CME Euro FX (E) Future March 2011
| Trading Metrics calculated at close of trading on 20-Jan-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Jan-2011 |
20-Jan-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3382 |
1.3455 |
0.0073 |
0.5% |
1.2893 |
| High |
1.3534 |
1.3518 |
-0.0016 |
-0.1% |
1.3453 |
| Low |
1.3362 |
1.3390 |
0.0028 |
0.2% |
1.2870 |
| Close |
1.3453 |
1.3466 |
0.0013 |
0.1% |
1.3353 |
| Range |
0.0172 |
0.0128 |
-0.0044 |
-25.6% |
0.0583 |
| ATR |
0.0161 |
0.0159 |
-0.0002 |
-1.5% |
0.0000 |
| Volume |
364,459 |
380,593 |
16,134 |
4.4% |
1,933,726 |
|
| Daily Pivots for day following 20-Jan-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3842 |
1.3782 |
1.3536 |
|
| R3 |
1.3714 |
1.3654 |
1.3501 |
|
| R2 |
1.3586 |
1.3586 |
1.3489 |
|
| R1 |
1.3526 |
1.3526 |
1.3478 |
1.3556 |
| PP |
1.3458 |
1.3458 |
1.3458 |
1.3473 |
| S1 |
1.3398 |
1.3398 |
1.3454 |
1.3428 |
| S2 |
1.3330 |
1.3330 |
1.3443 |
|
| S3 |
1.3202 |
1.3270 |
1.3431 |
|
| S4 |
1.3074 |
1.3142 |
1.3396 |
|
|
| 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 |
1.3534 |
1.3084 |
0.0450 |
3.3% |
0.0193 |
1.4% |
85% |
False |
False |
320,605 |
| 10 |
1.3534 |
1.2870 |
0.0664 |
4.9% |
0.0163 |
1.2% |
90% |
False |
False |
349,337 |
| 20 |
1.3534 |
1.2870 |
0.0664 |
4.9% |
0.0150 |
1.1% |
90% |
False |
False |
271,124 |
| 40 |
1.3604 |
1.2870 |
0.0734 |
5.5% |
0.0160 |
1.2% |
81% |
False |
False |
202,323 |
| 60 |
1.4250 |
1.2870 |
0.1380 |
10.2% |
0.0163 |
1.2% |
43% |
False |
False |
135,227 |
| 80 |
1.4250 |
1.2870 |
0.1380 |
10.2% |
0.0162 |
1.2% |
43% |
False |
False |
101,558 |
| 100 |
1.4250 |
1.2650 |
0.1600 |
11.9% |
0.0149 |
1.1% |
51% |
False |
False |
81,276 |
| 120 |
1.4250 |
1.2642 |
0.1608 |
11.9% |
0.0126 |
0.9% |
51% |
False |
False |
67,731 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4062 |
|
2.618 |
1.3853 |
|
1.618 |
1.3725 |
|
1.000 |
1.3646 |
|
0.618 |
1.3597 |
|
HIGH |
1.3518 |
|
0.618 |
1.3469 |
|
0.500 |
1.3454 |
|
0.382 |
1.3439 |
|
LOW |
1.3390 |
|
0.618 |
1.3311 |
|
1.000 |
1.3262 |
|
1.618 |
1.3183 |
|
2.618 |
1.3055 |
|
4.250 |
1.2846 |
|
|
| Fisher Pivots for day following 20-Jan-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3462 |
1.3439 |
| PP |
1.3458 |
1.3411 |
| S1 |
1.3454 |
1.3384 |
|