ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 05-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Jul-2011 |
05-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
824.5 |
839.5 |
15.0 |
1.8% |
791.6 |
| High |
839.0 |
841.3 |
2.3 |
0.3% |
839.0 |
| Low |
822.8 |
834.5 |
11.7 |
1.4% |
789.2 |
| Close |
836.6 |
840.9 |
4.3 |
0.5% |
836.6 |
| Range |
16.2 |
6.8 |
-9.4 |
-58.0% |
49.8 |
| ATR |
14.5 |
13.9 |
-0.5 |
-3.8% |
0.0 |
| Volume |
131,863 |
121,681 |
-10,182 |
-7.7% |
703,302 |
|
| Daily Pivots for day following 05-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
859.3 |
857.0 |
844.8 |
|
| R3 |
852.5 |
850.0 |
842.8 |
|
| R2 |
845.8 |
845.8 |
842.3 |
|
| R1 |
843.3 |
843.3 |
841.5 |
844.5 |
| PP |
839.0 |
839.0 |
839.0 |
839.5 |
| S1 |
836.5 |
836.5 |
840.3 |
837.8 |
| S2 |
832.0 |
832.0 |
839.8 |
|
| S3 |
825.3 |
829.8 |
839.0 |
|
| S4 |
818.5 |
823.0 |
837.3 |
|
|
| 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 |
841.3 |
799.0 |
42.3 |
5.0% |
12.5 |
1.5% |
99% |
True |
False |
135,942 |
| 10 |
841.3 |
779.0 |
62.3 |
7.4% |
14.8 |
1.7% |
99% |
True |
False |
144,842 |
| 20 |
841.3 |
768.4 |
72.9 |
8.7% |
14.8 |
1.7% |
99% |
True |
False |
149,635 |
| 40 |
852.3 |
768.4 |
83.9 |
10.0% |
13.8 |
1.6% |
86% |
False |
False |
74,972 |
| 60 |
863.0 |
768.4 |
94.6 |
11.2% |
10.5 |
1.2% |
77% |
False |
False |
49,995 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
870.3 |
|
2.618 |
859.0 |
|
1.618 |
852.3 |
|
1.000 |
848.0 |
|
0.618 |
845.5 |
|
HIGH |
841.3 |
|
0.618 |
838.8 |
|
0.500 |
838.0 |
|
0.382 |
837.0 |
|
LOW |
834.5 |
|
0.618 |
830.3 |
|
1.000 |
827.8 |
|
1.618 |
823.5 |
|
2.618 |
816.8 |
|
4.250 |
805.5 |
|
|
| Fisher Pivots for day following 05-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
840.0 |
837.0 |
| PP |
839.0 |
833.3 |
| S1 |
838.0 |
829.5 |
|