CME Euro FX (E) Future June 2011
| Trading Metrics calculated at close of trading on 15-Mar-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Mar-2011 |
15-Mar-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3948 |
1.3969 |
0.0021 |
0.2% |
1.3971 |
| High |
1.3984 |
1.3995 |
0.0011 |
0.1% |
1.4014 |
| Low |
1.3886 |
1.3836 |
-0.0050 |
-0.4% |
1.3733 |
| Close |
1.3973 |
1.3978 |
0.0005 |
0.0% |
1.3869 |
| Range |
0.0098 |
0.0159 |
0.0061 |
62.2% |
0.0281 |
| ATR |
0.0123 |
0.0126 |
0.0003 |
2.1% |
0.0000 |
| Volume |
271,947 |
376,811 |
104,864 |
38.6% |
705,022 |
|
| Daily Pivots for day following 15-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4413 |
1.4355 |
1.4065 |
|
| R3 |
1.4254 |
1.4196 |
1.4022 |
|
| R2 |
1.4095 |
1.4095 |
1.4007 |
|
| R1 |
1.4037 |
1.4037 |
1.3993 |
1.4066 |
| PP |
1.3936 |
1.3936 |
1.3936 |
1.3951 |
| S1 |
1.3878 |
1.3878 |
1.3963 |
1.3907 |
| S2 |
1.3777 |
1.3777 |
1.3949 |
|
| S3 |
1.3618 |
1.3719 |
1.3934 |
|
| S4 |
1.3459 |
1.3560 |
1.3891 |
|
|
| Weekly Pivots for week ending 11-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4715 |
1.4573 |
1.4024 |
|
| R3 |
1.4434 |
1.4292 |
1.3946 |
|
| R2 |
1.4153 |
1.4153 |
1.3921 |
|
| R1 |
1.4011 |
1.4011 |
1.3895 |
1.3942 |
| PP |
1.3872 |
1.3872 |
1.3872 |
1.3837 |
| S1 |
1.3730 |
1.3730 |
1.3843 |
1.3661 |
| S2 |
1.3591 |
1.3591 |
1.3817 |
|
| S3 |
1.3310 |
1.3449 |
1.3792 |
|
| S4 |
1.3029 |
1.3168 |
1.3714 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3995 |
1.3733 |
0.0262 |
1.9% |
0.0131 |
0.9% |
94% |
True |
False |
251,956 |
| 10 |
1.4014 |
1.3729 |
0.0285 |
2.0% |
0.0121 |
0.9% |
87% |
False |
False |
138,809 |
| 20 |
1.4014 |
1.3441 |
0.0573 |
4.1% |
0.0121 |
0.9% |
94% |
False |
False |
70,296 |
| 40 |
1.4014 |
1.3217 |
0.0797 |
5.7% |
0.0128 |
0.9% |
95% |
False |
False |
35,554 |
| 60 |
1.4014 |
1.2864 |
0.1150 |
8.2% |
0.0128 |
0.9% |
97% |
False |
False |
23,821 |
| 80 |
1.4014 |
1.2864 |
0.1150 |
8.2% |
0.0118 |
0.8% |
97% |
False |
False |
17,876 |
| 100 |
1.4180 |
1.2864 |
0.1316 |
9.4% |
0.0097 |
0.7% |
85% |
False |
False |
14,302 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4671 |
|
2.618 |
1.4411 |
|
1.618 |
1.4252 |
|
1.000 |
1.4154 |
|
0.618 |
1.4093 |
|
HIGH |
1.3995 |
|
0.618 |
1.3934 |
|
0.500 |
1.3916 |
|
0.382 |
1.3897 |
|
LOW |
1.3836 |
|
0.618 |
1.3738 |
|
1.000 |
1.3677 |
|
1.618 |
1.3579 |
|
2.618 |
1.3420 |
|
4.250 |
1.3160 |
|
|
| Fisher Pivots for day following 15-Mar-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3957 |
1.3940 |
| PP |
1.3936 |
1.3902 |
| S1 |
1.3916 |
1.3864 |
|