ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 03-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Nov-2011 |
03-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
716.3 |
725.5 |
9.2 |
1.3% |
709.9 |
| High |
731.8 |
750.8 |
19.0 |
2.6% |
768.4 |
| Low |
715.0 |
715.1 |
0.1 |
0.0% |
703.7 |
| Close |
729.9 |
746.0 |
16.1 |
2.2% |
759.5 |
| Range |
16.8 |
35.7 |
18.9 |
112.5% |
64.7 |
| ATR |
26.5 |
27.1 |
0.7 |
2.5% |
0.0 |
| Volume |
158,853 |
178,606 |
19,753 |
12.4% |
872,444 |
|
| Daily Pivots for day following 03-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
844.5 |
831.0 |
765.8 |
|
| R3 |
808.8 |
795.3 |
755.8 |
|
| R2 |
773.0 |
773.0 |
752.5 |
|
| R1 |
759.5 |
759.5 |
749.3 |
766.3 |
| PP |
737.3 |
737.3 |
737.3 |
740.8 |
| S1 |
723.8 |
723.8 |
742.8 |
730.5 |
| S2 |
701.5 |
701.5 |
739.5 |
|
| S3 |
666.0 |
688.0 |
736.3 |
|
| S4 |
630.3 |
652.5 |
726.3 |
|
|
| 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 |
767.8 |
706.2 |
61.6 |
8.3% |
24.5 |
3.3% |
65% |
False |
False |
175,283 |
| 10 |
768.4 |
691.5 |
76.9 |
10.3% |
27.0 |
3.6% |
71% |
False |
False |
175,529 |
| 20 |
768.4 |
650.0 |
118.4 |
15.9% |
26.0 |
3.5% |
81% |
False |
False |
173,095 |
| 40 |
768.4 |
597.1 |
171.3 |
23.0% |
27.3 |
3.7% |
87% |
False |
False |
200,811 |
| 60 |
768.4 |
597.1 |
171.3 |
23.0% |
25.8 |
3.4% |
87% |
False |
False |
136,095 |
| 80 |
836.9 |
597.1 |
239.8 |
32.1% |
24.0 |
3.2% |
62% |
False |
False |
102,084 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
902.5 |
|
2.618 |
844.3 |
|
1.618 |
808.5 |
|
1.000 |
786.5 |
|
0.618 |
772.8 |
|
HIGH |
750.8 |
|
0.618 |
737.3 |
|
0.500 |
733.0 |
|
0.382 |
728.8 |
|
LOW |
715.0 |
|
0.618 |
693.0 |
|
1.000 |
679.5 |
|
1.618 |
657.3 |
|
2.618 |
621.8 |
|
4.250 |
563.5 |
|
|
| Fisher Pivots for day following 03-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
741.8 |
740.3 |
| PP |
737.3 |
734.3 |
| S1 |
733.0 |
728.5 |
|