ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 03-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Aug-2011 |
03-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
790.5 |
763.5 |
-27.0 |
-3.4% |
830.6 |
| High |
795.7 |
772.4 |
-23.3 |
-2.9% |
836.6 |
| Low |
762.4 |
747.5 |
-14.9 |
-2.0% |
780.2 |
| Close |
763.8 |
768.9 |
5.1 |
0.7% |
795.5 |
| Range |
33.3 |
24.9 |
-8.4 |
-25.2% |
56.4 |
| ATR |
17.9 |
18.4 |
0.5 |
2.8% |
0.0 |
| Volume |
233,526 |
287,388 |
53,862 |
23.1% |
818,807 |
|
| Daily Pivots for day following 03-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
837.8 |
828.3 |
782.5 |
|
| R3 |
812.8 |
803.3 |
775.8 |
|
| R2 |
787.8 |
787.8 |
773.5 |
|
| R1 |
778.3 |
778.3 |
771.3 |
783.0 |
| PP |
763.0 |
763.0 |
763.0 |
765.3 |
| S1 |
753.5 |
753.5 |
766.5 |
758.3 |
| S2 |
738.0 |
738.0 |
764.3 |
|
| S3 |
713.3 |
728.5 |
762.0 |
|
| S4 |
688.3 |
703.8 |
755.3 |
|
|
| 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 |
808.8 |
747.5 |
61.3 |
8.0% |
23.8 |
3.1% |
35% |
False |
True |
220,145 |
| 10 |
843.4 |
747.5 |
95.9 |
12.5% |
19.8 |
2.6% |
22% |
False |
True |
178,740 |
| 20 |
860.0 |
747.5 |
112.5 |
14.6% |
18.3 |
2.4% |
19% |
False |
True |
167,190 |
| 40 |
860.0 |
747.5 |
112.5 |
14.6% |
16.5 |
2.2% |
19% |
False |
True |
161,572 |
| 60 |
860.0 |
747.5 |
112.5 |
14.6% |
15.3 |
2.0% |
19% |
False |
True |
107,908 |
| 80 |
863.0 |
747.5 |
115.5 |
15.0% |
12.5 |
1.6% |
19% |
False |
True |
80,942 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
878.3 |
|
2.618 |
837.5 |
|
1.618 |
812.8 |
|
1.000 |
797.3 |
|
0.618 |
787.8 |
|
HIGH |
772.5 |
|
0.618 |
763.0 |
|
0.500 |
760.0 |
|
0.382 |
757.0 |
|
LOW |
747.5 |
|
0.618 |
732.0 |
|
1.000 |
722.5 |
|
1.618 |
707.3 |
|
2.618 |
682.3 |
|
4.250 |
641.8 |
|
|
| Fisher Pivots for day following 03-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
766.0 |
778.3 |
| PP |
763.0 |
775.0 |
| S1 |
760.0 |
772.0 |
|