CME Euro FX (E) Future March 2011
| Trading Metrics calculated at close of trading on 12-Jan-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Jan-2011 |
12-Jan-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2944 |
1.2972 |
0.0028 |
0.2% |
1.3344 |
| High |
1.2989 |
1.3142 |
0.0153 |
1.2% |
1.3431 |
| Low |
1.2899 |
1.2957 |
0.0058 |
0.4% |
1.2901 |
| Close |
1.2966 |
1.3128 |
0.0162 |
1.2% |
1.2929 |
| Range |
0.0090 |
0.0185 |
0.0095 |
105.6% |
0.0530 |
| ATR |
0.0143 |
0.0146 |
0.0003 |
2.1% |
0.0000 |
| Volume |
318,689 |
458,757 |
140,068 |
44.0% |
1,708,390 |
|
| Daily Pivots for day following 12-Jan-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3631 |
1.3564 |
1.3230 |
|
| R3 |
1.3446 |
1.3379 |
1.3179 |
|
| R2 |
1.3261 |
1.3261 |
1.3162 |
|
| R1 |
1.3194 |
1.3194 |
1.3145 |
1.3228 |
| PP |
1.3076 |
1.3076 |
1.3076 |
1.3092 |
| S1 |
1.3009 |
1.3009 |
1.3111 |
1.3043 |
| S2 |
1.2891 |
1.2891 |
1.3094 |
|
| S3 |
1.2706 |
1.2824 |
1.3077 |
|
| S4 |
1.2521 |
1.2639 |
1.3026 |
|
|
| Weekly Pivots for week ending 07-Jan-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4677 |
1.4333 |
1.3221 |
|
| R3 |
1.4147 |
1.3803 |
1.3075 |
|
| R2 |
1.3617 |
1.3617 |
1.3026 |
|
| R1 |
1.3273 |
1.3273 |
1.2978 |
1.3180 |
| PP |
1.3087 |
1.3087 |
1.3087 |
1.3041 |
| S1 |
1.2743 |
1.2743 |
1.2880 |
1.2650 |
| S2 |
1.2557 |
1.2557 |
1.2832 |
|
| S3 |
1.2027 |
1.2213 |
1.2783 |
|
| S4 |
1.1497 |
1.1683 |
1.2638 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3165 |
1.2870 |
0.0295 |
2.2% |
0.0132 |
1.0% |
87% |
False |
False |
378,069 |
| 10 |
1.3431 |
1.2870 |
0.0561 |
4.3% |
0.0139 |
1.1% |
46% |
False |
False |
304,879 |
| 20 |
1.3431 |
1.2870 |
0.0561 |
4.3% |
0.0137 |
1.0% |
46% |
False |
False |
259,997 |
| 40 |
1.3767 |
1.2870 |
0.0897 |
6.8% |
0.0155 |
1.2% |
29% |
False |
False |
162,453 |
| 60 |
1.4250 |
1.2870 |
0.1380 |
10.5% |
0.0163 |
1.2% |
19% |
False |
False |
108,554 |
| 80 |
1.4250 |
1.2870 |
0.1380 |
10.5% |
0.0160 |
1.2% |
19% |
False |
False |
81,543 |
| 100 |
1.4250 |
1.2642 |
0.1608 |
12.2% |
0.0140 |
1.1% |
30% |
False |
False |
65,246 |
| 120 |
1.4250 |
1.2642 |
0.1608 |
12.2% |
0.0119 |
0.9% |
30% |
False |
False |
54,373 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3928 |
|
2.618 |
1.3626 |
|
1.618 |
1.3441 |
|
1.000 |
1.3327 |
|
0.618 |
1.3256 |
|
HIGH |
1.3142 |
|
0.618 |
1.3071 |
|
0.500 |
1.3050 |
|
0.382 |
1.3028 |
|
LOW |
1.2957 |
|
0.618 |
1.2843 |
|
1.000 |
1.2772 |
|
1.618 |
1.2658 |
|
2.618 |
1.2473 |
|
4.250 |
1.2171 |
|
|
| Fisher Pivots for day following 12-Jan-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3102 |
1.3087 |
| PP |
1.3076 |
1.3047 |
| S1 |
1.3050 |
1.3006 |
|