ICE Russell 2000 Mini Future September 2009
| Trading Metrics calculated at close of trading on 27-Jul-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Jul-2009 |
27-Jul-2009 |
Change |
Change % |
Previous Week |
| Open |
539.1 |
547.8 |
8.7 |
1.6% |
518.5 |
| High |
548.6 |
552.2 |
3.6 |
0.7% |
548.6 |
| Low |
537.4 |
542.6 |
5.2 |
1.0% |
516.0 |
| Close |
547.8 |
549.5 |
1.7 |
0.3% |
547.8 |
| Range |
11.2 |
9.6 |
-1.6 |
-14.3% |
32.6 |
| ATR |
13.6 |
13.3 |
-0.3 |
-2.1% |
0.0 |
| Volume |
156,509 |
102,152 |
-54,357 |
-34.7% |
602,035 |
|
| Daily Pivots for day following 27-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
577.0 |
572.8 |
554.8 |
|
| R3 |
567.3 |
563.3 |
552.3 |
|
| R2 |
557.8 |
557.8 |
551.3 |
|
| R1 |
553.5 |
553.5 |
550.5 |
555.8 |
| PP |
548.0 |
548.0 |
548.0 |
549.0 |
| S1 |
544.0 |
544.0 |
548.5 |
546.0 |
| S2 |
538.5 |
538.5 |
547.8 |
|
| S3 |
529.0 |
534.5 |
546.8 |
|
| S4 |
519.3 |
524.8 |
544.3 |
|
|
| Weekly Pivots for week ending 24-Jul-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
635.3 |
624.3 |
565.8 |
|
| R3 |
602.8 |
591.5 |
556.8 |
|
| R2 |
570.0 |
570.0 |
553.8 |
|
| R1 |
559.0 |
559.0 |
550.8 |
564.5 |
| PP |
537.5 |
537.5 |
537.5 |
540.3 |
| S1 |
526.3 |
526.3 |
544.8 |
532.0 |
| S2 |
504.8 |
504.8 |
541.8 |
|
| S3 |
472.3 |
493.8 |
538.8 |
|
| S4 |
439.8 |
461.3 |
529.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
552.2 |
516.0 |
36.2 |
6.6% |
13.5 |
2.5% |
93% |
True |
False |
120,067 |
| 10 |
552.2 |
487.8 |
64.4 |
11.7% |
12.5 |
2.3% |
96% |
True |
False |
123,378 |
| 20 |
552.2 |
470.6 |
81.6 |
14.8% |
13.0 |
2.4% |
97% |
True |
False |
119,431 |
| 40 |
552.2 |
470.6 |
81.6 |
14.8% |
13.3 |
2.4% |
97% |
True |
False |
105,746 |
| 60 |
552.2 |
468.5 |
83.7 |
15.2% |
12.8 |
2.3% |
97% |
True |
False |
70,955 |
| 80 |
552.2 |
431.9 |
120.3 |
21.9% |
12.8 |
2.3% |
98% |
True |
False |
53,245 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
593.0 |
|
2.618 |
577.3 |
|
1.618 |
567.8 |
|
1.000 |
561.8 |
|
0.618 |
558.3 |
|
HIGH |
552.3 |
|
0.618 |
548.5 |
|
0.500 |
547.5 |
|
0.382 |
546.3 |
|
LOW |
542.5 |
|
0.618 |
536.8 |
|
1.000 |
533.0 |
|
1.618 |
527.0 |
|
2.618 |
517.5 |
|
4.250 |
501.8 |
|
|
| Fisher Pivots for day following 27-Jul-2009 |
| Pivot |
1 day |
3 day |
| R1 |
548.8 |
545.8 |
| PP |
548.0 |
542.0 |
| S1 |
547.5 |
538.3 |
|