ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 07-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
06-Sep-2011 |
07-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
661.0 |
681.2 |
20.2 |
3.1% |
690.9 |
| High |
682.4 |
709.3 |
26.9 |
3.9% |
738.0 |
| Low |
657.7 |
680.8 |
23.1 |
3.5% |
679.6 |
| Close |
679.0 |
708.3 |
29.3 |
4.3% |
680.6 |
| Range |
24.7 |
28.5 |
3.8 |
15.4% |
58.4 |
| ATR |
28.9 |
29.0 |
0.1 |
0.3% |
0.0 |
| Volume |
202,817 |
185,119 |
-17,698 |
-8.7% |
846,508 |
|
| Daily Pivots for day following 07-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
785.0 |
775.3 |
724.0 |
|
| R3 |
756.5 |
746.8 |
716.3 |
|
| R2 |
728.0 |
728.0 |
713.5 |
|
| R1 |
718.3 |
718.3 |
711.0 |
723.0 |
| PP |
699.5 |
699.5 |
699.5 |
702.0 |
| S1 |
689.8 |
689.8 |
705.8 |
694.5 |
| S2 |
671.0 |
671.0 |
703.0 |
|
| S3 |
642.5 |
661.3 |
700.5 |
|
| S4 |
614.0 |
632.8 |
692.5 |
|
|
| 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 |
11.3% |
26.5 |
3.7% |
63% |
False |
False |
187,976 |
| 10 |
738.0 |
657.7 |
80.3 |
11.3% |
27.8 |
3.9% |
63% |
False |
False |
183,655 |
| 20 |
738.0 |
644.3 |
93.7 |
13.2% |
29.5 |
4.2% |
68% |
False |
False |
210,983 |
| 40 |
843.9 |
623.7 |
220.2 |
31.1% |
28.0 |
4.0% |
38% |
False |
False |
214,321 |
| 60 |
860.0 |
623.7 |
236.3 |
33.4% |
24.0 |
3.4% |
36% |
False |
False |
196,361 |
| 80 |
860.0 |
623.7 |
236.3 |
33.4% |
21.0 |
3.0% |
36% |
False |
False |
154,229 |
| 100 |
863.0 |
623.7 |
239.3 |
33.8% |
18.3 |
2.6% |
35% |
False |
False |
123,391 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
830.5 |
|
2.618 |
784.0 |
|
1.618 |
755.5 |
|
1.000 |
737.8 |
|
0.618 |
727.0 |
|
HIGH |
709.3 |
|
0.618 |
698.5 |
|
0.500 |
695.0 |
|
0.382 |
691.8 |
|
LOW |
680.8 |
|
0.618 |
663.3 |
|
1.000 |
652.3 |
|
1.618 |
634.8 |
|
2.618 |
606.3 |
|
4.250 |
559.8 |
|
|
| Fisher Pivots for day following 07-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
704.0 |
700.0 |
| PP |
699.5 |
691.8 |
| S1 |
695.0 |
683.5 |
|