ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 01-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-Aug-2011 |
01-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
721.3 |
726.2 |
4.9 |
0.7% |
649.9 |
| High |
738.0 |
735.1 |
-2.9 |
-0.4% |
701.8 |
| Low |
717.8 |
705.6 |
-12.2 |
-1.7% |
644.3 |
| Close |
726.2 |
708.9 |
-17.3 |
-2.4% |
689.8 |
| Range |
20.2 |
29.5 |
9.3 |
46.0% |
57.5 |
| ATR |
29.2 |
29.2 |
0.0 |
0.1% |
0.0 |
| Volume |
180,501 |
188,482 |
7,981 |
4.4% |
1,013,056 |
|
| Daily Pivots for day following 01-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
805.0 |
786.5 |
725.0 |
|
| R3 |
775.5 |
757.0 |
717.0 |
|
| R2 |
746.0 |
746.0 |
714.3 |
|
| R1 |
727.5 |
727.5 |
711.5 |
722.0 |
| PP |
716.5 |
716.5 |
716.5 |
713.8 |
| S1 |
698.0 |
698.0 |
706.3 |
692.5 |
| S2 |
687.0 |
687.0 |
703.5 |
|
| S3 |
657.5 |
668.5 |
700.8 |
|
| S4 |
628.0 |
639.0 |
692.8 |
|
|
| 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 |
11.1% |
28.3 |
4.0% |
63% |
False |
False |
176,378 |
| 10 |
738.0 |
644.3 |
93.7 |
13.2% |
28.3 |
4.0% |
69% |
False |
False |
192,137 |
| 20 |
739.3 |
623.7 |
115.6 |
16.3% |
34.8 |
4.9% |
74% |
False |
False |
247,221 |
| 40 |
860.0 |
623.7 |
236.3 |
33.3% |
27.5 |
3.9% |
36% |
False |
False |
212,505 |
| 60 |
860.0 |
623.7 |
236.3 |
33.3% |
23.3 |
3.3% |
36% |
False |
False |
195,442 |
| 80 |
860.0 |
623.7 |
236.3 |
33.3% |
20.5 |
2.9% |
36% |
False |
False |
147,093 |
| 100 |
863.0 |
623.7 |
239.3 |
33.8% |
17.5 |
2.5% |
36% |
False |
False |
117,683 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
860.5 |
|
2.618 |
812.3 |
|
1.618 |
782.8 |
|
1.000 |
764.5 |
|
0.618 |
753.3 |
|
HIGH |
735.0 |
|
0.618 |
723.8 |
|
0.500 |
720.3 |
|
0.382 |
716.8 |
|
LOW |
705.5 |
|
0.618 |
687.3 |
|
1.000 |
676.0 |
|
1.618 |
657.8 |
|
2.618 |
628.3 |
|
4.250 |
580.3 |
|
|
| Fisher Pivots for day following 01-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
720.3 |
721.8 |
| PP |
716.5 |
717.5 |
| S1 |
712.8 |
713.3 |
|