ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 06-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Sep-2011 |
06-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
707.5 |
661.0 |
-46.5 |
-6.6% |
690.9 |
| High |
709.4 |
682.4 |
-27.0 |
-3.8% |
738.0 |
| Low |
679.6 |
657.7 |
-21.9 |
-3.2% |
679.6 |
| Close |
680.6 |
679.0 |
-1.6 |
-0.2% |
680.6 |
| Range |
29.8 |
24.7 |
-5.1 |
-17.1% |
58.4 |
| ATR |
29.2 |
28.9 |
-0.3 |
-1.1% |
0.0 |
| Volume |
182,965 |
202,817 |
19,852 |
10.9% |
846,508 |
|
| Daily Pivots for day following 06-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
747.3 |
737.8 |
692.5 |
|
| R3 |
722.5 |
713.0 |
685.8 |
|
| R2 |
697.8 |
697.8 |
683.5 |
|
| R1 |
688.3 |
688.3 |
681.3 |
693.0 |
| PP |
673.0 |
673.0 |
673.0 |
675.5 |
| S1 |
663.8 |
663.8 |
676.8 |
668.3 |
| S2 |
648.3 |
648.3 |
674.5 |
|
| S3 |
623.8 |
639.0 |
672.3 |
|
| S4 |
599.0 |
614.3 |
665.5 |
|
|
| 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 |
657.7 |
80.3 |
11.8% |
25.0 |
3.7% |
27% |
False |
True |
183,405 |
| 10 |
738.0 |
646.8 |
91.2 |
13.4% |
28.5 |
4.2% |
35% |
False |
False |
186,979 |
| 20 |
738.0 |
623.7 |
114.3 |
16.8% |
32.0 |
4.7% |
48% |
False |
False |
225,258 |
| 40 |
843.9 |
623.7 |
220.2 |
32.4% |
27.8 |
4.1% |
25% |
False |
False |
214,188 |
| 60 |
860.0 |
623.7 |
236.3 |
34.8% |
23.8 |
3.5% |
23% |
False |
False |
197,150 |
| 80 |
860.0 |
623.7 |
236.3 |
34.8% |
20.8 |
3.1% |
23% |
False |
False |
151,915 |
| 100 |
863.0 |
623.7 |
239.3 |
35.2% |
18.0 |
2.7% |
23% |
False |
False |
121,540 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
787.5 |
|
2.618 |
747.0 |
|
1.618 |
722.3 |
|
1.000 |
707.0 |
|
0.618 |
697.8 |
|
HIGH |
682.5 |
|
0.618 |
673.0 |
|
0.500 |
670.0 |
|
0.382 |
667.3 |
|
LOW |
657.8 |
|
0.618 |
642.5 |
|
1.000 |
633.0 |
|
1.618 |
617.8 |
|
2.618 |
593.0 |
|
4.250 |
552.8 |
|
|
| Fisher Pivots for day following 06-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
676.0 |
696.5 |
| PP |
673.0 |
690.5 |
| S1 |
670.0 |
684.8 |
|