ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 15-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Aug-2011 |
15-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
689.5 |
699.8 |
10.3 |
1.5% |
700.0 |
| High |
704.7 |
717.1 |
12.4 |
1.8% |
707.6 |
| Low |
675.0 |
696.7 |
21.7 |
3.2% |
623.7 |
| Close |
696.9 |
713.6 |
16.7 |
2.4% |
696.9 |
| Range |
29.7 |
20.4 |
-9.3 |
-31.3% |
83.9 |
| ATR |
31.8 |
31.0 |
-0.8 |
-2.6% |
0.0 |
| Volume |
201,247 |
154,983 |
-46,264 |
-23.0% |
1,862,461 |
|
| Daily Pivots for day following 15-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
770.3 |
762.3 |
724.8 |
|
| R3 |
750.0 |
742.0 |
719.3 |
|
| R2 |
729.5 |
729.5 |
717.3 |
|
| R1 |
721.5 |
721.5 |
715.5 |
725.5 |
| PP |
709.3 |
709.3 |
709.3 |
711.0 |
| S1 |
701.3 |
701.3 |
711.8 |
705.3 |
| S2 |
688.8 |
688.8 |
709.8 |
|
| S3 |
668.3 |
680.8 |
708.0 |
|
| S4 |
648.0 |
660.3 |
702.5 |
|
|
| 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 |
717.1 |
623.7 |
93.4 |
13.1% |
43.8 |
6.1% |
96% |
True |
False |
308,682 |
| 10 |
795.7 |
623.7 |
172.0 |
24.1% |
44.0 |
6.2% |
52% |
False |
False |
323,794 |
| 20 |
843.4 |
623.7 |
219.7 |
30.8% |
30.5 |
4.3% |
41% |
False |
False |
238,343 |
| 40 |
860.0 |
623.7 |
236.3 |
33.1% |
23.0 |
3.2% |
38% |
False |
False |
193,982 |
| 60 |
860.0 |
623.7 |
236.3 |
33.1% |
20.0 |
2.8% |
38% |
False |
False |
153,181 |
| 80 |
863.0 |
623.7 |
239.3 |
33.5% |
17.3 |
2.4% |
38% |
False |
False |
114,903 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
803.8 |
|
2.618 |
770.5 |
|
1.618 |
750.0 |
|
1.000 |
737.5 |
|
0.618 |
729.8 |
|
HIGH |
717.0 |
|
0.618 |
709.3 |
|
0.500 |
707.0 |
|
0.382 |
704.5 |
|
LOW |
696.8 |
|
0.618 |
684.0 |
|
1.000 |
676.3 |
|
1.618 |
663.8 |
|
2.618 |
643.3 |
|
4.250 |
610.0 |
|
|
| Fisher Pivots for day following 15-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
711.3 |
703.3 |
| PP |
709.3 |
693.0 |
| S1 |
707.0 |
682.8 |
|