ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 16-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Sep-2011 |
16-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
702.3 |
713.9 |
11.6 |
1.7% |
669.3 |
| High |
716.6 |
717.2 |
0.6 |
0.1% |
717.2 |
| Low |
697.4 |
709.4 |
12.0 |
1.7% |
657.0 |
| Close |
714.2 |
717.2 |
3.0 |
0.4% |
717.2 |
| Range |
19.2 |
7.8 |
-11.4 |
-59.4% |
60.2 |
| ATR |
28.5 |
27.0 |
-1.5 |
-5.2% |
0.0 |
| Volume |
36,092 |
2,073 |
-34,019 |
-94.3% |
415,130 |
|
| Daily Pivots for day following 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
738.0 |
735.3 |
721.5 |
|
| R3 |
730.3 |
727.5 |
719.3 |
|
| R2 |
722.5 |
722.5 |
718.5 |
|
| R1 |
719.8 |
719.8 |
718.0 |
721.0 |
| PP |
714.5 |
714.5 |
714.5 |
715.3 |
| S1 |
712.0 |
712.0 |
716.5 |
713.3 |
| S2 |
706.8 |
706.8 |
715.8 |
|
| S3 |
699.0 |
704.3 |
715.0 |
|
| S4 |
691.3 |
696.5 |
713.0 |
|
|
| Weekly Pivots for week ending 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
877.8 |
857.8 |
750.3 |
|
| R3 |
817.5 |
797.5 |
733.8 |
|
| R2 |
757.3 |
757.3 |
728.3 |
|
| R1 |
737.3 |
737.3 |
722.8 |
747.3 |
| PP |
697.3 |
697.3 |
697.3 |
702.3 |
| S1 |
677.0 |
677.0 |
711.8 |
687.0 |
| S2 |
637.0 |
637.0 |
706.3 |
|
| S3 |
576.8 |
616.8 |
700.8 |
|
| S4 |
516.5 |
556.8 |
684.0 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
717.2 |
657.0 |
60.2 |
8.4% |
23.0 |
3.2% |
100% |
True |
False |
83,026 |
| 10 |
717.2 |
657.0 |
60.2 |
8.4% |
25.8 |
3.6% |
100% |
True |
False |
130,166 |
| 20 |
738.0 |
644.3 |
93.7 |
13.1% |
27.0 |
3.8% |
78% |
False |
False |
161,152 |
| 40 |
843.4 |
623.7 |
219.7 |
30.6% |
29.5 |
4.1% |
43% |
False |
False |
205,743 |
| 60 |
860.0 |
623.7 |
236.3 |
32.9% |
25.0 |
3.5% |
40% |
False |
False |
187,211 |
| 80 |
860.0 |
623.7 |
236.3 |
32.9% |
22.3 |
3.1% |
40% |
False |
False |
163,352 |
| 100 |
863.0 |
623.7 |
239.3 |
33.4% |
19.8 |
2.8% |
39% |
False |
False |
130,698 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
750.3 |
|
2.618 |
737.5 |
|
1.618 |
729.8 |
|
1.000 |
725.0 |
|
0.618 |
722.0 |
|
HIGH |
717.3 |
|
0.618 |
714.3 |
|
0.500 |
713.3 |
|
0.382 |
712.5 |
|
LOW |
709.5 |
|
0.618 |
704.5 |
|
1.000 |
701.5 |
|
1.618 |
696.8 |
|
2.618 |
689.0 |
|
4.250 |
676.3 |
|
|
| Fisher Pivots for day following 16-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
716.0 |
710.3 |
| PP |
714.5 |
703.5 |
| S1 |
713.3 |
696.5 |
|