ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 14-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Jul-2011 |
14-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
827.7 |
830.8 |
3.1 |
0.4% |
839.5 |
| High |
843.9 |
840.8 |
-3.1 |
-0.4% |
860.0 |
| Low |
827.0 |
819.5 |
-7.5 |
-0.9% |
834.5 |
| Close |
833.8 |
822.1 |
-11.7 |
-1.4% |
851.5 |
| Range |
16.9 |
21.3 |
4.4 |
26.0% |
25.5 |
| ATR |
15.3 |
15.7 |
0.4 |
2.8% |
0.0 |
| Volume |
165,586 |
219,908 |
54,322 |
32.8% |
547,110 |
|
| Daily Pivots for day following 14-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
891.3 |
878.0 |
833.8 |
|
| R3 |
870.0 |
856.8 |
828.0 |
|
| R2 |
848.8 |
848.8 |
826.0 |
|
| R1 |
835.5 |
835.5 |
824.0 |
831.5 |
| PP |
827.5 |
827.5 |
827.5 |
825.5 |
| S1 |
814.3 |
814.3 |
820.3 |
810.3 |
| S2 |
806.3 |
806.3 |
818.3 |
|
| S3 |
784.8 |
792.8 |
816.3 |
|
| S4 |
763.5 |
771.5 |
810.5 |
|
|
| Weekly Pivots for week ending 08-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
925.3 |
913.8 |
865.5 |
|
| R3 |
899.8 |
888.3 |
858.5 |
|
| R2 |
874.3 |
874.3 |
856.3 |
|
| R1 |
862.8 |
862.8 |
853.8 |
868.5 |
| PP |
848.8 |
848.8 |
848.8 |
851.5 |
| S1 |
837.3 |
837.3 |
849.3 |
843.0 |
| S2 |
823.3 |
823.3 |
846.8 |
|
| S3 |
797.8 |
811.8 |
844.5 |
|
| S4 |
772.3 |
786.3 |
837.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
860.0 |
815.4 |
44.6 |
5.4% |
19.5 |
2.4% |
15% |
False |
False |
176,747 |
| 10 |
860.0 |
815.4 |
44.6 |
5.4% |
15.5 |
1.9% |
15% |
False |
False |
153,199 |
| 20 |
860.0 |
768.4 |
91.6 |
11.1% |
16.0 |
1.9% |
59% |
False |
False |
155,202 |
| 40 |
860.0 |
768.4 |
91.6 |
11.1% |
14.3 |
1.7% |
59% |
False |
False |
103,772 |
| 60 |
863.0 |
768.4 |
94.6 |
11.5% |
12.3 |
1.5% |
57% |
False |
False |
69,196 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
931.3 |
|
2.618 |
896.5 |
|
1.618 |
875.3 |
|
1.000 |
862.0 |
|
0.618 |
854.0 |
|
HIGH |
840.8 |
|
0.618 |
832.8 |
|
0.500 |
830.3 |
|
0.382 |
827.8 |
|
LOW |
819.5 |
|
0.618 |
806.3 |
|
1.000 |
798.3 |
|
1.618 |
785.0 |
|
2.618 |
763.8 |
|
4.250 |
729.0 |
|
|
| Fisher Pivots for day following 14-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
830.3 |
829.8 |
| PP |
827.5 |
827.3 |
| S1 |
824.8 |
824.5 |
|