ICE Russell 2000 Mini Future December 2011


Trading Metrics calculated at close of trading on 30-Sep-2011
Day Change Summary
Previous Current
29-Sep-2011 30-Sep-2011 Change Change % Previous Week
Open 648.6 662.0 13.4 2.1% 657.7
High 667.8 662.8 -5.0 -0.7% 692.1
Low 641.3 638.1 -3.2 -0.5% 637.5
Close 662.2 641.5 -20.7 -3.1% 641.5
Range 26.5 24.7 -1.8 -6.8% 54.6
ATR 26.7 26.6 -0.1 -0.5% 0.0
Volume 199,177 190,917 -8,260 -4.1% 1,001,277
Daily Pivots for day following 30-Sep-2011
Classic Woodie Camarilla DeMark
R4 721.5 706.3 655.0
R3 696.8 681.5 648.3
R2 672.3 672.3 646.0
R1 656.8 656.8 643.8 652.3
PP 647.5 647.5 647.5 645.0
S1 632.3 632.3 639.3 627.5
S2 622.8 622.8 637.0
S3 598.0 607.5 634.8
S4 573.3 582.8 628.0
Weekly Pivots for week ending 30-Sep-2011
Classic Woodie Camarilla DeMark
R4 820.8 785.8 671.5
R3 766.3 731.3 656.5
R2 711.8 711.8 651.5
R1 676.5 676.5 646.5 666.8
PP 657.0 657.0 657.0 652.3
S1 622.0 622.0 636.5 612.3
S2 602.5 602.5 631.5
S3 547.8 567.3 626.5
S4 493.3 512.8 611.5
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 692.1 637.5 54.6 8.5% 29.0 4.5% 7% False False 200,255
10 708.3 628.1 80.2 12.5% 27.8 4.3% 17% False False 208,989
20 715.9 628.1 87.8 13.7% 26.3 4.1% 15% False False 186,148
40 735.1 622.6 112.5 17.5% 27.0 4.2% 17% False False 93,168
60 848.3 622.6 225.7 35.2% 21.0 3.3% 8% False False 62,119
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.0
Narrowest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 767.8
2.618 727.5
1.618 702.8
1.000 687.5
0.618 678.0
HIGH 662.8
0.618 653.3
0.500 650.5
0.382 647.5
LOW 638.0
0.618 622.8
1.000 613.5
1.618 598.3
2.618 573.5
4.250 533.0
Fisher Pivots for day following 30-Sep-2011
Pivot 1 day 3 day
R1 650.5 661.8
PP 647.5 655.0
S1 644.5 648.3

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These figures are updated between 7pm and 10pm EST after a trading day.

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