ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 22-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Nov-2011 |
22-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
712.3 |
702.3 |
-10.0 |
-1.4% |
747.5 |
| High |
715.5 |
706.4 |
-9.1 |
-1.3% |
749.5 |
| Low |
694.4 |
691.2 |
-3.2 |
-0.5% |
713.1 |
| Close |
701.1 |
693.7 |
-7.4 |
-1.1% |
718.5 |
| Range |
21.1 |
15.2 |
-5.9 |
-28.0% |
36.4 |
| ATR |
24.6 |
23.9 |
-0.7 |
-2.7% |
0.0 |
| Volume |
156,796 |
133,436 |
-23,360 |
-14.9% |
761,513 |
|
| Daily Pivots for day following 22-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
742.8 |
733.5 |
702.0 |
|
| R3 |
727.5 |
718.3 |
698.0 |
|
| R2 |
712.3 |
712.3 |
696.5 |
|
| R1 |
703.0 |
703.0 |
695.0 |
700.0 |
| PP |
697.0 |
697.0 |
697.0 |
695.5 |
| S1 |
687.8 |
687.8 |
692.3 |
684.8 |
| S2 |
682.0 |
682.0 |
691.0 |
|
| S3 |
666.8 |
672.5 |
689.5 |
|
| S4 |
651.5 |
657.5 |
685.3 |
|
|
| Weekly Pivots for week ending 18-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
836.3 |
813.8 |
738.5 |
|
| R3 |
799.8 |
777.3 |
728.5 |
|
| R2 |
763.5 |
763.5 |
725.3 |
|
| R1 |
741.0 |
741.0 |
721.8 |
734.0 |
| PP |
727.0 |
727.0 |
727.0 |
723.5 |
| S1 |
704.5 |
704.5 |
715.3 |
697.5 |
| S2 |
690.8 |
690.8 |
711.8 |
|
| S3 |
654.3 |
668.3 |
708.5 |
|
| S4 |
617.8 |
631.8 |
698.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
747.5 |
691.2 |
56.3 |
8.1% |
19.0 |
2.8% |
4% |
False |
True |
154,725 |
| 10 |
753.2 |
691.2 |
62.0 |
8.9% |
22.8 |
3.3% |
4% |
False |
True |
154,168 |
| 20 |
768.4 |
691.2 |
77.2 |
11.1% |
24.0 |
3.5% |
3% |
False |
True |
163,971 |
| 40 |
768.4 |
597.1 |
171.3 |
24.7% |
26.0 |
3.7% |
56% |
False |
False |
175,527 |
| 60 |
768.4 |
597.1 |
171.3 |
24.7% |
25.5 |
3.7% |
56% |
False |
False |
169,210 |
| 80 |
790.0 |
597.1 |
192.9 |
27.8% |
26.5 |
3.8% |
50% |
False |
False |
126,941 |
| 100 |
854.2 |
597.1 |
257.1 |
37.1% |
22.0 |
3.2% |
38% |
False |
False |
101,556 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
771.0 |
|
2.618 |
746.3 |
|
1.618 |
731.0 |
|
1.000 |
721.5 |
|
0.618 |
715.8 |
|
HIGH |
706.5 |
|
0.618 |
700.5 |
|
0.500 |
698.8 |
|
0.382 |
697.0 |
|
LOW |
691.3 |
|
0.618 |
681.8 |
|
1.000 |
676.0 |
|
1.618 |
666.5 |
|
2.618 |
651.5 |
|
4.250 |
626.5 |
|
|
| Fisher Pivots for day following 22-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
698.8 |
710.5 |
| PP |
697.0 |
704.8 |
| S1 |
695.5 |
699.3 |
|