CME Euro FX (E) Future March 2011


Trading Metrics calculated at close of trading on 14-Jan-2011
Day Change Summary
Previous Current
13-Jan-2011 14-Jan-2011 Change Change % Previous Week
Open 1.3122 1.3345 0.0223 1.7% 1.2893
High 1.3379 1.3453 0.0074 0.6% 1.3453
Low 1.3084 1.3310 0.0226 1.7% 1.2870
Close 1.3343 1.3353 0.0010 0.1% 1.3353
Range 0.0295 0.0143 -0.0152 -51.5% 0.0583
ATR 0.0156 0.0156 -0.0001 -0.6% 0.0000
Volume 505,944 352,031 -153,913 -30.4% 1,933,726
Daily Pivots for day following 14-Jan-2011
Classic Woodie Camarilla DeMark
R4 1.3801 1.3720 1.3432
R3 1.3658 1.3577 1.3392
R2 1.3515 1.3515 1.3379
R1 1.3434 1.3434 1.3366 1.3475
PP 1.3372 1.3372 1.3372 1.3392
S1 1.3291 1.3291 1.3340 1.3332
S2 1.3229 1.3229 1.3327
S3 1.3086 1.3148 1.3314
S4 1.2943 1.3005 1.3274
Weekly Pivots for week ending 14-Jan-2011
Classic Woodie Camarilla DeMark
R4 1.4974 1.4747 1.3674
R3 1.4391 1.4164 1.3513
R2 1.3808 1.3808 1.3460
R1 1.3581 1.3581 1.3406 1.3695
PP 1.3225 1.3225 1.3225 1.3282
S1 1.2998 1.2998 1.3300 1.3112
S2 1.2642 1.2642 1.3246
S3 1.2059 1.2415 1.3193
S4 1.1476 1.1832 1.3032
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.3453 1.2870 0.0583 4.4% 0.0161 1.2% 83% True False 386,745
10 1.3453 1.2870 0.0583 4.4% 0.0159 1.2% 83% True False 364,211
20 1.3453 1.2870 0.0583 4.4% 0.0146 1.1% 83% True False 272,680
40 1.3767 1.2870 0.0897 6.7% 0.0158 1.2% 54% False False 183,774
60 1.4250 1.2870 0.1380 10.3% 0.0161 1.2% 35% False False 122,831
80 1.4250 1.2870 0.1380 10.3% 0.0160 1.2% 35% False False 92,262
100 1.4250 1.2650 0.1600 12.0% 0.0145 1.1% 44% False False 73,825
120 1.4250 1.2642 0.1608 12.0% 0.0122 0.9% 44% False False 61,522
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0032
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1.4061
2.618 1.3827
1.618 1.3684
1.000 1.3596
0.618 1.3541
HIGH 1.3453
0.618 1.3398
0.500 1.3382
0.382 1.3365
LOW 1.3310
0.618 1.3222
1.000 1.3167
1.618 1.3079
2.618 1.2936
4.250 1.2702
Fisher Pivots for day following 14-Jan-2011
Pivot 1 day 3 day
R1 1.3382 1.3304
PP 1.3372 1.3254
S1 1.3363 1.3205

These figures are updated between 7pm and 10pm EST after a trading day.

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