ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 08-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
07-Sep-2011 |
08-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
681.2 |
710.8 |
29.6 |
4.3% |
690.9 |
| High |
709.3 |
712.7 |
3.4 |
0.5% |
738.0 |
| Low |
680.8 |
690.4 |
9.6 |
1.4% |
679.6 |
| Close |
708.3 |
696.1 |
-12.2 |
-1.7% |
680.6 |
| Range |
28.5 |
22.3 |
-6.2 |
-21.8% |
58.4 |
| ATR |
29.0 |
28.5 |
-0.5 |
-1.7% |
0.0 |
| Volume |
185,119 |
191,881 |
6,762 |
3.7% |
846,508 |
|
| Daily Pivots for day following 08-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
766.8 |
753.8 |
708.3 |
|
| R3 |
744.3 |
731.3 |
702.3 |
|
| R2 |
722.0 |
722.0 |
700.3 |
|
| R1 |
709.0 |
709.0 |
698.3 |
704.5 |
| PP |
699.8 |
699.8 |
699.8 |
697.5 |
| S1 |
686.8 |
686.8 |
694.0 |
682.0 |
| S2 |
677.5 |
677.5 |
692.0 |
|
| S3 |
655.3 |
664.5 |
690.0 |
|
| S4 |
632.8 |
642.3 |
683.8 |
|
|
| 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 |
735.1 |
657.7 |
77.4 |
11.1% |
27.0 |
3.9% |
50% |
False |
False |
190,252 |
| 10 |
738.0 |
657.7 |
80.3 |
11.5% |
27.8 |
4.0% |
48% |
False |
False |
185,278 |
| 20 |
738.0 |
644.3 |
93.7 |
13.5% |
28.8 |
4.1% |
55% |
False |
False |
200,313 |
| 40 |
843.4 |
623.7 |
219.7 |
31.6% |
28.3 |
4.0% |
33% |
False |
False |
214,979 |
| 60 |
860.0 |
623.7 |
236.3 |
33.9% |
24.0 |
3.5% |
31% |
False |
False |
195,671 |
| 80 |
860.0 |
623.7 |
236.3 |
33.9% |
21.3 |
3.0% |
31% |
False |
False |
156,627 |
| 100 |
863.0 |
623.7 |
239.3 |
34.4% |
18.5 |
2.6% |
30% |
False |
False |
125,310 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
807.5 |
|
2.618 |
771.0 |
|
1.618 |
748.8 |
|
1.000 |
735.0 |
|
0.618 |
726.5 |
|
HIGH |
712.8 |
|
0.618 |
704.3 |
|
0.500 |
701.5 |
|
0.382 |
699.0 |
|
LOW |
690.5 |
|
0.618 |
676.5 |
|
1.000 |
668.0 |
|
1.618 |
654.3 |
|
2.618 |
632.0 |
|
4.250 |
595.5 |
|
|
| Fisher Pivots for day following 08-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
701.5 |
692.5 |
| PP |
699.8 |
688.8 |
| S1 |
698.0 |
685.3 |
|