ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 31-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
28-Oct-2011 |
31-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
764.0 |
753.5 |
-10.5 |
-1.4% |
709.9 |
| High |
767.8 |
758.9 |
-8.9 |
-1.2% |
768.4 |
| Low |
756.3 |
732.2 |
-24.1 |
-3.2% |
703.7 |
| Close |
759.5 |
739.3 |
-20.2 |
-2.7% |
759.5 |
| Range |
11.5 |
26.7 |
15.2 |
132.2% |
64.7 |
| ATR |
26.7 |
26.8 |
0.0 |
0.1% |
0.0 |
| Volume |
133,715 |
145,861 |
12,146 |
9.1% |
872,444 |
|
| Daily Pivots for day following 31-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
823.5 |
808.3 |
754.0 |
|
| R3 |
796.8 |
781.5 |
746.8 |
|
| R2 |
770.3 |
770.3 |
744.3 |
|
| R1 |
754.8 |
754.8 |
741.8 |
749.0 |
| PP |
743.5 |
743.5 |
743.5 |
740.8 |
| S1 |
728.0 |
728.0 |
736.8 |
722.5 |
| S2 |
716.8 |
716.8 |
734.5 |
|
| S3 |
690.0 |
701.3 |
732.0 |
|
| S4 |
663.3 |
674.8 |
724.5 |
|
|
| Weekly Pivots for week ending 28-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
938.0 |
913.5 |
795.0 |
|
| R3 |
873.3 |
848.8 |
777.3 |
|
| R2 |
808.5 |
808.5 |
771.3 |
|
| R1 |
784.0 |
784.0 |
765.5 |
796.3 |
| PP |
743.8 |
743.8 |
743.8 |
750.0 |
| S1 |
719.3 |
719.3 |
753.5 |
731.5 |
| S2 |
679.3 |
679.3 |
747.8 |
|
| S3 |
614.5 |
654.8 |
741.8 |
|
| S4 |
549.8 |
590.0 |
724.0 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
768.4 |
703.7 |
64.7 |
8.8% |
27.5 |
3.7% |
55% |
False |
False |
174,565 |
| 10 |
768.4 |
675.6 |
92.8 |
12.6% |
26.8 |
3.6% |
69% |
False |
False |
173,570 |
| 20 |
768.4 |
597.1 |
171.3 |
23.2% |
26.5 |
3.6% |
83% |
False |
False |
178,901 |
| 40 |
768.4 |
597.1 |
171.3 |
23.2% |
27.0 |
3.7% |
83% |
False |
False |
189,138 |
| 60 |
768.4 |
597.1 |
171.3 |
23.2% |
27.0 |
3.7% |
83% |
False |
False |
126,157 |
| 80 |
836.9 |
597.1 |
239.8 |
32.4% |
23.0 |
3.1% |
59% |
False |
False |
94,624 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
872.5 |
|
2.618 |
828.8 |
|
1.618 |
802.0 |
|
1.000 |
785.5 |
|
0.618 |
775.5 |
|
HIGH |
759.0 |
|
0.618 |
748.8 |
|
0.500 |
745.5 |
|
0.382 |
742.5 |
|
LOW |
732.3 |
|
0.618 |
715.8 |
|
1.000 |
705.5 |
|
1.618 |
689.0 |
|
2.618 |
662.3 |
|
4.250 |
618.8 |
|
|
| Fisher Pivots for day following 31-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
745.5 |
745.5 |
| PP |
743.5 |
743.5 |
| S1 |
741.5 |
741.5 |
|