ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 21-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Oct-2011 |
21-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
695.8 |
692.8 |
-3.0 |
-0.4% |
712.7 |
| High |
700.3 |
711.8 |
11.5 |
1.6% |
716.8 |
| Low |
675.6 |
691.5 |
15.9 |
2.4% |
675.6 |
| Close |
692.6 |
710.9 |
18.3 |
2.6% |
710.9 |
| Range |
24.7 |
20.3 |
-4.4 |
-17.8% |
41.2 |
| ATR |
26.9 |
26.4 |
-0.5 |
-1.7% |
0.0 |
| Volume |
207,301 |
140,148 |
-67,153 |
-32.4% |
868,264 |
|
| Daily Pivots for day following 21-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
765.8 |
758.5 |
722.0 |
|
| R3 |
745.3 |
738.3 |
716.5 |
|
| R2 |
725.0 |
725.0 |
714.5 |
|
| R1 |
718.0 |
718.0 |
712.8 |
721.5 |
| PP |
704.8 |
704.8 |
704.8 |
706.5 |
| S1 |
697.8 |
697.8 |
709.0 |
701.3 |
| S2 |
684.5 |
684.5 |
707.3 |
|
| S3 |
664.3 |
677.3 |
705.3 |
|
| S4 |
643.8 |
657.0 |
699.8 |
|
|
| Weekly Pivots for week ending 21-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
824.8 |
809.0 |
733.5 |
|
| R3 |
783.5 |
767.8 |
722.3 |
|
| R2 |
742.3 |
742.3 |
718.5 |
|
| R1 |
726.5 |
726.5 |
714.8 |
713.8 |
| PP |
701.0 |
701.0 |
701.0 |
694.8 |
| S1 |
685.5 |
685.5 |
707.0 |
672.8 |
| S2 |
660.0 |
660.0 |
703.3 |
|
| S3 |
618.8 |
644.3 |
699.5 |
|
| S4 |
577.5 |
603.0 |
688.3 |
|
|
| 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 |
5.8% |
27.0 |
3.8% |
86% |
False |
False |
173,652 |
| 10 |
716.8 |
656.3 |
60.5 |
8.5% |
24.5 |
3.4% |
90% |
False |
False |
164,799 |
| 20 |
716.8 |
597.1 |
119.7 |
16.8% |
27.8 |
3.9% |
95% |
False |
False |
191,289 |
| 40 |
733.0 |
597.1 |
135.9 |
19.1% |
26.0 |
3.7% |
84% |
False |
False |
163,725 |
| 60 |
803.3 |
597.1 |
206.2 |
29.0% |
27.3 |
3.8% |
55% |
False |
False |
109,191 |
| 80 |
854.2 |
597.1 |
257.1 |
36.2% |
21.0 |
2.9% |
44% |
False |
False |
81,897 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
798.0 |
|
2.618 |
765.0 |
|
1.618 |
744.8 |
|
1.000 |
732.0 |
|
0.618 |
724.3 |
|
HIGH |
711.8 |
|
0.618 |
704.0 |
|
0.500 |
701.8 |
|
0.382 |
699.3 |
|
LOW |
691.5 |
|
0.618 |
679.0 |
|
1.000 |
671.3 |
|
1.618 |
658.8 |
|
2.618 |
638.3 |
|
4.250 |
605.3 |
|
|
| Fisher Pivots for day following 21-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
707.8 |
705.3 |
| PP |
704.8 |
699.5 |
| S1 |
701.8 |
693.8 |
|