ICE Russell 2000 Mini Future September 2011


Trading Metrics calculated at close of trading on 24-Aug-2011
Day Change Summary
Previous Current
23-Aug-2011 24-Aug-2011 Change Change % Previous Week
Open 649.1 680.2 31.1 4.8% 699.8
High 682.9 695.0 12.1 1.8% 717.1
Low 646.8 670.9 24.1 3.7% 647.5
Close 682.0 688.5 6.5 1.0% 653.4
Range 36.1 24.1 -12.0 -33.2% 69.6
ATR 30.2 29.8 -0.4 -1.4% 0.0
Volume 218,360 175,657 -42,703 -19.6% 1,054,356
Daily Pivots for day following 24-Aug-2011
Classic Woodie Camarilla DeMark
R4 757.0 747.0 701.8
R3 733.0 722.8 695.3
R2 709.0 709.0 693.0
R1 698.8 698.8 690.8 703.8
PP 684.8 684.8 684.8 687.3
S1 674.5 674.5 686.3 679.8
S2 660.8 660.8 684.0
S3 636.5 650.5 681.8
S4 612.5 626.5 675.3
Weekly Pivots for week ending 19-Aug-2011
Classic Woodie Camarilla DeMark
R4 881.5 837.0 691.8
R3 811.8 767.5 672.5
R2 742.3 742.3 666.3
R1 697.8 697.8 659.8 685.3
PP 672.8 672.8 672.8 666.5
S1 628.3 628.3 647.0 615.8
S2 603.0 603.0 640.8
S3 533.5 558.8 634.3
S4 463.8 489.0 615.0
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 701.6 644.3 57.3 8.3% 31.3 4.5% 77% False False 222,557
10 717.1 644.3 72.8 10.6% 29.8 4.3% 61% False False 215,349
20 808.8 623.7 185.1 26.9% 34.5 5.0% 35% False False 265,186
40 860.0 623.7 236.3 34.3% 25.0 3.6% 27% False False 205,392
60 860.0 623.7 236.3 34.3% 22.0 3.2% 27% False False 177,922
80 860.0 623.7 236.3 34.3% 19.3 2.8% 27% False False 133,477
100 863.0 623.7 239.3 34.8% 16.0 2.3% 27% False False 106,786
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 6.8
Narrowest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 797.5
2.618 758.0
1.618 734.0
1.000 719.0
0.618 710.0
HIGH 695.0
0.618 685.8
0.500 683.0
0.382 680.0
LOW 671.0
0.618 656.0
1.000 646.8
1.618 632.0
2.618 607.8
4.250 568.5
Fisher Pivots for day following 24-Aug-2011
Pivot 1 day 3 day
R1 686.8 682.3
PP 684.8 676.0
S1 683.0 669.8

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These figures are updated between 7pm and 10pm EST after a trading day.

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