CME Euro FX (E) Future September 2010
| Trading Metrics calculated at close of trading on 27-Aug-2010 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Aug-2010 |
27-Aug-2010 |
Change |
Change % |
Previous Week |
| Open |
1.2662 |
1.2714 |
0.0052 |
0.4% |
1.2708 |
| High |
1.2764 |
1.2780 |
0.0016 |
0.1% |
1.2780 |
| Low |
1.2650 |
1.2675 |
0.0025 |
0.2% |
1.2587 |
| Close |
1.2702 |
1.2731 |
0.0029 |
0.2% |
1.2731 |
| Range |
0.0114 |
0.0105 |
-0.0009 |
-7.9% |
0.0193 |
| ATR |
0.0138 |
0.0136 |
-0.0002 |
-1.7% |
0.0000 |
| Volume |
332,349 |
311,806 |
-20,543 |
-6.2% |
1,597,952 |
|
| Daily Pivots for day following 27-Aug-2010 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3044 |
1.2992 |
1.2789 |
|
| R3 |
1.2939 |
1.2887 |
1.2760 |
|
| R2 |
1.2834 |
1.2834 |
1.2750 |
|
| R1 |
1.2782 |
1.2782 |
1.2741 |
1.2808 |
| PP |
1.2729 |
1.2729 |
1.2729 |
1.2742 |
| S1 |
1.2677 |
1.2677 |
1.2721 |
1.2703 |
| S2 |
1.2624 |
1.2624 |
1.2712 |
|
| S3 |
1.2519 |
1.2572 |
1.2702 |
|
| S4 |
1.2414 |
1.2467 |
1.2673 |
|
|
| Weekly Pivots for week ending 27-Aug-2010 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3278 |
1.3198 |
1.2837 |
|
| R3 |
1.3085 |
1.3005 |
1.2784 |
|
| R2 |
1.2892 |
1.2892 |
1.2766 |
|
| R1 |
1.2812 |
1.2812 |
1.2749 |
1.2852 |
| PP |
1.2699 |
1.2699 |
1.2699 |
1.2720 |
| S1 |
1.2619 |
1.2619 |
1.2713 |
1.2659 |
| S2 |
1.2506 |
1.2506 |
1.2696 |
|
| S3 |
1.2313 |
1.2426 |
1.2678 |
|
| S4 |
1.2120 |
1.2233 |
1.2625 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2780 |
1.2587 |
0.0193 |
1.5% |
0.0111 |
0.9% |
75% |
True |
False |
319,590 |
| 10 |
1.2922 |
1.2587 |
0.0335 |
2.6% |
0.0121 |
1.0% |
43% |
False |
False |
305,906 |
| 20 |
1.3333 |
1.2587 |
0.0746 |
5.9% |
0.0138 |
1.1% |
19% |
False |
False |
276,422 |
| 40 |
1.3333 |
1.2483 |
0.0850 |
6.7% |
0.0139 |
1.1% |
29% |
False |
False |
280,949 |
| 60 |
1.3333 |
1.1884 |
0.1449 |
11.4% |
0.0144 |
1.1% |
58% |
False |
False |
264,480 |
| 80 |
1.3333 |
1.1884 |
0.1449 |
11.4% |
0.0162 |
1.3% |
58% |
False |
False |
199,739 |
| 100 |
1.3686 |
1.1884 |
0.1802 |
14.2% |
0.0155 |
1.2% |
47% |
False |
False |
160,050 |
| 120 |
1.3812 |
1.1884 |
0.1928 |
15.1% |
0.0148 |
1.2% |
44% |
False |
False |
133,448 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3226 |
|
2.618 |
1.3055 |
|
1.618 |
1.2950 |
|
1.000 |
1.2885 |
|
0.618 |
1.2845 |
|
HIGH |
1.2780 |
|
0.618 |
1.2740 |
|
0.500 |
1.2728 |
|
0.382 |
1.2715 |
|
LOW |
1.2675 |
|
0.618 |
1.2610 |
|
1.000 |
1.2570 |
|
1.618 |
1.2505 |
|
2.618 |
1.2400 |
|
4.250 |
1.2229 |
|
|
| Fisher Pivots for day following 27-Aug-2010 |
| Pivot |
1 day |
3 day |
| R1 |
1.2730 |
1.2719 |
| PP |
1.2729 |
1.2706 |
| S1 |
1.2728 |
1.2694 |
|