ICE Russell 2000 Mini Future December 2011


Trading Metrics calculated at close of trading on 03-Oct-2011
Day Change Summary
Previous Current
30-Sep-2011 03-Oct-2011 Change Change % Previous Week
Open 662.0 641.0 -21.0 -3.2% 657.7
High 662.8 647.2 -15.6 -2.4% 692.1
Low 638.1 601.8 -36.3 -5.7% 637.5
Close 641.5 603.9 -37.6 -5.9% 641.5
Range 24.7 45.4 20.7 83.8% 54.6
ATR 26.6 27.9 1.3 5.0% 0.0
Volume 190,917 264,778 73,861 38.7% 1,001,277
Daily Pivots for day following 03-Oct-2011
Classic Woodie Camarilla DeMark
R4 753.8 724.3 628.8
R3 708.5 678.8 616.5
R2 663.0 663.0 612.3
R1 633.5 633.5 608.0 625.5
PP 617.8 617.8 617.8 613.8
S1 588.0 588.0 599.8 580.3
S2 572.3 572.3 595.5
S3 526.8 542.8 591.5
S4 481.5 497.3 579.0
Weekly Pivots for week ending 30-Sep-2011
Classic Woodie Camarilla DeMark
R4 820.8 785.8 671.5
R3 766.3 731.3 656.5
R2 711.8 711.8 651.5
R1 676.5 676.5 646.5 666.8
PP 657.0 657.0 657.0 652.3
S1 622.0 622.0 636.5 612.3
S2 602.5 602.5 631.5
S3 547.8 567.3 626.5
S4 493.3 512.8 611.5
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 692.1 601.8 90.3 15.0% 33.3 5.5% 2% False True 214,791
10 708.3 601.8 106.5 17.6% 30.5 5.0% 2% False True 219,146
20 715.9 601.8 114.1 18.9% 27.5 4.5% 2% False True 199,375
40 733.0 601.8 131.2 21.7% 27.3 4.5% 2% False True 99,785
60 836.9 601.8 235.1 38.9% 21.8 3.6% 1% False True 66,532
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.1
Widest range in 36 trading days
Fibonacci Retracements and Extensions
4.250 840.3
2.618 766.0
1.618 720.8
1.000 692.5
0.618 675.3
HIGH 647.3
0.618 629.8
0.500 624.5
0.382 619.3
LOW 601.8
0.618 573.8
1.000 556.5
1.618 528.3
2.618 483.0
4.250 408.8
Fisher Pivots for day following 03-Oct-2011
Pivot 1 day 3 day
R1 624.5 634.8
PP 617.8 624.5
S1 610.8 614.3

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These figures are updated between 7pm and 10pm EST after a trading day.

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