ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 31-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Aug-2011 |
31-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
721.2 |
721.3 |
0.1 |
0.0% |
649.9 |
| High |
731.6 |
738.0 |
6.4 |
0.9% |
701.8 |
| Low |
710.3 |
717.8 |
7.5 |
1.1% |
644.3 |
| Close |
722.1 |
726.2 |
4.1 |
0.6% |
689.8 |
| Range |
21.3 |
20.2 |
-1.1 |
-5.2% |
57.5 |
| ATR |
29.9 |
29.2 |
-0.7 |
-2.3% |
0.0 |
| Volume |
162,263 |
180,501 |
18,238 |
11.2% |
1,013,056 |
|
| Daily Pivots for day following 31-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
788.0 |
777.3 |
737.3 |
|
| R3 |
767.8 |
757.0 |
731.8 |
|
| R2 |
747.5 |
747.5 |
730.0 |
|
| R1 |
736.8 |
736.8 |
728.0 |
742.3 |
| PP |
727.3 |
727.3 |
727.3 |
730.0 |
| S1 |
716.8 |
716.8 |
724.3 |
722.0 |
| S2 |
707.3 |
707.3 |
722.5 |
|
| S3 |
687.0 |
696.5 |
720.8 |
|
| S4 |
666.8 |
676.3 |
715.0 |
|
|
| Weekly Pivots for week ending 26-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
851.3 |
828.0 |
721.5 |
|
| R3 |
793.8 |
770.5 |
705.5 |
|
| R2 |
736.3 |
736.3 |
700.3 |
|
| R1 |
713.0 |
713.0 |
695.0 |
724.5 |
| PP |
678.8 |
678.8 |
678.8 |
684.5 |
| S1 |
655.5 |
655.5 |
684.5 |
667.0 |
| S2 |
621.3 |
621.3 |
679.3 |
|
| S3 |
563.8 |
598.0 |
674.0 |
|
| S4 |
506.3 |
540.5 |
658.3 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
738.0 |
659.1 |
78.9 |
10.9% |
28.5 |
3.9% |
85% |
True |
False |
180,303 |
| 10 |
738.0 |
644.3 |
93.7 |
12.9% |
29.8 |
4.1% |
87% |
True |
False |
201,430 |
| 20 |
773.7 |
623.7 |
150.0 |
20.7% |
35.8 |
4.9% |
68% |
False |
False |
255,226 |
| 40 |
860.0 |
623.7 |
236.3 |
32.5% |
27.0 |
3.7% |
43% |
False |
False |
211,208 |
| 60 |
860.0 |
623.7 |
236.3 |
32.5% |
23.0 |
3.2% |
43% |
False |
False |
192,790 |
| 80 |
860.0 |
623.7 |
236.3 |
32.5% |
20.3 |
2.8% |
43% |
False |
False |
144,738 |
| 100 |
863.0 |
623.7 |
239.3 |
33.0% |
17.3 |
2.4% |
43% |
False |
False |
115,799 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
823.8 |
|
2.618 |
791.0 |
|
1.618 |
770.8 |
|
1.000 |
758.3 |
|
0.618 |
750.5 |
|
HIGH |
738.0 |
|
0.618 |
730.3 |
|
0.500 |
728.0 |
|
0.382 |
725.5 |
|
LOW |
717.8 |
|
0.618 |
705.3 |
|
1.000 |
697.5 |
|
1.618 |
685.0 |
|
2.618 |
665.0 |
|
4.250 |
632.0 |
|
|
| Fisher Pivots for day following 31-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
728.0 |
721.8 |
| PP |
727.3 |
717.3 |
| S1 |
726.8 |
712.8 |
|