ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 08-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Aug-2011 |
08-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
724.0 |
700.0 |
-24.0 |
-3.3% |
805.5 |
| High |
739.3 |
707.6 |
-31.7 |
-4.3% |
808.8 |
| Low |
695.3 |
640.7 |
-54.6 |
-7.9% |
695.3 |
| Close |
713.5 |
645.4 |
-68.1 |
-9.5% |
713.5 |
| Range |
44.0 |
66.9 |
22.9 |
52.0% |
113.5 |
| ATR |
22.4 |
26.0 |
3.6 |
16.1% |
0.0 |
| Volume |
351,017 |
474,034 |
123,017 |
35.0% |
1,426,180 |
|
| Daily Pivots for day following 08-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
865.3 |
822.3 |
682.3 |
|
| R3 |
798.3 |
755.3 |
663.8 |
|
| R2 |
731.5 |
731.5 |
657.8 |
|
| R1 |
688.5 |
688.5 |
651.5 |
676.5 |
| PP |
664.5 |
664.5 |
664.5 |
658.5 |
| S1 |
621.5 |
621.5 |
639.3 |
609.5 |
| S2 |
597.8 |
597.8 |
633.3 |
|
| S3 |
530.8 |
554.8 |
627.0 |
|
| S4 |
463.8 |
487.8 |
608.5 |
|
|
| 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 |
795.7 |
640.7 |
155.0 |
24.0% |
44.0 |
6.8% |
3% |
False |
True |
338,907 |
| 10 |
835.9 |
640.7 |
195.2 |
30.2% |
32.0 |
5.0% |
2% |
False |
True |
260,279 |
| 20 |
843.9 |
640.7 |
203.2 |
31.5% |
23.8 |
3.7% |
2% |
False |
True |
203,119 |
| 40 |
860.0 |
640.7 |
219.3 |
34.0% |
19.8 |
3.0% |
2% |
False |
True |
183,096 |
| 60 |
860.0 |
640.7 |
219.3 |
34.0% |
17.0 |
2.6% |
2% |
False |
True |
127,468 |
| 80 |
863.0 |
640.7 |
222.3 |
34.4% |
14.5 |
2.3% |
2% |
False |
True |
95,611 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
992.0 |
|
2.618 |
882.8 |
|
1.618 |
815.8 |
|
1.000 |
774.5 |
|
0.618 |
749.0 |
|
HIGH |
707.5 |
|
0.618 |
682.0 |
|
0.500 |
674.3 |
|
0.382 |
666.3 |
|
LOW |
640.8 |
|
0.618 |
599.3 |
|
1.000 |
573.8 |
|
1.618 |
532.5 |
|
2.618 |
465.5 |
|
4.250 |
356.5 |
|
|
| Fisher Pivots for day following 08-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
674.3 |
707.3 |
| PP |
664.5 |
686.5 |
| S1 |
655.0 |
666.0 |
|