ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 27-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Jul-2011 |
27-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
830.8 |
822.1 |
-8.7 |
-1.0% |
828.0 |
| High |
835.9 |
823.8 |
-12.1 |
-1.4% |
843.4 |
| Low |
821.0 |
797.3 |
-23.7 |
-2.9% |
808.6 |
| Close |
822.1 |
798.2 |
-23.9 |
-2.9% |
838.8 |
| Range |
14.9 |
26.5 |
11.6 |
77.9% |
34.8 |
| ATR |
15.0 |
15.8 |
0.8 |
5.5% |
0.0 |
| Volume |
124,588 |
203,859 |
79,271 |
63.6% |
627,271 |
|
| Daily Pivots for day following 27-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
886.0 |
868.5 |
812.8 |
|
| R3 |
859.5 |
842.0 |
805.5 |
|
| R2 |
833.0 |
833.0 |
803.0 |
|
| R1 |
815.5 |
815.5 |
800.8 |
811.0 |
| PP |
806.5 |
806.5 |
806.5 |
804.3 |
| S1 |
789.0 |
789.0 |
795.8 |
784.5 |
| S2 |
780.0 |
780.0 |
793.3 |
|
| S3 |
753.5 |
762.5 |
791.0 |
|
| S4 |
727.0 |
736.0 |
783.5 |
|
|
| Weekly Pivots for week ending 22-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
934.8 |
921.5 |
858.0 |
|
| R3 |
899.8 |
886.8 |
848.3 |
|
| R2 |
865.0 |
865.0 |
845.3 |
|
| R1 |
852.0 |
852.0 |
842.0 |
858.5 |
| PP |
830.3 |
830.3 |
830.3 |
833.5 |
| S1 |
817.3 |
817.3 |
835.5 |
823.8 |
| S2 |
795.5 |
795.5 |
832.5 |
|
| S3 |
760.8 |
782.3 |
829.3 |
|
| S4 |
725.8 |
747.5 |
819.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
843.4 |
797.3 |
46.1 |
5.8% |
16.0 |
2.0% |
2% |
False |
True |
137,335 |
| 10 |
843.4 |
797.3 |
46.1 |
5.8% |
16.0 |
2.0% |
2% |
False |
True |
144,265 |
| 20 |
860.0 |
797.3 |
62.7 |
7.9% |
15.3 |
1.9% |
1% |
False |
True |
145,597 |
| 40 |
860.0 |
768.4 |
91.6 |
11.5% |
15.8 |
2.0% |
33% |
False |
False |
134,289 |
| 60 |
860.0 |
768.4 |
91.6 |
11.5% |
14.0 |
1.8% |
33% |
False |
False |
89,574 |
| 80 |
863.0 |
768.4 |
94.6 |
11.9% |
11.3 |
1.4% |
32% |
False |
False |
67,186 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
936.5 |
|
2.618 |
893.3 |
|
1.618 |
866.8 |
|
1.000 |
850.3 |
|
0.618 |
840.3 |
|
HIGH |
823.8 |
|
0.618 |
813.8 |
|
0.500 |
810.5 |
|
0.382 |
807.5 |
|
LOW |
797.3 |
|
0.618 |
781.0 |
|
1.000 |
770.8 |
|
1.618 |
754.5 |
|
2.618 |
728.0 |
|
4.250 |
684.8 |
|
|
| Fisher Pivots for day following 27-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
810.5 |
817.0 |
| PP |
806.5 |
810.8 |
| S1 |
802.3 |
804.5 |
|