ICE Russell 2000 Mini Future December 2011
| Trading Metrics calculated at close of trading on 21-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
18-Nov-2011 |
21-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
716.7 |
712.3 |
-4.4 |
-0.6% |
747.5 |
| High |
729.7 |
715.5 |
-14.2 |
-1.9% |
749.5 |
| Low |
713.1 |
694.4 |
-18.7 |
-2.6% |
713.1 |
| Close |
718.5 |
701.1 |
-17.4 |
-2.4% |
718.5 |
| Range |
16.6 |
21.1 |
4.5 |
27.1% |
36.4 |
| ATR |
24.6 |
24.6 |
0.0 |
-0.2% |
0.0 |
| Volume |
123,550 |
156,796 |
33,246 |
26.9% |
761,513 |
|
| Daily Pivots for day following 21-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
767.0 |
755.3 |
712.8 |
|
| R3 |
745.8 |
734.0 |
707.0 |
|
| R2 |
724.8 |
724.8 |
705.0 |
|
| R1 |
713.0 |
713.0 |
703.0 |
708.3 |
| PP |
703.8 |
703.8 |
703.8 |
701.3 |
| S1 |
691.8 |
691.8 |
699.3 |
687.3 |
| S2 |
682.5 |
682.5 |
697.3 |
|
| S3 |
661.5 |
670.8 |
695.3 |
|
| S4 |
640.3 |
649.8 |
689.5 |
|
|
| Weekly Pivots for week ending 18-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
836.3 |
813.8 |
738.5 |
|
| R3 |
799.8 |
777.3 |
728.5 |
|
| R2 |
763.5 |
763.5 |
725.3 |
|
| R1 |
741.0 |
741.0 |
721.8 |
734.0 |
| PP |
727.0 |
727.0 |
727.0 |
723.5 |
| S1 |
704.5 |
704.5 |
715.3 |
697.5 |
| S2 |
690.8 |
690.8 |
711.8 |
|
| S3 |
654.3 |
668.3 |
708.5 |
|
| S4 |
617.8 |
631.8 |
698.5 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
747.5 |
694.4 |
53.1 |
7.6% |
21.0 |
3.0% |
13% |
False |
True |
157,751 |
| 10 |
755.3 |
694.4 |
60.9 |
8.7% |
23.5 |
3.3% |
11% |
False |
True |
156,451 |
| 20 |
768.4 |
694.4 |
74.0 |
10.6% |
24.8 |
3.5% |
9% |
False |
True |
166,248 |
| 40 |
768.4 |
597.1 |
171.3 |
24.4% |
26.5 |
3.8% |
61% |
False |
False |
177,603 |
| 60 |
768.4 |
597.1 |
171.3 |
24.4% |
25.8 |
3.7% |
61% |
False |
False |
166,989 |
| 80 |
803.3 |
597.1 |
206.2 |
29.4% |
26.8 |
3.8% |
50% |
False |
False |
125,274 |
| 100 |
854.2 |
597.1 |
257.1 |
36.7% |
22.0 |
3.1% |
40% |
False |
False |
100,222 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
805.3 |
|
2.618 |
770.8 |
|
1.618 |
749.8 |
|
1.000 |
736.5 |
|
0.618 |
728.5 |
|
HIGH |
715.5 |
|
0.618 |
707.5 |
|
0.500 |
705.0 |
|
0.382 |
702.5 |
|
LOW |
694.5 |
|
0.618 |
681.3 |
|
1.000 |
673.3 |
|
1.618 |
660.3 |
|
2.618 |
639.3 |
|
4.250 |
604.8 |
|
|
| Fisher Pivots for day following 21-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
705.0 |
714.5 |
| PP |
703.8 |
710.0 |
| S1 |
702.5 |
705.5 |
|