ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 16-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Nov-2011 |
16-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
734.1 |
738.9 |
4.8 |
0.7% |
747.2 |
| High |
745.2 |
747.5 |
2.3 |
0.3% |
755.3 |
| Low |
720.0 |
725.5 |
5.5 |
0.8% |
710.2 |
| Close |
739.3 |
727.4 |
-11.9 |
-1.6% |
742.7 |
| Range |
25.2 |
22.0 |
-3.2 |
-12.7% |
45.1 |
| ATR |
25.9 |
25.6 |
-0.3 |
-1.1% |
0.0 |
| Volume |
148,567 |
160,484 |
11,917 |
8.0% |
795,351 |
|
| Daily Pivots for day following 16-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
799.5 |
785.5 |
739.5 |
|
| R3 |
777.5 |
763.5 |
733.5 |
|
| R2 |
755.5 |
755.5 |
731.5 |
|
| R1 |
741.5 |
741.5 |
729.5 |
737.5 |
| PP |
733.5 |
733.5 |
733.5 |
731.5 |
| S1 |
719.5 |
719.5 |
725.5 |
715.5 |
| S2 |
711.5 |
711.5 |
723.3 |
|
| S3 |
689.5 |
697.5 |
721.3 |
|
| S4 |
667.5 |
675.5 |
715.3 |
|
|
| Weekly Pivots for week ending 11-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
871.3 |
852.3 |
767.5 |
|
| R3 |
826.3 |
807.0 |
755.0 |
|
| R2 |
781.3 |
781.3 |
751.0 |
|
| R1 |
762.0 |
762.0 |
746.8 |
749.0 |
| PP |
736.0 |
736.0 |
736.0 |
729.5 |
| S1 |
716.8 |
716.8 |
738.5 |
704.0 |
| S2 |
691.0 |
691.0 |
734.5 |
|
| S3 |
645.8 |
671.8 |
730.3 |
|
| S4 |
600.8 |
626.8 |
718.0 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
749.5 |
710.2 |
39.3 |
5.4% |
23.0 |
3.2% |
44% |
False |
False |
144,464 |
| 10 |
755.3 |
710.2 |
45.1 |
6.2% |
25.0 |
3.4% |
38% |
False |
False |
155,419 |
| 20 |
768.4 |
675.6 |
92.8 |
12.8% |
25.5 |
3.5% |
56% |
False |
False |
166,909 |
| 40 |
768.4 |
597.1 |
171.3 |
23.5% |
27.0 |
3.7% |
76% |
False |
False |
184,105 |
| 60 |
768.4 |
597.1 |
171.3 |
23.5% |
25.8 |
3.6% |
76% |
False |
False |
159,010 |
| 80 |
812.2 |
597.1 |
215.1 |
29.6% |
26.5 |
3.6% |
61% |
False |
False |
119,278 |
| 100 |
854.2 |
597.1 |
257.1 |
35.3% |
21.5 |
2.9% |
51% |
False |
False |
95,425 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
841.0 |
|
2.618 |
805.0 |
|
1.618 |
783.0 |
|
1.000 |
769.5 |
|
0.618 |
761.0 |
|
HIGH |
747.5 |
|
0.618 |
739.0 |
|
0.500 |
736.5 |
|
0.382 |
734.0 |
|
LOW |
725.5 |
|
0.618 |
712.0 |
|
1.000 |
703.5 |
|
1.618 |
690.0 |
|
2.618 |
668.0 |
|
4.250 |
632.0 |
|
|
| Fisher Pivots for day following 16-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
736.5 |
734.8 |
| PP |
733.5 |
732.3 |
| S1 |
730.5 |
729.8 |
|