CME Euro FX (E) Future March 2011
| Trading Metrics calculated at close of trading on 27-Jan-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Jan-2011 |
27-Jan-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3672 |
1.3692 |
0.0020 |
0.1% |
1.3369 |
| High |
1.3714 |
1.3753 |
0.0039 |
0.3% |
1.3622 |
| Low |
1.3632 |
1.3629 |
-0.0003 |
0.0% |
1.3234 |
| Close |
1.3675 |
1.3722 |
0.0047 |
0.3% |
1.3591 |
| Range |
0.0082 |
0.0124 |
0.0042 |
51.2% |
0.0388 |
| ATR |
0.0152 |
0.0150 |
-0.0002 |
-1.3% |
0.0000 |
| Volume |
295,536 |
381,325 |
85,789 |
29.0% |
1,065,426 |
|
| Daily Pivots for day following 27-Jan-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4073 |
1.4022 |
1.3790 |
|
| R3 |
1.3949 |
1.3898 |
1.3756 |
|
| R2 |
1.3825 |
1.3825 |
1.3745 |
|
| R1 |
1.3774 |
1.3774 |
1.3733 |
1.3800 |
| PP |
1.3701 |
1.3701 |
1.3701 |
1.3714 |
| S1 |
1.3650 |
1.3650 |
1.3711 |
1.3676 |
| S2 |
1.3577 |
1.3577 |
1.3699 |
|
| S3 |
1.3453 |
1.3526 |
1.3688 |
|
| S4 |
1.3329 |
1.3402 |
1.3654 |
|
|
| Weekly Pivots for week ending 21-Jan-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4646 |
1.4507 |
1.3804 |
|
| R3 |
1.4258 |
1.4119 |
1.3698 |
|
| R2 |
1.3870 |
1.3870 |
1.3662 |
|
| R1 |
1.3731 |
1.3731 |
1.3627 |
1.3801 |
| PP |
1.3482 |
1.3482 |
1.3482 |
1.3517 |
| S1 |
1.3343 |
1.3343 |
1.3555 |
1.3413 |
| S2 |
1.3094 |
1.3094 |
1.3520 |
|
| S3 |
1.2706 |
1.2955 |
1.3484 |
|
| S4 |
1.2318 |
1.2567 |
1.3378 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3753 |
1.3442 |
0.0311 |
2.3% |
0.0133 |
1.0% |
90% |
True |
False |
336,747 |
| 10 |
1.3753 |
1.3084 |
0.0669 |
4.9% |
0.0163 |
1.2% |
95% |
True |
False |
328,676 |
| 20 |
1.3753 |
1.2870 |
0.0883 |
6.4% |
0.0151 |
1.1% |
96% |
True |
False |
316,777 |
| 40 |
1.3753 |
1.2870 |
0.0883 |
6.4% |
0.0152 |
1.1% |
96% |
True |
False |
244,032 |
| 60 |
1.4250 |
1.2870 |
0.1380 |
10.1% |
0.0162 |
1.2% |
62% |
False |
False |
163,250 |
| 80 |
1.4250 |
1.2870 |
0.1380 |
10.1% |
0.0162 |
1.2% |
62% |
False |
False |
122,558 |
| 100 |
1.4250 |
1.2650 |
0.1600 |
11.7% |
0.0155 |
1.1% |
67% |
False |
False |
98,113 |
| 120 |
1.4250 |
1.2642 |
0.1608 |
11.7% |
0.0132 |
1.0% |
67% |
False |
False |
81,762 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4280 |
|
2.618 |
1.4078 |
|
1.618 |
1.3954 |
|
1.000 |
1.3877 |
|
0.618 |
1.3830 |
|
HIGH |
1.3753 |
|
0.618 |
1.3706 |
|
0.500 |
1.3691 |
|
0.382 |
1.3676 |
|
LOW |
1.3629 |
|
0.618 |
1.3552 |
|
1.000 |
1.3505 |
|
1.618 |
1.3428 |
|
2.618 |
1.3304 |
|
4.250 |
1.3102 |
|
|
| Fisher Pivots for day following 27-Jan-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3712 |
1.3701 |
| PP |
1.3701 |
1.3680 |
| S1 |
1.3691 |
1.3660 |
|