ICE Russell 2000 Mini Future September 2011
| Trading Metrics calculated at close of trading on 15-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Sep-2011 |
15-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
687.8 |
702.3 |
14.5 |
2.1% |
661.0 |
| High |
713.0 |
716.6 |
3.6 |
0.5% |
712.7 |
| Low |
675.9 |
697.4 |
21.5 |
3.2% |
657.7 |
| Close |
701.8 |
714.2 |
12.4 |
1.8% |
674.0 |
| Range |
37.1 |
19.2 |
-17.9 |
-48.2% |
55.0 |
| ATR |
29.2 |
28.5 |
-0.7 |
-2.4% |
0.0 |
| Volume |
75,400 |
36,092 |
-39,308 |
-52.1% |
703,569 |
|
| Daily Pivots for day following 15-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
767.0 |
759.8 |
724.8 |
|
| R3 |
747.8 |
740.5 |
719.5 |
|
| R2 |
728.5 |
728.5 |
717.8 |
|
| R1 |
721.5 |
721.5 |
716.0 |
725.0 |
| PP |
709.5 |
709.5 |
709.5 |
711.3 |
| S1 |
702.3 |
702.3 |
712.5 |
705.8 |
| S2 |
690.3 |
690.3 |
710.8 |
|
| S3 |
671.0 |
683.0 |
709.0 |
|
| S4 |
651.8 |
663.8 |
703.8 |
|
|
| Weekly Pivots for week ending 09-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
846.5 |
815.3 |
704.3 |
|
| R3 |
791.5 |
760.3 |
689.0 |
|
| R2 |
736.5 |
736.5 |
684.0 |
|
| R1 |
705.3 |
705.3 |
679.0 |
720.8 |
| PP |
681.5 |
681.5 |
681.5 |
689.3 |
| S1 |
650.3 |
650.3 |
669.0 |
665.8 |
| S2 |
626.5 |
626.5 |
664.0 |
|
| S3 |
571.5 |
595.3 |
659.0 |
|
| S4 |
516.5 |
540.3 |
643.8 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
716.6 |
657.0 |
59.6 |
8.3% |
28.8 |
4.0% |
96% |
True |
False |
107,361 |
| 10 |
735.1 |
657.0 |
78.1 |
10.9% |
27.8 |
3.9% |
73% |
False |
False |
148,807 |
| 20 |
738.0 |
644.3 |
93.7 |
13.1% |
28.8 |
4.0% |
75% |
False |
False |
175,118 |
| 40 |
843.4 |
623.7 |
219.7 |
30.8% |
29.8 |
4.2% |
41% |
False |
False |
209,500 |
| 60 |
860.0 |
623.7 |
236.3 |
33.1% |
25.0 |
3.5% |
38% |
False |
False |
189,250 |
| 80 |
860.0 |
623.7 |
236.3 |
33.1% |
22.5 |
3.1% |
38% |
False |
False |
163,330 |
| 100 |
863.0 |
623.7 |
239.3 |
33.5% |
19.8 |
2.8% |
38% |
False |
False |
130,678 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
798.3 |
|
2.618 |
766.8 |
|
1.618 |
747.8 |
|
1.000 |
735.8 |
|
0.618 |
728.5 |
|
HIGH |
716.5 |
|
0.618 |
709.3 |
|
0.500 |
707.0 |
|
0.382 |
704.8 |
|
LOW |
697.5 |
|
0.618 |
685.5 |
|
1.000 |
678.3 |
|
1.618 |
666.3 |
|
2.618 |
647.3 |
|
4.250 |
615.8 |
|
|
| Fisher Pivots for day following 15-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
711.8 |
707.3 |
| PP |
709.5 |
700.3 |
| S1 |
707.0 |
693.3 |
|