ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 02-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Sep-2011 |
02-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
726.2 |
707.5 |
-18.7 |
-2.6% |
690.9 |
| High |
735.1 |
709.4 |
-25.7 |
-3.5% |
738.0 |
| Low |
705.6 |
679.6 |
-26.0 |
-3.7% |
679.6 |
| Close |
708.9 |
680.6 |
-28.3 |
-4.0% |
680.6 |
| Range |
29.5 |
29.8 |
0.3 |
1.0% |
58.4 |
| ATR |
29.2 |
29.2 |
0.0 |
0.1% |
0.0 |
| Volume |
188,482 |
182,965 |
-5,517 |
-2.9% |
846,508 |
|
| Daily Pivots for day following 02-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
779.3 |
759.8 |
697.0 |
|
| R3 |
749.5 |
730.0 |
688.8 |
|
| R2 |
719.8 |
719.8 |
686.0 |
|
| R1 |
700.3 |
700.3 |
683.3 |
695.0 |
| PP |
689.8 |
689.8 |
689.8 |
687.3 |
| S1 |
670.3 |
670.3 |
677.8 |
665.3 |
| S2 |
660.0 |
660.0 |
675.3 |
|
| S3 |
630.3 |
640.5 |
672.5 |
|
| S4 |
600.5 |
610.8 |
664.3 |
|
|
| Weekly Pivots for week ending 02-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
874.5 |
836.0 |
712.8 |
|
| R3 |
816.3 |
777.5 |
696.8 |
|
| R2 |
757.8 |
757.8 |
691.3 |
|
| R1 |
719.3 |
719.3 |
686.0 |
709.3 |
| PP |
699.5 |
699.5 |
699.5 |
694.5 |
| S1 |
660.8 |
660.8 |
675.3 |
651.0 |
| S2 |
641.0 |
641.0 |
670.0 |
|
| S3 |
582.5 |
602.5 |
664.5 |
|
| S4 |
524.3 |
544.0 |
648.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
738.0 |
679.6 |
58.4 |
8.6% |
27.5 |
4.0% |
2% |
False |
True |
169,301 |
| 10 |
738.0 |
644.3 |
93.7 |
13.8% |
28.8 |
4.2% |
39% |
False |
False |
185,956 |
| 20 |
738.0 |
623.7 |
114.3 |
16.8% |
34.0 |
5.0% |
50% |
False |
False |
238,819 |
| 40 |
850.6 |
623.7 |
226.9 |
33.3% |
27.8 |
4.1% |
25% |
False |
False |
213,155 |
| 60 |
860.0 |
623.7 |
236.3 |
34.7% |
23.5 |
3.5% |
24% |
False |
False |
196,768 |
| 80 |
860.0 |
623.7 |
236.3 |
34.7% |
20.8 |
3.0% |
24% |
False |
False |
149,380 |
| 100 |
863.0 |
623.7 |
239.3 |
35.2% |
17.8 |
2.6% |
24% |
False |
False |
119,513 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
836.0 |
|
2.618 |
787.5 |
|
1.618 |
757.5 |
|
1.000 |
739.3 |
|
0.618 |
727.8 |
|
HIGH |
709.5 |
|
0.618 |
698.0 |
|
0.500 |
694.5 |
|
0.382 |
691.0 |
|
LOW |
679.5 |
|
0.618 |
661.3 |
|
1.000 |
649.8 |
|
1.618 |
631.5 |
|
2.618 |
601.5 |
|
4.250 |
553.0 |
|
|
| Fisher Pivots for day following 02-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
694.5 |
708.8 |
| PP |
689.8 |
699.5 |
| S1 |
685.3 |
690.0 |
|