ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 18-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
17-Aug-2011 |
18-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
704.0 |
700.8 |
-3.2 |
-0.5% |
700.0 |
| High |
714.2 |
701.6 |
-12.6 |
-1.8% |
707.6 |
| Low |
696.3 |
656.8 |
-39.5 |
-5.7% |
623.7 |
| Close |
702.5 |
665.8 |
-36.7 |
-5.2% |
696.9 |
| Range |
17.9 |
44.8 |
26.9 |
150.3% |
83.9 |
| ATR |
29.2 |
30.4 |
1.2 |
4.0% |
0.0 |
| Volume |
164,944 |
281,406 |
116,462 |
70.6% |
1,862,461 |
|
| Daily Pivots for day following 18-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
809.3 |
782.3 |
690.5 |
|
| R3 |
764.3 |
737.5 |
678.0 |
|
| R2 |
719.5 |
719.5 |
674.0 |
|
| R1 |
692.8 |
692.8 |
670.0 |
683.8 |
| PP |
674.8 |
674.8 |
674.8 |
670.3 |
| S1 |
647.8 |
647.8 |
661.8 |
639.0 |
| S2 |
630.0 |
630.0 |
657.5 |
|
| S3 |
585.3 |
603.0 |
653.5 |
|
| S4 |
540.3 |
558.3 |
641.3 |
|
|
| 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 |
656.8 |
60.3 |
9.1% |
26.3 |
3.9% |
15% |
False |
True |
202,164 |
| 10 |
739.3 |
623.7 |
115.6 |
17.4% |
41.3 |
6.2% |
36% |
False |
False |
302,305 |
| 20 |
843.4 |
623.7 |
219.7 |
33.0% |
32.0 |
4.8% |
19% |
False |
False |
250,335 |
| 40 |
860.0 |
623.7 |
236.3 |
35.5% |
23.8 |
3.6% |
18% |
False |
False |
200,241 |
| 60 |
860.0 |
623.7 |
236.3 |
35.5% |
20.8 |
3.1% |
18% |
False |
False |
164,086 |
| 80 |
863.0 |
623.7 |
239.3 |
35.9% |
18.0 |
2.7% |
18% |
False |
False |
123,085 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
892.0 |
|
2.618 |
819.0 |
|
1.618 |
774.0 |
|
1.000 |
746.5 |
|
0.618 |
729.3 |
|
HIGH |
701.5 |
|
0.618 |
684.5 |
|
0.500 |
679.3 |
|
0.382 |
674.0 |
|
LOW |
656.8 |
|
0.618 |
629.0 |
|
1.000 |
612.0 |
|
1.618 |
584.3 |
|
2.618 |
539.5 |
|
4.250 |
466.5 |
|
|
| Fisher Pivots for day following 18-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
679.3 |
685.5 |
| PP |
674.8 |
679.0 |
| S1 |
670.3 |
672.3 |
|