CME Euro FX Future March 2007
| Trading Metrics calculated at close of trading on 27-Dec-2006 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Dec-2006 |
27-Dec-2006 |
Change |
Change % |
Previous Week |
| Open |
1.3184 |
1.3205 |
0.0021 |
0.2% |
1.3148 |
| High |
1.3188 |
1.3209 |
0.0021 |
0.2% |
1.3272 |
| Low |
1.3141 |
1.3167 |
0.0026 |
0.2% |
1.3105 |
| Close |
1.3149 |
1.3171 |
0.0022 |
0.2% |
1.3168 |
| Range |
0.0047 |
0.0042 |
-0.0005 |
-10.6% |
0.0167 |
| ATR |
0.0074 |
0.0073 |
-0.0001 |
-1.4% |
0.0000 |
| Volume |
150,600 |
28,377 |
-122,223 |
-81.2% |
1,011,304 |
|
| Daily Pivots for day following 27-Dec-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3308 |
1.3282 |
1.3194 |
|
| R3 |
1.3266 |
1.3240 |
1.3183 |
|
| R2 |
1.3224 |
1.3224 |
1.3179 |
|
| R1 |
1.3198 |
1.3198 |
1.3175 |
1.3190 |
| PP |
1.3182 |
1.3182 |
1.3182 |
1.3179 |
| S1 |
1.3156 |
1.3156 |
1.3167 |
1.3148 |
| S2 |
1.3140 |
1.3140 |
1.3163 |
|
| S3 |
1.3098 |
1.3114 |
1.3159 |
|
| S4 |
1.3056 |
1.3072 |
1.3148 |
|
|
| Weekly Pivots for week ending 22-Dec-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3683 |
1.3592 |
1.3260 |
|
| R3 |
1.3516 |
1.3425 |
1.3214 |
|
| R2 |
1.3349 |
1.3349 |
1.3199 |
|
| R1 |
1.3258 |
1.3258 |
1.3183 |
1.3304 |
| PP |
1.3182 |
1.3182 |
1.3182 |
1.3204 |
| S1 |
1.3091 |
1.3091 |
1.3153 |
1.3137 |
| S2 |
1.3015 |
1.3015 |
1.3137 |
|
| S3 |
1.2848 |
1.2924 |
1.3122 |
|
| S4 |
1.2681 |
1.2757 |
1.3076 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3272 |
1.3141 |
0.0131 |
1.0% |
0.0060 |
0.5% |
23% |
False |
False |
150,626 |
| 10 |
1.3326 |
1.3105 |
0.0221 |
1.7% |
0.0071 |
0.5% |
30% |
False |
False |
167,018 |
| 20 |
1.3421 |
1.3105 |
0.0316 |
2.4% |
0.0072 |
0.5% |
21% |
False |
False |
93,450 |
| 40 |
1.3421 |
1.2759 |
0.0662 |
5.0% |
0.0055 |
0.4% |
62% |
False |
False |
47,235 |
| 60 |
1.3421 |
1.2585 |
0.0836 |
6.3% |
0.0043 |
0.3% |
70% |
False |
False |
31,629 |
| 80 |
1.3421 |
1.2585 |
0.0836 |
6.3% |
0.0035 |
0.3% |
70% |
False |
False |
23,756 |
| 100 |
1.3421 |
1.2585 |
0.0836 |
6.3% |
0.0029 |
0.2% |
70% |
False |
False |
19,005 |
| 120 |
1.3421 |
1.2585 |
0.0836 |
6.3% |
0.0026 |
0.2% |
70% |
False |
False |
15,839 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3388 |
|
2.618 |
1.3319 |
|
1.618 |
1.3277 |
|
1.000 |
1.3251 |
|
0.618 |
1.3235 |
|
HIGH |
1.3209 |
|
0.618 |
1.3193 |
|
0.500 |
1.3188 |
|
0.382 |
1.3183 |
|
LOW |
1.3167 |
|
0.618 |
1.3141 |
|
1.000 |
1.3125 |
|
1.618 |
1.3099 |
|
2.618 |
1.3057 |
|
4.250 |
1.2989 |
|
|
| Fisher Pivots for day following 27-Dec-2006 |
| Pivot |
1 day |
3 day |
| R1 |
1.3188 |
1.3201 |
| PP |
1.3182 |
1.3191 |
| S1 |
1.3177 |
1.3181 |
|