ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 01-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Nov-2011 |
01-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
692.0 |
735.5 |
43.5 |
6.3% |
712.3 |
| High |
737.5 |
740.7 |
3.2 |
0.4% |
715.5 |
| Low |
686.6 |
729.4 |
42.8 |
6.2% |
661.5 |
| Close |
736.7 |
731.7 |
-5.0 |
-0.7% |
664.0 |
| Range |
50.9 |
11.3 |
-39.6 |
-77.8% |
54.0 |
| ATR |
25.6 |
24.6 |
-1.0 |
-4.0% |
0.0 |
| Volume |
198,191 |
124,468 |
-73,723 |
-37.2% |
501,357 |
|
| Daily Pivots for day following 01-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
767.8 |
761.0 |
738.0 |
|
| R3 |
756.5 |
749.8 |
734.8 |
|
| R2 |
745.3 |
745.3 |
733.8 |
|
| R1 |
738.5 |
738.5 |
732.8 |
736.3 |
| PP |
734.0 |
734.0 |
734.0 |
732.8 |
| S1 |
727.3 |
727.3 |
730.8 |
725.0 |
| S2 |
722.8 |
722.8 |
729.8 |
|
| S3 |
711.3 |
715.8 |
728.5 |
|
| S4 |
700.0 |
704.5 |
725.5 |
|
|
| Weekly Pivots for week ending 25-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
842.3 |
807.3 |
693.8 |
|
| R3 |
788.3 |
753.3 |
678.8 |
|
| R2 |
734.3 |
734.3 |
674.0 |
|
| R1 |
699.3 |
699.3 |
669.0 |
689.8 |
| PP |
680.3 |
680.3 |
680.3 |
675.5 |
| S1 |
645.3 |
645.3 |
659.0 |
635.8 |
| S2 |
626.3 |
626.3 |
654.0 |
|
| S3 |
572.3 |
591.3 |
649.3 |
|
| S4 |
518.3 |
537.3 |
634.3 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
740.7 |
661.5 |
79.2 |
10.8% |
24.0 |
3.3% |
89% |
True |
False |
138,927 |
| 10 |
740.7 |
661.5 |
79.2 |
10.8% |
21.5 |
3.0% |
89% |
True |
False |
145,418 |
| 20 |
755.3 |
661.5 |
93.8 |
12.8% |
23.3 |
3.2% |
75% |
False |
False |
150,418 |
| 40 |
768.4 |
648.4 |
120.0 |
16.4% |
24.3 |
3.3% |
69% |
False |
False |
161,622 |
| 60 |
768.4 |
597.1 |
171.3 |
23.4% |
25.8 |
3.5% |
79% |
False |
False |
182,899 |
| 80 |
768.4 |
597.1 |
171.3 |
23.4% |
25.0 |
3.4% |
79% |
False |
False |
137,445 |
| 100 |
836.9 |
597.1 |
239.8 |
32.8% |
23.5 |
3.2% |
56% |
False |
False |
109,966 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
788.8 |
|
2.618 |
770.3 |
|
1.618 |
759.0 |
|
1.000 |
752.0 |
|
0.618 |
747.8 |
|
HIGH |
740.8 |
|
0.618 |
736.5 |
|
0.500 |
735.0 |
|
0.382 |
733.8 |
|
LOW |
729.5 |
|
0.618 |
722.5 |
|
1.000 |
718.0 |
|
1.618 |
711.0 |
|
2.618 |
699.8 |
|
4.250 |
681.5 |
|
|
| Fisher Pivots for day following 01-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
735.0 |
725.8 |
| PP |
734.0 |
719.8 |
| S1 |
732.8 |
713.8 |
|