ICE Russell 2000 Mini Future September 2012
| Trading Metrics calculated at close of trading on 11-Sep-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Sep-2012 |
11-Sep-2012 |
Change |
Change % |
Previous Week |
| Open |
842.1 |
836.6 |
-5.5 |
-0.7% |
814.2 |
| High |
844.5 |
845.6 |
1.1 |
0.1% |
843.9 |
| Low |
835.7 |
834.3 |
-1.4 |
-0.2% |
805.1 |
| Close |
837.3 |
839.5 |
2.2 |
0.3% |
842.9 |
| Range |
8.8 |
11.3 |
2.5 |
28.4% |
38.8 |
| ATR |
12.0 |
12.0 |
-0.1 |
-0.4% |
0.0 |
| Volume |
68,342 |
77,142 |
8,800 |
12.9% |
415,720 |
|
| Daily Pivots for day following 11-Sep-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
873.8 |
868.0 |
845.8 |
|
| R3 |
862.5 |
856.5 |
842.5 |
|
| R2 |
851.0 |
851.0 |
841.5 |
|
| R1 |
845.3 |
845.3 |
840.5 |
848.3 |
| PP |
839.8 |
839.8 |
839.8 |
841.3 |
| S1 |
834.0 |
834.0 |
838.5 |
837.0 |
| S2 |
828.5 |
828.5 |
837.5 |
|
| S3 |
817.3 |
822.8 |
836.5 |
|
| S4 |
806.0 |
811.5 |
833.3 |
|
|
| Weekly Pivots for week ending 07-Sep-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
947.0 |
933.8 |
864.3 |
|
| R3 |
908.3 |
895.0 |
853.5 |
|
| R2 |
869.5 |
869.5 |
850.0 |
|
| R1 |
856.3 |
856.3 |
846.5 |
862.8 |
| PP |
830.8 |
830.8 |
830.8 |
834.0 |
| S1 |
817.3 |
817.3 |
839.3 |
824.0 |
| S2 |
791.8 |
791.8 |
835.8 |
|
| S3 |
753.0 |
778.5 |
832.3 |
|
| S4 |
714.3 |
739.8 |
821.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
845.6 |
816.8 |
28.8 |
3.4% |
11.0 |
1.3% |
79% |
True |
False |
84,986 |
| 10 |
845.6 |
802.9 |
42.7 |
5.1% |
11.3 |
1.3% |
86% |
True |
False |
86,457 |
| 20 |
845.6 |
791.3 |
54.3 |
6.5% |
11.5 |
1.4% |
89% |
True |
False |
85,888 |
| 40 |
845.6 |
759.2 |
86.4 |
10.3% |
13.0 |
1.5% |
93% |
True |
False |
95,110 |
| 60 |
845.6 |
753.2 |
92.4 |
11.0% |
13.5 |
1.6% |
93% |
True |
False |
103,500 |
| 80 |
845.6 |
722.1 |
123.5 |
14.7% |
13.8 |
1.6% |
95% |
True |
False |
93,646 |
| 100 |
845.6 |
722.1 |
123.5 |
14.7% |
12.0 |
1.4% |
95% |
True |
False |
74,922 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
893.5 |
|
2.618 |
875.3 |
|
1.618 |
864.0 |
|
1.000 |
857.0 |
|
0.618 |
852.5 |
|
HIGH |
845.5 |
|
0.618 |
841.3 |
|
0.500 |
840.0 |
|
0.382 |
838.5 |
|
LOW |
834.3 |
|
0.618 |
827.3 |
|
1.000 |
823.0 |
|
1.618 |
816.0 |
|
2.618 |
804.8 |
|
4.250 |
786.3 |
|
|
| Fisher Pivots for day following 11-Sep-2012 |
| Pivot |
1 day |
3 day |
| R1 |
840.0 |
840.0 |
| PP |
839.8 |
839.8 |
| S1 |
839.8 |
839.8 |
|