ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 15-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Dec-2011 |
15-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
720.9 |
708.0 |
-12.9 |
-1.8% |
739.6 |
| High |
723.4 |
720.1 |
-3.3 |
-0.5% |
753.3 |
| Low |
705.0 |
703.0 |
-2.0 |
-0.3% |
716.7 |
| Close |
708.4 |
717.1 |
8.7 |
1.2% |
746.6 |
| Range |
18.4 |
17.1 |
-1.3 |
-7.1% |
36.6 |
| ATR |
24.1 |
23.6 |
-0.5 |
-2.1% |
0.0 |
| Volume |
65,516 |
37,177 |
-28,339 |
-43.3% |
757,228 |
|
| Daily Pivots for day following 15-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
764.8 |
758.0 |
726.5 |
|
| R3 |
747.5 |
741.0 |
721.8 |
|
| R2 |
730.5 |
730.5 |
720.3 |
|
| R1 |
723.8 |
723.8 |
718.8 |
727.3 |
| PP |
713.5 |
713.5 |
713.5 |
715.0 |
| S1 |
706.8 |
706.8 |
715.5 |
710.0 |
| S2 |
696.3 |
696.3 |
714.0 |
|
| S3 |
679.3 |
689.5 |
712.5 |
|
| S4 |
662.0 |
672.5 |
707.8 |
|
|
| Weekly Pivots for week ending 09-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
848.8 |
834.3 |
766.8 |
|
| R3 |
812.0 |
797.8 |
756.8 |
|
| R2 |
775.5 |
775.5 |
753.3 |
|
| R1 |
761.0 |
761.0 |
750.0 |
768.3 |
| PP |
738.8 |
738.8 |
738.8 |
742.5 |
| S1 |
724.5 |
724.5 |
743.3 |
731.8 |
| S2 |
702.3 |
702.3 |
740.0 |
|
| S3 |
665.8 |
687.8 |
736.5 |
|
| S4 |
629.0 |
651.3 |
726.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
748.9 |
703.0 |
45.9 |
6.4% |
24.0 |
3.4% |
31% |
False |
True |
103,391 |
| 10 |
753.3 |
703.0 |
50.3 |
7.0% |
22.3 |
3.1% |
28% |
False |
True |
129,020 |
| 20 |
753.3 |
661.5 |
91.8 |
12.8% |
22.0 |
3.1% |
61% |
False |
False |
137,219 |
| 40 |
768.4 |
661.5 |
106.9 |
14.9% |
23.8 |
3.3% |
52% |
False |
False |
152,064 |
| 60 |
768.4 |
597.1 |
171.3 |
23.9% |
25.3 |
3.5% |
70% |
False |
False |
168,476 |
| 80 |
768.4 |
597.1 |
171.3 |
23.9% |
24.8 |
3.5% |
70% |
False |
False |
153,563 |
| 100 |
812.2 |
597.1 |
215.1 |
30.0% |
25.5 |
3.6% |
56% |
False |
False |
122,866 |
| 120 |
854.2 |
597.1 |
257.1 |
35.9% |
21.5 |
3.0% |
47% |
False |
False |
102,391 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
792.8 |
|
2.618 |
764.8 |
|
1.618 |
747.8 |
|
1.000 |
737.3 |
|
0.618 |
730.8 |
|
HIGH |
720.0 |
|
0.618 |
713.5 |
|
0.500 |
711.5 |
|
0.382 |
709.5 |
|
LOW |
703.0 |
|
0.618 |
692.5 |
|
1.000 |
686.0 |
|
1.618 |
675.3 |
|
2.618 |
658.3 |
|
4.250 |
630.3 |
|
|
| Fisher Pivots for day following 15-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
715.3 |
723.3 |
| PP |
713.5 |
721.3 |
| S1 |
711.5 |
719.3 |
|