ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 28-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Sep-2011 |
28-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
660.1 |
675.1 |
15.0 |
2.3% |
702.0 |
| High |
692.1 |
685.4 |
-6.7 |
-1.0% |
708.3 |
| Low |
659.6 |
648.7 |
-10.9 |
-1.7% |
628.1 |
| Close |
676.7 |
651.6 |
-25.1 |
-3.7% |
648.8 |
| Range |
32.5 |
36.7 |
4.2 |
12.9% |
80.2 |
| ATR |
26.0 |
26.8 |
0.8 |
2.9% |
0.0 |
| Volume |
216,459 |
202,628 |
-13,831 |
-6.4% |
1,088,613 |
|
| Daily Pivots for day following 28-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
772.0 |
748.5 |
671.8 |
|
| R3 |
735.3 |
711.8 |
661.8 |
|
| R2 |
698.5 |
698.5 |
658.3 |
|
| R1 |
675.0 |
675.0 |
655.0 |
668.5 |
| PP |
662.0 |
662.0 |
662.0 |
658.5 |
| S1 |
638.5 |
638.5 |
648.3 |
631.8 |
| S2 |
625.3 |
625.3 |
644.8 |
|
| S3 |
588.5 |
601.8 |
641.5 |
|
| S4 |
551.8 |
565.0 |
631.5 |
|
|
| Weekly Pivots for week ending 23-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
902.3 |
855.8 |
693.0 |
|
| R3 |
822.3 |
775.5 |
670.8 |
|
| R2 |
742.0 |
742.0 |
663.5 |
|
| R1 |
695.3 |
695.3 |
656.3 |
678.5 |
| PP |
661.8 |
661.8 |
661.8 |
653.3 |
| S1 |
615.3 |
615.3 |
641.5 |
598.3 |
| S2 |
581.5 |
581.5 |
634.0 |
|
| S3 |
501.3 |
535.0 |
626.8 |
|
| S4 |
421.3 |
454.8 |
604.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
692.1 |
628.1 |
64.0 |
9.8% |
30.0 |
4.6% |
37% |
False |
False |
231,773 |
| 10 |
715.9 |
628.1 |
87.8 |
13.5% |
25.8 |
3.9% |
27% |
False |
False |
207,085 |
| 20 |
733.0 |
628.1 |
104.9 |
16.1% |
25.8 |
4.0% |
22% |
False |
False |
166,696 |
| 40 |
770.2 |
622.6 |
147.6 |
22.7% |
27.5 |
4.2% |
20% |
False |
False |
83,420 |
| 60 |
854.2 |
622.6 |
231.6 |
35.5% |
20.3 |
3.1% |
13% |
False |
False |
55,619 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
841.5 |
|
2.618 |
781.5 |
|
1.618 |
744.8 |
|
1.000 |
722.0 |
|
0.618 |
708.0 |
|
HIGH |
685.5 |
|
0.618 |
671.5 |
|
0.500 |
667.0 |
|
0.382 |
662.8 |
|
LOW |
648.8 |
|
0.618 |
626.0 |
|
1.000 |
612.0 |
|
1.618 |
589.3 |
|
2.618 |
552.5 |
|
4.250 |
492.8 |
|
|
| Fisher Pivots for day following 28-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
667.0 |
664.8 |
| PP |
662.0 |
660.5 |
| S1 |
656.8 |
656.0 |
|