ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 02-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Aug-2011 |
02-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
805.5 |
790.5 |
-15.0 |
-1.9% |
830.6 |
| High |
808.8 |
795.7 |
-13.1 |
-1.6% |
836.6 |
| Low |
783.5 |
762.4 |
-21.1 |
-2.7% |
780.2 |
| Close |
790.2 |
763.8 |
-26.4 |
-3.3% |
795.5 |
| Range |
25.3 |
33.3 |
8.0 |
31.6% |
56.4 |
| ATR |
16.7 |
17.9 |
1.2 |
7.1% |
0.0 |
| Volume |
205,679 |
233,526 |
27,847 |
13.5% |
818,807 |
|
| Daily Pivots for day following 02-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
873.8 |
852.3 |
782.0 |
|
| R3 |
840.5 |
818.8 |
773.0 |
|
| R2 |
807.3 |
807.3 |
770.0 |
|
| R1 |
785.5 |
785.5 |
766.8 |
779.8 |
| PP |
774.0 |
774.0 |
774.0 |
771.0 |
| S1 |
752.3 |
752.3 |
760.8 |
746.5 |
| S2 |
740.8 |
740.8 |
757.8 |
|
| S3 |
707.3 |
719.0 |
754.8 |
|
| S4 |
674.0 |
685.8 |
745.5 |
|
|
| Weekly Pivots for week ending 29-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
973.3 |
940.8 |
826.5 |
|
| R3 |
917.0 |
884.5 |
811.0 |
|
| R2 |
860.5 |
860.5 |
805.8 |
|
| R1 |
828.0 |
828.0 |
800.8 |
816.0 |
| PP |
804.0 |
804.0 |
804.0 |
798.0 |
| S1 |
771.5 |
771.5 |
790.3 |
759.8 |
| S2 |
747.8 |
747.8 |
785.3 |
|
| S3 |
691.3 |
715.3 |
780.0 |
|
| S4 |
635.0 |
658.8 |
764.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
823.8 |
762.4 |
61.4 |
8.0% |
24.0 |
3.1% |
2% |
False |
True |
203,440 |
| 10 |
843.4 |
762.4 |
81.0 |
10.6% |
18.5 |
2.4% |
2% |
False |
True |
162,102 |
| 20 |
860.0 |
762.4 |
97.6 |
12.8% |
17.8 |
2.3% |
1% |
False |
True |
159,414 |
| 40 |
860.0 |
762.4 |
97.6 |
12.8% |
16.3 |
2.1% |
1% |
False |
True |
154,524 |
| 60 |
860.0 |
762.4 |
97.6 |
12.8% |
15.0 |
2.0% |
1% |
False |
True |
103,119 |
| 80 |
863.0 |
762.4 |
100.6 |
13.2% |
12.3 |
1.6% |
1% |
False |
True |
77,350 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
937.3 |
|
2.618 |
883.0 |
|
1.618 |
849.5 |
|
1.000 |
829.0 |
|
0.618 |
816.3 |
|
HIGH |
795.8 |
|
0.618 |
783.0 |
|
0.500 |
779.0 |
|
0.382 |
775.0 |
|
LOW |
762.5 |
|
0.618 |
741.8 |
|
1.000 |
729.0 |
|
1.618 |
708.5 |
|
2.618 |
675.3 |
|
4.250 |
621.0 |
|
|
| Fisher Pivots for day following 02-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
779.0 |
785.5 |
| PP |
774.0 |
778.3 |
| S1 |
769.0 |
771.0 |
|