CME Euro FX (E) Future June 2011
| Trading Metrics calculated at close of trading on 23-Mar-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Mar-2011 |
23-Mar-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4197 |
1.4183 |
-0.0014 |
-0.1% |
1.3948 |
| High |
1.4229 |
1.4196 |
-0.0033 |
-0.2% |
1.4167 |
| Low |
1.4159 |
1.4066 |
-0.0093 |
-0.7% |
1.3836 |
| Close |
1.4185 |
1.4103 |
-0.0082 |
-0.6% |
1.4137 |
| Range |
0.0070 |
0.0130 |
0.0060 |
85.7% |
0.0331 |
| ATR |
0.0129 |
0.0129 |
0.0000 |
0.0% |
0.0000 |
| Volume |
215,627 |
307,483 |
91,856 |
42.6% |
1,605,540 |
|
| Daily Pivots for day following 23-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4512 |
1.4437 |
1.4175 |
|
| R3 |
1.4382 |
1.4307 |
1.4139 |
|
| R2 |
1.4252 |
1.4252 |
1.4127 |
|
| R1 |
1.4177 |
1.4177 |
1.4115 |
1.4150 |
| PP |
1.4122 |
1.4122 |
1.4122 |
1.4108 |
| S1 |
1.4047 |
1.4047 |
1.4091 |
1.4020 |
| S2 |
1.3992 |
1.3992 |
1.4079 |
|
| S3 |
1.3862 |
1.3917 |
1.4067 |
|
| S4 |
1.3732 |
1.3787 |
1.4032 |
|
|
| Weekly Pivots for week ending 18-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5040 |
1.4919 |
1.4319 |
|
| R3 |
1.4709 |
1.4588 |
1.4228 |
|
| R2 |
1.4378 |
1.4378 |
1.4198 |
|
| R1 |
1.4257 |
1.4257 |
1.4167 |
1.4318 |
| PP |
1.4047 |
1.4047 |
1.4047 |
1.4077 |
| S1 |
1.3926 |
1.3926 |
1.4107 |
1.3987 |
| S2 |
1.3716 |
1.3716 |
1.4076 |
|
| S3 |
1.3385 |
1.3595 |
1.4046 |
|
| S4 |
1.3054 |
1.3264 |
1.3955 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4229 |
1.3850 |
0.0379 |
2.7% |
0.0138 |
1.0% |
67% |
False |
False |
268,768 |
| 10 |
1.4229 |
1.3733 |
0.0496 |
3.5% |
0.0140 |
1.0% |
75% |
False |
False |
286,008 |
| 20 |
1.4229 |
1.3683 |
0.0546 |
3.9% |
0.0125 |
0.9% |
77% |
False |
False |
155,390 |
| 40 |
1.4229 |
1.3411 |
0.0818 |
5.8% |
0.0126 |
0.9% |
85% |
False |
False |
78,182 |
| 60 |
1.4229 |
1.2864 |
0.1365 |
9.7% |
0.0131 |
0.9% |
91% |
False |
False |
52,310 |
| 80 |
1.4229 |
1.2864 |
0.1365 |
9.7% |
0.0126 |
0.9% |
91% |
False |
False |
39,259 |
| 100 |
1.4229 |
1.2864 |
0.1365 |
9.7% |
0.0105 |
0.7% |
91% |
False |
False |
31,409 |
| 120 |
1.4229 |
1.2864 |
0.1365 |
9.7% |
0.0089 |
0.6% |
91% |
False |
False |
26,175 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4749 |
|
2.618 |
1.4536 |
|
1.618 |
1.4406 |
|
1.000 |
1.4326 |
|
0.618 |
1.4276 |
|
HIGH |
1.4196 |
|
0.618 |
1.4146 |
|
0.500 |
1.4131 |
|
0.382 |
1.4116 |
|
LOW |
1.4066 |
|
0.618 |
1.3986 |
|
1.000 |
1.3936 |
|
1.618 |
1.3856 |
|
2.618 |
1.3726 |
|
4.250 |
1.3514 |
|
|
| Fisher Pivots for day following 23-Mar-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4131 |
1.4148 |
| PP |
1.4122 |
1.4133 |
| S1 |
1.4112 |
1.4118 |
|