ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 04-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Oct-2011 |
04-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
641.0 |
604.2 |
-36.8 |
-5.7% |
657.7 |
| High |
647.2 |
646.4 |
-0.8 |
-0.1% |
692.1 |
| Low |
601.8 |
597.1 |
-4.7 |
-0.8% |
637.5 |
| Close |
603.9 |
639.6 |
35.7 |
5.9% |
641.5 |
| Range |
45.4 |
49.3 |
3.9 |
8.6% |
54.6 |
| ATR |
27.9 |
29.5 |
1.5 |
5.5% |
0.0 |
| Volume |
264,778 |
327,802 |
63,024 |
23.8% |
1,001,277 |
|
| Daily Pivots for day following 04-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
775.5 |
757.0 |
666.8 |
|
| R3 |
726.3 |
707.5 |
653.3 |
|
| R2 |
677.0 |
677.0 |
648.8 |
|
| R1 |
658.3 |
658.3 |
644.0 |
667.8 |
| PP |
627.8 |
627.8 |
627.8 |
632.5 |
| S1 |
609.0 |
609.0 |
635.0 |
618.3 |
| S2 |
578.5 |
578.5 |
630.5 |
|
| S3 |
529.0 |
559.8 |
626.0 |
|
| S4 |
479.8 |
510.5 |
612.5 |
|
|
| 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 |
685.4 |
597.1 |
88.3 |
13.8% |
36.5 |
5.7% |
48% |
False |
True |
237,060 |
| 10 |
692.1 |
597.1 |
95.0 |
14.9% |
33.0 |
5.2% |
45% |
False |
True |
235,107 |
| 20 |
715.9 |
597.1 |
118.8 |
18.6% |
28.8 |
4.5% |
36% |
False |
True |
215,668 |
| 40 |
733.0 |
597.1 |
135.9 |
21.2% |
27.0 |
4.2% |
31% |
False |
True |
107,974 |
| 60 |
836.9 |
597.1 |
239.8 |
37.5% |
22.5 |
3.5% |
18% |
False |
True |
71,995 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
856.0 |
|
2.618 |
775.5 |
|
1.618 |
726.3 |
|
1.000 |
695.8 |
|
0.618 |
676.8 |
|
HIGH |
646.5 |
|
0.618 |
627.5 |
|
0.500 |
621.8 |
|
0.382 |
616.0 |
|
LOW |
597.0 |
|
0.618 |
566.8 |
|
1.000 |
547.8 |
|
1.618 |
517.3 |
|
2.618 |
468.0 |
|
4.250 |
387.5 |
|
|
| Fisher Pivots for day following 04-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
633.8 |
636.5 |
| PP |
627.8 |
633.3 |
| S1 |
621.8 |
630.0 |
|