ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 06-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Oct-2011 |
06-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
642.0 |
650.7 |
8.7 |
1.4% |
657.7 |
| High |
659.1 |
671.1 |
12.0 |
1.8% |
692.1 |
| Low |
635.5 |
648.4 |
12.9 |
2.0% |
637.5 |
| Close |
652.8 |
669.8 |
17.0 |
2.6% |
641.5 |
| Range |
23.6 |
22.7 |
-0.9 |
-3.8% |
54.6 |
| ATR |
29.0 |
28.6 |
-0.5 |
-1.6% |
0.0 |
| Volume |
211,950 |
173,207 |
-38,743 |
-18.3% |
1,001,277 |
|
| Daily Pivots for day following 06-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
731.3 |
723.3 |
682.3 |
|
| R3 |
708.5 |
700.5 |
676.0 |
|
| R2 |
685.8 |
685.8 |
674.0 |
|
| R1 |
677.8 |
677.8 |
672.0 |
681.8 |
| PP |
663.0 |
663.0 |
663.0 |
665.0 |
| S1 |
655.0 |
655.0 |
667.8 |
659.0 |
| S2 |
640.5 |
640.5 |
665.8 |
|
| S3 |
617.8 |
632.5 |
663.5 |
|
| S4 |
595.0 |
609.8 |
657.3 |
|
|
| 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 |
671.1 |
597.1 |
74.0 |
11.0% |
33.3 |
4.9% |
98% |
True |
False |
233,730 |
| 10 |
692.1 |
597.1 |
95.0 |
14.2% |
31.0 |
4.6% |
77% |
False |
False |
219,819 |
| 20 |
715.9 |
597.1 |
118.8 |
17.7% |
28.8 |
4.3% |
61% |
False |
False |
228,526 |
| 40 |
733.0 |
597.1 |
135.9 |
20.3% |
25.5 |
3.8% |
53% |
False |
False |
117,595 |
| 60 |
836.9 |
597.1 |
239.8 |
35.8% |
23.3 |
3.5% |
30% |
False |
False |
78,414 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
767.5 |
|
2.618 |
730.5 |
|
1.618 |
707.8 |
|
1.000 |
693.8 |
|
0.618 |
685.3 |
|
HIGH |
671.0 |
|
0.618 |
662.5 |
|
0.500 |
659.8 |
|
0.382 |
657.0 |
|
LOW |
648.5 |
|
0.618 |
634.3 |
|
1.000 |
625.8 |
|
1.618 |
611.8 |
|
2.618 |
589.0 |
|
4.250 |
552.0 |
|
|
| Fisher Pivots for day following 06-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
666.5 |
658.0 |
| PP |
663.0 |
646.0 |
| S1 |
659.8 |
634.0 |
|