8 |
822.8 |
5.0 |
0.6% |
789.2 |
| Close |
825.4 |
836.6 |
11.2 |
1.4% |
836.6 |
| Range |
9.3 |
16.2 |
6.9 |
74.2% |
49.8 |
| ATR |
14.4 |
14.5 |
0.1 |
0.9% |
0.0 |
| Volume |
126,249 |
131,863 |
5,614 |
4.4% |
703,302 |
|
| Daily Pivots for day following 01-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
881.5 |
875.3 |
845.5 |
|
| R3 |
865.3 |
859.0 |
841.0 |
|
| R2 |
849.0 |
849.0 |
839.5 |
|
| R1 |
842.8 |
842.8 |
838.0 |
846.0 |
| PP |
832.8 |
832.8 |
832.8 |
834.3 |
| S1 |
826.5 |
826.5 |
835.0 |
829.8 |
| S2 |
816.5 |
816.5 |
833.8 |
|
| S3 |
800.5 |
810.5 |
832.3 |
|
| S4 |
784.3 |
794.3 |
827.8 |
|
|
| Weekly Pivots for week ending 01-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
971.0 |
953.5 |
864.0 |
|
| R3 |
921.3 |
903.8 |
850.3 |
|
| R2 |
871.5 |
871.5 |
845.8 |
|
| R1 |
854.0 |
854.0 |
841.3 |
862.8 |
| PP |
821.5 |
821.5 |
821.5 |
826.0 |
| S1 |
804.3 |
804.3 |
832.0 |
813.0 |
| S2 |
771.8 |
771.8 |
827.5 |
|
| S3 |
722.0 |
754.5 |
823.0 |
|
| S4 |
672.3 |
704.5 |
809.3 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
839.0 |
789.2 |
49.8 |
6.0% |
14.3 |
1.7% |
95% |
True |
False |
140,660 |
| 10 |
839.0 |
770.7 |
68.3 |
8.2% |
15.8 |
1.9% |
96% |
True |
False |
144,489 |
| 20 |
839.0 |
768.4 |
70.6 |
8.4% |
15.0 |
1.8% |
97% |
True |
False |
143,580 |
| 40 |
852.3 |
768.4 |
83.9 |
10.0% |
13.8 |
1.7% |
81% |
False |
False |
71,930 |
| 60 |
863.0 |
768.4 |
94.6 |
11.3% |
10.3 |
1.2% |
72% |
False |
False |
47,967 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
907.8 |
|
2.618 |
881.5 |
|
1.618 |
865.3 |
|
1.000 |
855.3 |
|
0.618 |
849.0 |
|
HIGH |
839.0 |
|
0.618 |
832.8 |
|
0.500 |
831.0 |
|
0.382 |
829.0 |
|
LOW |
822.8 |
|
0.618 |
812.8 |
|
1.000 |
806.5 |
|
1.618 |
796.5 |
|
2.618 |
780.5 |
|
4.250 |
754.0 |
|
|
| Fisher Pivots for day following 01-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
834.8 |
832.8 |
| PP |
832.8 |
828.8 |
| S1 |
831.0 |
825.0 |
|