ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 14-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Sep-2011 |
14-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
683.3 |
687.8 |
4.5 |
0.7% |
661.0 |
| High |
693.7 |
713.0 |
19.3 |
2.8% |
712.7 |
| Low |
669.8 |
675.9 |
6.1 |
0.9% |
657.7 |
| Close |
690.7 |
701.8 |
11.1 |
1.6% |
674.0 |
| Range |
23.9 |
37.1 |
13.2 |
55.2% |
55.0 |
| ATR |
28.6 |
29.2 |
0.6 |
2.1% |
0.0 |
| Volume |
151,079 |
75,400 |
-75,679 |
-50.1% |
703,569 |
|
| Daily Pivots for day following 14-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
808.3 |
792.0 |
722.3 |
|
| R3 |
771.0 |
755.0 |
712.0 |
|
| R2 |
734.0 |
734.0 |
708.5 |
|
| R1 |
718.0 |
718.0 |
705.3 |
726.0 |
| PP |
697.0 |
697.0 |
697.0 |
701.0 |
| S1 |
680.8 |
680.8 |
698.5 |
688.8 |
| S2 |
659.8 |
659.8 |
695.0 |
|
| S3 |
622.8 |
643.8 |
691.5 |
|
| S4 |
585.5 |
606.5 |
681.5 |
|
|
| Weekly Pivots for week ending 09-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
846.5 |
815.3 |
704.3 |
|
| R3 |
791.5 |
760.3 |
689.0 |
|
| R2 |
736.5 |
736.5 |
684.0 |
|
| R1 |
705.3 |
705.3 |
679.0 |
720.8 |
| PP |
681.5 |
681.5 |
681.5 |
689.3 |
| S1 |
650.3 |
650.3 |
669.0 |
665.8 |
| S2 |
626.5 |
626.5 |
664.0 |
|
| S3 |
571.5 |
595.3 |
659.0 |
|
| S4 |
516.5 |
540.3 |
643.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
713.0 |
657.0 |
56.0 |
8.0% |
29.3 |
4.2% |
80% |
True |
False |
138,519 |
| 10 |
738.0 |
657.0 |
81.0 |
11.5% |
28.0 |
4.0% |
55% |
False |
False |
163,248 |
| 20 |
738.0 |
644.3 |
93.7 |
13.4% |
28.8 |
4.1% |
61% |
False |
False |
181,561 |
| 40 |
843.4 |
623.7 |
219.7 |
31.3% |
29.5 |
4.2% |
36% |
False |
False |
211,622 |
| 60 |
860.0 |
623.7 |
236.3 |
33.7% |
25.0 |
3.6% |
33% |
False |
False |
191,343 |
| 80 |
860.0 |
623.7 |
236.3 |
33.7% |
22.3 |
3.2% |
33% |
False |
False |
162,879 |
| 100 |
863.0 |
623.7 |
239.3 |
34.1% |
19.8 |
2.8% |
33% |
False |
False |
130,317 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
870.8 |
|
2.618 |
810.3 |
|
1.618 |
773.0 |
|
1.000 |
750.0 |
|
0.618 |
736.0 |
|
HIGH |
713.0 |
|
0.618 |
698.8 |
|
0.500 |
694.5 |
|
0.382 |
690.0 |
|
LOW |
676.0 |
|
0.618 |
653.0 |
|
1.000 |
638.8 |
|
1.618 |
615.8 |
|
2.618 |
578.8 |
|
4.250 |
518.3 |
|
|
| Fisher Pivots for day following 14-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
699.3 |
696.3 |
| PP |
697.0 |
690.5 |
| S1 |
694.5 |
685.0 |
|