ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 23-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Nov-2011 |
23-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
702.3 |
693.6 |
-8.7 |
-1.2% |
747.5 |
| High |
706.4 |
693.6 |
-12.8 |
-1.8% |
749.5 |
| Low |
691.2 |
671.1 |
-20.1 |
-2.9% |
713.1 |
| Close |
693.7 |
671.9 |
-21.8 |
-3.1% |
718.5 |
| Range |
15.2 |
22.5 |
7.3 |
48.0% |
36.4 |
| ATR |
23.9 |
23.8 |
-0.1 |
-0.4% |
0.0 |
| Volume |
133,436 |
146,404 |
12,968 |
9.7% |
761,513 |
|
| Daily Pivots for day following 23-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
746.3 |
731.8 |
684.3 |
|
| R3 |
723.8 |
709.3 |
678.0 |
|
| R2 |
701.3 |
701.3 |
676.0 |
|
| R1 |
686.8 |
686.8 |
674.0 |
682.8 |
| PP |
678.8 |
678.8 |
678.8 |
677.0 |
| S1 |
664.3 |
664.3 |
669.8 |
660.3 |
| S2 |
656.3 |
656.3 |
667.8 |
|
| S3 |
633.8 |
641.8 |
665.8 |
|
| S4 |
611.3 |
619.3 |
659.5 |
|
|
| 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 |
734.7 |
671.1 |
63.6 |
9.5% |
19.3 |
2.9% |
1% |
False |
True |
151,909 |
| 10 |
749.5 |
671.1 |
78.4 |
11.7% |
21.3 |
3.2% |
1% |
False |
True |
148,186 |
| 20 |
768.4 |
671.1 |
97.3 |
14.5% |
24.0 |
3.6% |
1% |
False |
True |
162,215 |
| 40 |
768.4 |
597.1 |
171.3 |
25.5% |
25.5 |
3.8% |
44% |
False |
False |
174,122 |
| 60 |
768.4 |
597.1 |
171.3 |
25.5% |
25.8 |
3.8% |
44% |
False |
False |
171,647 |
| 80 |
770.2 |
597.1 |
173.1 |
25.8% |
26.5 |
3.9% |
43% |
False |
False |
128,771 |
| 100 |
854.2 |
597.1 |
257.1 |
38.3% |
22.3 |
3.3% |
29% |
False |
False |
103,020 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
789.3 |
|
2.618 |
752.5 |
|
1.618 |
730.0 |
|
1.000 |
716.0 |
|
0.618 |
707.5 |
|
HIGH |
693.5 |
|
0.618 |
685.0 |
|
0.500 |
682.3 |
|
0.382 |
679.8 |
|
LOW |
671.0 |
|
0.618 |
657.3 |
|
1.000 |
648.5 |
|
1.618 |
634.8 |
|
2.618 |
612.3 |
|
4.250 |
575.5 |
|
|
| Fisher Pivots for day following 23-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
682.3 |
693.3 |
| PP |
678.8 |
686.3 |
| S1 |
675.5 |
679.0 |
|