CME Euro FX (E) Future December 2010
| Trading Metrics calculated at close of trading on 27-Sep-2010 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Sep-2010 |
27-Sep-2010 |
Change |
Change % |
Previous Week |
| Open |
1.3312 |
1.3484 |
0.0172 |
1.3% |
1.3045 |
| High |
1.3494 |
1.3505 |
0.0011 |
0.1% |
1.3494 |
| Low |
1.3284 |
1.3422 |
0.0138 |
1.0% |
1.3025 |
| Close |
1.3467 |
1.3471 |
0.0004 |
0.0% |
1.3467 |
| Range |
0.0210 |
0.0083 |
-0.0127 |
-60.5% |
0.0469 |
| ATR |
0.0143 |
0.0138 |
-0.0004 |
-3.0% |
0.0000 |
| Volume |
300,083 |
207,159 |
-92,924 |
-31.0% |
1,614,737 |
|
| Daily Pivots for day following 27-Sep-2010 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3715 |
1.3676 |
1.3517 |
|
| R3 |
1.3632 |
1.3593 |
1.3494 |
|
| R2 |
1.3549 |
1.3549 |
1.3486 |
|
| R1 |
1.3510 |
1.3510 |
1.3479 |
1.3488 |
| PP |
1.3466 |
1.3466 |
1.3466 |
1.3455 |
| S1 |
1.3427 |
1.3427 |
1.3463 |
1.3405 |
| S2 |
1.3383 |
1.3383 |
1.3456 |
|
| S3 |
1.3300 |
1.3344 |
1.3448 |
|
| S4 |
1.3217 |
1.3261 |
1.3425 |
|
|
| Weekly Pivots for week ending 24-Sep-2010 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4736 |
1.4570 |
1.3725 |
|
| R3 |
1.4267 |
1.4101 |
1.3596 |
|
| R2 |
1.3798 |
1.3798 |
1.3553 |
|
| R1 |
1.3632 |
1.3632 |
1.3510 |
1.3715 |
| PP |
1.3329 |
1.3329 |
1.3329 |
1.3370 |
| S1 |
1.3163 |
1.3163 |
1.3424 |
1.3246 |
| S2 |
1.2860 |
1.2860 |
1.3381 |
|
| S3 |
1.2391 |
1.2694 |
1.3338 |
|
| S4 |
1.1922 |
1.2225 |
1.3209 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3505 |
1.3054 |
0.0451 |
3.3% |
0.0165 |
1.2% |
92% |
True |
False |
318,475 |
| 10 |
1.3505 |
1.2825 |
0.0680 |
5.0% |
0.0149 |
1.1% |
95% |
True |
False |
323,754 |
| 20 |
1.3505 |
1.2623 |
0.0882 |
6.5% |
0.0137 |
1.0% |
96% |
True |
False |
204,296 |
| 40 |
1.3505 |
1.2587 |
0.0918 |
6.8% |
0.0133 |
1.0% |
96% |
True |
False |
102,964 |
| 60 |
1.3505 |
1.2490 |
0.1015 |
7.5% |
0.0132 |
1.0% |
97% |
True |
False |
68,828 |
| 80 |
1.3505 |
1.1922 |
0.1583 |
11.8% |
0.0129 |
1.0% |
98% |
True |
False |
51,661 |
| 100 |
1.3505 |
1.1922 |
0.1583 |
11.8% |
0.0132 |
1.0% |
98% |
True |
False |
41,340 |
| 120 |
1.3625 |
1.1922 |
0.1703 |
12.6% |
0.0118 |
0.9% |
91% |
False |
False |
34,451 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3858 |
|
2.618 |
1.3722 |
|
1.618 |
1.3639 |
|
1.000 |
1.3588 |
|
0.618 |
1.3556 |
|
HIGH |
1.3505 |
|
0.618 |
1.3473 |
|
0.500 |
1.3464 |
|
0.382 |
1.3454 |
|
LOW |
1.3422 |
|
0.618 |
1.3371 |
|
1.000 |
1.3339 |
|
1.618 |
1.3288 |
|
2.618 |
1.3205 |
|
4.250 |
1.3069 |
|
|
| Fisher Pivots for day following 27-Sep-2010 |
| Pivot |
1 day |
3 day |
| R1 |
1.3469 |
1.3446 |
| PP |
1.3466 |
1.3420 |
| S1 |
1.3464 |
1.3395 |
|