ICE Russell 2000 Mini Future March 2012
| Trading Metrics calculated at close of trading on 20-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Dec-2011 |
20-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
720.5 |
707.5 |
-13.0 |
-1.8% |
741.7 |
| High |
727.3 |
735.3 |
8.0 |
1.1% |
743.7 |
| Low |
702.4 |
706.7 |
4.3 |
0.6% |
698.1 |
| Close |
703.5 |
734.3 |
30.8 |
4.4% |
718.4 |
| Range |
24.9 |
28.6 |
3.7 |
14.9% |
45.6 |
| ATR |
19.7 |
20.5 |
0.9 |
4.4% |
0.0 |
| Volume |
126,694 |
152,558 |
25,864 |
20.4% |
1,023,303 |
|
| Daily Pivots for day following 20-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
811.3 |
801.3 |
750.0 |
|
| R3 |
782.8 |
772.8 |
742.3 |
|
| R2 |
754.0 |
754.0 |
739.5 |
|
| R1 |
744.3 |
744.3 |
737.0 |
749.0 |
| PP |
725.5 |
725.5 |
725.5 |
728.0 |
| S1 |
715.5 |
715.5 |
731.8 |
720.5 |
| S2 |
696.8 |
696.8 |
729.0 |
|
| S3 |
668.3 |
687.0 |
726.5 |
|
| S4 |
639.8 |
658.3 |
718.5 |
|
|
| Weekly Pivots for week ending 16-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
856.8 |
833.3 |
743.5 |
|
| R3 |
811.3 |
787.8 |
731.0 |
|
| R2 |
765.8 |
765.8 |
726.8 |
|
| R1 |
742.0 |
742.0 |
722.5 |
731.0 |
| PP |
720.0 |
720.0 |
720.0 |
714.5 |
| S1 |
696.5 |
696.5 |
714.3 |
685.5 |
| S2 |
674.5 |
674.5 |
710.0 |
|
| S3 |
628.8 |
650.8 |
705.8 |
|
| S4 |
583.3 |
605.3 |
693.3 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
735.3 |
698.1 |
37.2 |
5.1% |
21.3 |
2.9% |
97% |
True |
False |
152,143 |
| 10 |
749.5 |
698.1 |
51.4 |
7.0% |
24.8 |
3.4% |
70% |
False |
False |
159,090 |
| 20 |
749.5 |
669.1 |
80.4 |
10.9% |
19.8 |
2.7% |
81% |
False |
False |
80,523 |
| 40 |
765.1 |
669.1 |
96.0 |
13.1% |
15.3 |
2.1% |
68% |
False |
False |
40,332 |
| 60 |
765.1 |
599.4 |
165.7 |
22.6% |
10.8 |
1.5% |
81% |
False |
False |
26,891 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
856.8 |
|
2.618 |
810.3 |
|
1.618 |
781.5 |
|
1.000 |
764.0 |
|
0.618 |
753.0 |
|
HIGH |
735.3 |
|
0.618 |
724.3 |
|
0.500 |
721.0 |
|
0.382 |
717.8 |
|
LOW |
706.8 |
|
0.618 |
689.0 |
|
1.000 |
678.0 |
|
1.618 |
660.5 |
|
2.618 |
631.8 |
|
4.250 |
585.3 |
|
|
| Fisher Pivots for day following 20-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
729.8 |
729.3 |
| PP |
725.5 |
724.0 |
| S1 |
721.0 |
718.8 |
|