ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 05-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
04-Oct-2011 |
05-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
604.2 |
642.0 |
37.8 |
6.3% |
657.7 |
| High |
646.4 |
659.1 |
12.7 |
2.0% |
692.1 |
| Low |
597.1 |
635.5 |
38.4 |
6.4% |
637.5 |
| Close |
639.6 |
652.8 |
13.2 |
2.1% |
641.5 |
| Range |
49.3 |
23.6 |
-25.7 |
-52.1% |
54.6 |
| ATR |
29.5 |
29.0 |
-0.4 |
-1.4% |
0.0 |
| Volume |
327,802 |
211,950 |
-115,852 |
-35.3% |
1,001,277 |
|
| Daily Pivots for day following 05-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
720.0 |
710.0 |
665.8 |
|
| R3 |
696.3 |
686.3 |
659.3 |
|
| R2 |
672.8 |
672.8 |
657.3 |
|
| R1 |
662.8 |
662.8 |
655.0 |
667.8 |
| PP |
649.3 |
649.3 |
649.3 |
651.5 |
| S1 |
639.3 |
639.3 |
650.8 |
644.3 |
| S2 |
625.5 |
625.5 |
648.5 |
|
| S3 |
602.0 |
615.5 |
646.3 |
|
| S4 |
578.3 |
592.0 |
639.8 |
|
|
| 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 |
667.8 |
597.1 |
70.7 |
10.8% |
34.0 |
5.2% |
79% |
False |
False |
238,924 |
| 10 |
692.1 |
597.1 |
95.0 |
14.6% |
32.0 |
4.9% |
59% |
False |
False |
235,349 |
| 20 |
715.9 |
597.1 |
118.8 |
18.2% |
28.8 |
4.4% |
47% |
False |
False |
225,454 |
| 40 |
733.0 |
597.1 |
135.9 |
20.8% |
25.8 |
4.0% |
41% |
False |
False |
113,268 |
| 60 |
836.9 |
597.1 |
239.8 |
36.7% |
23.0 |
3.5% |
23% |
False |
False |
75,528 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
759.5 |
|
2.618 |
721.0 |
|
1.618 |
697.3 |
|
1.000 |
682.8 |
|
0.618 |
673.8 |
|
HIGH |
659.0 |
|
0.618 |
650.0 |
|
0.500 |
647.3 |
|
0.382 |
644.5 |
|
LOW |
635.5 |
|
0.618 |
621.0 |
|
1.000 |
612.0 |
|
1.618 |
597.3 |
|
2.618 |
573.8 |
|
4.250 |
535.3 |
|
|
| Fisher Pivots for day following 05-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
651.0 |
644.5 |
| PP |
649.3 |
636.3 |
| S1 |
647.3 |
628.0 |
|