ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 06-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Jul-2011 |
06-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
839.5 |
841.1 |
1.6 |
0.2% |
791.6 |
| High |
841.3 |
846.4 |
5.1 |
0.6% |
839.0 |
| Low |
834.5 |
835.1 |
0.6 |
0.1% |
789.2 |
| Close |
840.9 |
843.6 |
2.7 |
0.3% |
836.6 |
| Range |
6.8 |
11.3 |
4.5 |
66.2% |
49.8 |
| ATR |
13.9 |
13.8 |
-0.2 |
-1.4% |
0.0 |
| Volume |
121,681 |
131,870 |
10,189 |
8.4% |
703,302 |
|
| Daily Pivots for day following 06-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
875.5 |
871.0 |
849.8 |
|
| R3 |
864.3 |
859.5 |
846.8 |
|
| R2 |
853.0 |
853.0 |
845.8 |
|
| R1 |
848.3 |
848.3 |
844.8 |
850.8 |
| PP |
841.8 |
841.8 |
841.8 |
843.0 |
| S1 |
837.0 |
837.0 |
842.5 |
839.3 |
| S2 |
830.5 |
830.5 |
841.5 |
|
| S3 |
819.0 |
825.8 |
840.5 |
|
| S4 |
807.8 |
814.5 |
837.5 |
|
|
| 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 |
846.4 |
810.8 |
35.6 |
4.2% |
11.3 |
1.3% |
92% |
True |
False |
133,774 |
| 10 |
846.4 |
779.0 |
67.4 |
8.0% |
14.0 |
1.7% |
96% |
True |
False |
141,861 |
| 20 |
846.4 |
768.4 |
78.0 |
9.2% |
14.8 |
1.8% |
96% |
True |
False |
155,954 |
| 40 |
852.3 |
768.4 |
83.9 |
9.9% |
13.8 |
1.6% |
90% |
False |
False |
78,268 |
| 60 |
863.0 |
768.4 |
94.6 |
11.2% |
10.8 |
1.3% |
79% |
False |
False |
52,193 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
894.5 |
|
2.618 |
876.0 |
|
1.618 |
864.8 |
|
1.000 |
857.8 |
|
0.618 |
853.5 |
|
HIGH |
846.5 |
|
0.618 |
842.0 |
|
0.500 |
840.8 |
|
0.382 |
839.5 |
|
LOW |
835.0 |
|
0.618 |
828.0 |
|
1.000 |
823.8 |
|
1.618 |
816.8 |
|
2.618 |
805.5 |
|
4.250 |
787.0 |
|
|
| Fisher Pivots for day following 06-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
842.8 |
840.5 |
| PP |
841.8 |
837.5 |
| S1 |
840.8 |
834.5 |
|