ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 05-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
04-Aug-2011 |
05-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
771.1 |
724.0 |
-47.1 |
-6.1% |
805.5 |
| High |
773.7 |
739.3 |
-34.4 |
-4.4% |
808.8 |
| Low |
723.1 |
695.3 |
-27.8 |
-3.8% |
695.3 |
| Close |
724.5 |
713.5 |
-11.0 |
-1.5% |
713.5 |
| Range |
50.6 |
44.0 |
-6.6 |
-13.0% |
113.5 |
| ATR |
20.7 |
22.4 |
1.7 |
8.0% |
0.0 |
| Volume |
348,570 |
351,017 |
2,447 |
0.7% |
1,426,180 |
|
| Daily Pivots for day following 05-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
848.0 |
824.8 |
737.8 |
|
| R3 |
804.0 |
780.8 |
725.5 |
|
| R2 |
760.0 |
760.0 |
721.5 |
|
| R1 |
736.8 |
736.8 |
717.5 |
726.5 |
| PP |
716.0 |
716.0 |
716.0 |
710.8 |
| S1 |
692.8 |
692.8 |
709.5 |
682.5 |
| S2 |
672.0 |
672.0 |
705.5 |
|
| S3 |
628.0 |
648.8 |
701.5 |
|
| S4 |
584.0 |
604.8 |
689.3 |
|
|
| Weekly Pivots for week ending 05-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,079.8 |
1,010.0 |
776.0 |
|
| R3 |
966.3 |
896.5 |
744.8 |
|
| R2 |
852.8 |
852.8 |
734.3 |
|
| R1 |
783.0 |
783.0 |
724.0 |
761.3 |
| PP |
739.3 |
739.3 |
739.3 |
728.3 |
| S1 |
669.5 |
669.5 |
703.0 |
647.8 |
| S2 |
625.8 |
625.8 |
692.8 |
|
| S3 |
512.3 |
556.0 |
682.3 |
|
| S4 |
398.8 |
442.5 |
651.0 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
808.8 |
695.3 |
113.5 |
15.9% |
35.5 |
5.0% |
16% |
False |
True |
285,236 |
| 10 |
836.6 |
695.3 |
141.3 |
19.8% |
26.5 |
3.7% |
13% |
False |
True |
224,498 |
| 20 |
850.6 |
695.3 |
155.3 |
21.8% |
21.5 |
3.0% |
12% |
False |
True |
187,491 |
| 40 |
860.0 |
695.3 |
164.7 |
23.1% |
18.3 |
2.6% |
11% |
False |
True |
175,742 |
| 60 |
860.0 |
695.3 |
164.7 |
23.1% |
16.3 |
2.3% |
11% |
False |
True |
119,567 |
| 80 |
863.0 |
695.3 |
167.7 |
23.5% |
13.8 |
1.9% |
11% |
False |
True |
89,687 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
926.3 |
|
2.618 |
854.5 |
|
1.618 |
810.5 |
|
1.000 |
783.3 |
|
0.618 |
766.5 |
|
HIGH |
739.3 |
|
0.618 |
722.5 |
|
0.500 |
717.3 |
|
0.382 |
712.0 |
|
LOW |
695.3 |
|
0.618 |
668.0 |
|
1.000 |
651.3 |
|
1.618 |
624.0 |
|
2.618 |
580.0 |
|
4.250 |
508.3 |
|
|
| Fisher Pivots for day following 05-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
717.3 |
734.5 |
| PP |
716.0 |
727.5 |
| S1 |
714.8 |
720.5 |
|