ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 20-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Oct-2011 |
20-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
702.4 |
695.8 |
-6.6 |
-0.9% |
661.7 |
| High |
709.9 |
700.3 |
-9.6 |
-1.4% |
711.9 |
| Low |
688.9 |
675.6 |
-13.3 |
-1.9% |
656.3 |
| Close |
694.6 |
692.6 |
-2.0 |
-0.3% |
709.6 |
| Range |
21.0 |
24.7 |
3.7 |
17.6% |
55.6 |
| ATR |
27.0 |
26.9 |
-0.2 |
-0.6% |
0.0 |
| Volume |
163,349 |
207,301 |
43,952 |
26.9% |
779,727 |
|
| Daily Pivots for day following 20-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
763.5 |
752.8 |
706.3 |
|
| R3 |
739.0 |
728.0 |
699.5 |
|
| R2 |
714.3 |
714.3 |
697.3 |
|
| R1 |
703.5 |
703.5 |
694.8 |
696.5 |
| PP |
689.5 |
689.5 |
689.5 |
686.0 |
| S1 |
678.8 |
678.8 |
690.3 |
671.8 |
| S2 |
664.8 |
664.8 |
688.0 |
|
| S3 |
640.0 |
654.0 |
685.8 |
|
| S4 |
615.5 |
629.3 |
679.0 |
|
|
| Weekly Pivots for week ending 14-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
859.5 |
840.0 |
740.3 |
|
| R3 |
803.8 |
784.5 |
725.0 |
|
| R2 |
748.3 |
748.3 |
719.8 |
|
| R1 |
729.0 |
729.0 |
714.8 |
738.5 |
| PP |
692.5 |
692.5 |
692.5 |
697.5 |
| S1 |
673.3 |
673.3 |
704.5 |
683.0 |
| S2 |
637.0 |
637.0 |
699.5 |
|
| S3 |
581.5 |
617.8 |
694.3 |
|
| S4 |
525.8 |
562.0 |
679.0 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
716.8 |
675.6 |
41.2 |
5.9% |
27.3 |
3.9% |
41% |
False |
True |
174,044 |
| 10 |
716.8 |
650.0 |
66.8 |
9.6% |
25.0 |
3.6% |
64% |
False |
False |
170,662 |
| 20 |
716.8 |
597.1 |
119.7 |
17.3% |
28.0 |
4.1% |
80% |
False |
False |
195,241 |
| 40 |
733.0 |
597.1 |
135.9 |
19.6% |
26.3 |
3.8% |
70% |
False |
False |
160,223 |
| 60 |
803.8 |
597.1 |
206.7 |
29.8% |
27.0 |
3.9% |
46% |
False |
False |
106,856 |
| 80 |
854.2 |
597.1 |
257.1 |
37.1% |
20.8 |
3.0% |
37% |
False |
False |
80,146 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
805.3 |
|
2.618 |
765.0 |
|
1.618 |
740.3 |
|
1.000 |
725.0 |
|
0.618 |
715.5 |
|
HIGH |
700.3 |
|
0.618 |
690.8 |
|
0.500 |
688.0 |
|
0.382 |
685.0 |
|
LOW |
675.5 |
|
0.618 |
660.3 |
|
1.000 |
651.0 |
|
1.618 |
635.8 |
|
2.618 |
611.0 |
|
4.250 |
570.5 |
|
|
| Fisher Pivots for day following 20-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
691.0 |
693.5 |
| PP |
689.5 |
693.3 |
| S1 |
688.0 |
693.0 |
|