ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 12-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Aug-2011 |
12-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
661.7 |
689.5 |
27.8 |
4.2% |
700.0 |
| High |
703.0 |
704.7 |
1.7 |
0.2% |
707.6 |
| Low |
648.3 |
675.0 |
26.7 |
4.1% |
623.7 |
| Close |
690.3 |
696.9 |
6.6 |
1.0% |
696.9 |
| Range |
54.7 |
29.7 |
-25.0 |
-45.7% |
83.9 |
| ATR |
31.9 |
31.8 |
-0.2 |
-0.5% |
0.0 |
| Volume |
311,294 |
201,247 |
-110,047 |
-35.4% |
1,862,461 |
|
| Daily Pivots for day following 12-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
781.3 |
768.8 |
713.3 |
|
| R3 |
751.5 |
739.0 |
705.0 |
|
| R2 |
722.0 |
722.0 |
702.3 |
|
| R1 |
709.5 |
709.5 |
699.5 |
715.8 |
| PP |
692.3 |
692.3 |
692.3 |
695.3 |
| S1 |
679.8 |
679.8 |
694.3 |
686.0 |
| S2 |
662.5 |
662.5 |
691.5 |
|
| S3 |
632.8 |
650.0 |
688.8 |
|
| S4 |
603.0 |
620.3 |
680.5 |
|
|
| Weekly Pivots for week ending 12-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
927.8 |
896.3 |
743.0 |
|
| R3 |
843.8 |
812.3 |
720.0 |
|
| R2 |
760.0 |
760.0 |
712.3 |
|
| R1 |
728.5 |
728.5 |
704.5 |
702.3 |
| PP |
676.0 |
676.0 |
676.0 |
663.0 |
| S1 |
644.5 |
644.5 |
689.3 |
618.3 |
| S2 |
592.3 |
592.3 |
681.5 |
|
| S3 |
508.3 |
560.8 |
673.8 |
|
| S4 |
424.3 |
476.8 |
650.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
707.6 |
623.7 |
83.9 |
12.0% |
53.3 |
7.6% |
87% |
False |
False |
372,492 |
| 10 |
808.8 |
623.7 |
185.1 |
26.6% |
44.5 |
6.4% |
40% |
False |
False |
328,864 |
| 20 |
843.4 |
623.7 |
219.7 |
31.5% |
30.3 |
4.4% |
33% |
False |
False |
236,735 |
| 40 |
860.0 |
623.7 |
236.3 |
33.9% |
23.0 |
3.3% |
31% |
False |
False |
194,186 |
| 60 |
860.0 |
623.7 |
236.3 |
33.9% |
19.8 |
2.8% |
31% |
False |
False |
150,598 |
| 80 |
863.0 |
623.7 |
239.3 |
34.3% |
16.8 |
2.4% |
31% |
False |
False |
112,966 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
831.0 |
|
2.618 |
782.5 |
|
1.618 |
752.8 |
|
1.000 |
734.5 |
|
0.618 |
723.0 |
|
HIGH |
704.8 |
|
0.618 |
693.3 |
|
0.500 |
689.8 |
|
0.382 |
686.3 |
|
LOW |
675.0 |
|
0.618 |
656.8 |
|
1.000 |
645.3 |
|
1.618 |
627.0 |
|
2.618 |
597.3 |
|
4.250 |
548.8 |
|
|
| Fisher Pivots for day following 12-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
694.5 |
690.0 |
| PP |
692.3 |
683.3 |
| S1 |
689.8 |
676.5 |
|