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 |
|
|
|
| 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 |
|