ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 03-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Sep-2011 |
03-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
662.0 |
641.0 |
-21.0 |
-3.2% |
657.7 |
| High |
662.8 |
647.2 |
-15.6 |
-2.4% |
692.1 |
| Low |
638.1 |
601.8 |
-36.3 |
-5.7% |
637.5 |
| Close |
641.5 |
603.9 |
-37.6 |
-5.9% |
641.5 |
| Range |
24.7 |
45.4 |
20.7 |
83.8% |
54.6 |
| ATR |
26.6 |
27.9 |
1.3 |
5.0% |
0.0 |
| Volume |
190,917 |
264,778 |
73,861 |
38.7% |
1,001,277 |
|
| Daily Pivots for day following 03-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
753.8 |
724.3 |
628.8 |
|
| R3 |
708.5 |
678.8 |
616.5 |
|
| R2 |
663.0 |
663.0 |
612.3 |
|
| R1 |
633.5 |
633.5 |
608.0 |
625.5 |
| PP |
617.8 |
617.8 |
617.8 |
613.8 |
| S1 |
588.0 |
588.0 |
599.8 |
580.3 |
| S2 |
572.3 |
572.3 |
595.5 |
|
| S3 |
526.8 |
542.8 |
591.5 |
|
| S4 |
481.5 |
497.3 |
579.0 |
|
|
| 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 |
601.8 |
90.3 |
15.0% |
33.3 |
5.5% |
2% |
False |
True |
214,791 |
| 10 |
708.3 |
601.8 |
106.5 |
17.6% |
30.5 |
5.0% |
2% |
False |
True |
219,146 |
| 20 |
715.9 |
601.8 |
114.1 |
18.9% |
27.5 |
4.5% |
2% |
False |
True |
199,375 |
| 40 |
733.0 |
601.8 |
131.2 |
21.7% |
27.3 |
4.5% |
2% |
False |
True |
99,785 |
| 60 |
836.9 |
601.8 |
235.1 |
38.9% |
21.8 |
3.6% |
1% |
False |
True |
66,532 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
840.3 |
|
2.618 |
766.0 |
|
1.618 |
720.8 |
|
1.000 |
692.5 |
|
0.618 |
675.3 |
|
HIGH |
647.3 |
|
0.618 |
629.8 |
|
0.500 |
624.5 |
|
0.382 |
619.3 |
|
LOW |
601.8 |
|
0.618 |
573.8 |
|
1.000 |
556.5 |
|
1.618 |
528.3 |
|
2.618 |
483.0 |
|
4.250 |
408.8 |
|
|
| Fisher Pivots for day following 03-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
624.5 |
634.8 |
| PP |
617.8 |
624.5 |
| S1 |
610.8 |
614.3 |
|