ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 01-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-Oct-2011 |
01-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
753.5 |
734.7 |
-18.8 |
-2.5% |
709.9 |
| High |
758.9 |
738.2 |
-20.7 |
-2.7% |
768.4 |
| Low |
732.2 |
706.2 |
-26.0 |
-3.6% |
703.7 |
| Close |
739.3 |
718.3 |
-21.0 |
-2.8% |
759.5 |
| Range |
26.7 |
32.0 |
5.3 |
19.9% |
64.7 |
| ATR |
26.8 |
27.2 |
0.5 |
1.7% |
0.0 |
| Volume |
145,861 |
259,383 |
113,522 |
77.8% |
872,444 |
|
| Daily Pivots for day following 01-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
817.0 |
799.5 |
736.0 |
|
| R3 |
785.0 |
767.5 |
727.0 |
|
| R2 |
753.0 |
753.0 |
724.3 |
|
| R1 |
735.5 |
735.5 |
721.3 |
728.3 |
| PP |
721.0 |
721.0 |
721.0 |
717.3 |
| S1 |
703.5 |
703.5 |
715.3 |
696.3 |
| S2 |
689.0 |
689.0 |
712.5 |
|
| S3 |
657.0 |
671.5 |
709.5 |
|
| S4 |
625.0 |
639.5 |
700.8 |
|
|
| Weekly Pivots for week ending 28-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
938.0 |
913.5 |
795.0 |
|
| R3 |
873.3 |
848.8 |
777.3 |
|
| R2 |
808.5 |
808.5 |
771.3 |
|
| R1 |
784.0 |
784.0 |
765.5 |
796.3 |
| PP |
743.8 |
743.8 |
743.8 |
750.0 |
| S1 |
719.3 |
719.3 |
753.5 |
731.5 |
| S2 |
679.3 |
679.3 |
747.8 |
|
| S3 |
614.5 |
654.8 |
741.8 |
|
| S4 |
549.8 |
590.0 |
724.0 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
768.4 |
703.7 |
64.7 |
9.0% |
28.3 |
3.9% |
23% |
False |
False |
190,649 |
| 10 |
768.4 |
675.6 |
92.8 |
12.9% |
26.3 |
3.7% |
46% |
False |
False |
178,848 |
| 20 |
768.4 |
635.5 |
132.9 |
18.5% |
25.8 |
3.6% |
62% |
False |
False |
175,480 |
| 40 |
768.4 |
597.1 |
171.3 |
23.8% |
27.3 |
3.8% |
71% |
False |
False |
195,574 |
| 60 |
768.4 |
597.1 |
171.3 |
23.8% |
26.5 |
3.7% |
71% |
False |
False |
130,476 |
| 80 |
836.9 |
597.1 |
239.8 |
33.4% |
23.3 |
3.3% |
51% |
False |
False |
97,867 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
874.3 |
|
2.618 |
822.0 |
|
1.618 |
790.0 |
|
1.000 |
770.3 |
|
0.618 |
758.0 |
|
HIGH |
738.3 |
|
0.618 |
726.0 |
|
0.500 |
722.3 |
|
0.382 |
718.5 |
|
LOW |
706.3 |
|
0.618 |
686.5 |
|
1.000 |
674.3 |
|
1.618 |
654.5 |
|
2.618 |
622.5 |
|
4.250 |
570.3 |
|
|
| Fisher Pivots for day following 01-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
722.3 |
737.0 |
| PP |
721.0 |
730.8 |
| S1 |
719.5 |
724.5 |
|