CME Euro FX (E) Future June 2011
| Trading Metrics calculated at close of trading on 30-Mar-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Mar-2011 |
30-Mar-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4065 |
1.4088 |
0.0023 |
0.2% |
1.4159 |
| High |
1.4130 |
1.4129 |
-0.0001 |
0.0% |
1.4229 |
| Low |
1.4026 |
1.4031 |
0.0005 |
0.0% |
1.4035 |
| Close |
1.4068 |
1.4100 |
0.0032 |
0.2% |
1.4051 |
| Range |
0.0104 |
0.0098 |
-0.0006 |
-5.8% |
0.0194 |
| ATR |
0.0128 |
0.0126 |
-0.0002 |
-1.7% |
0.0000 |
| Volume |
274,767 |
292,004 |
17,237 |
6.3% |
1,274,636 |
|
| Daily Pivots for day following 30-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4381 |
1.4338 |
1.4154 |
|
| R3 |
1.4283 |
1.4240 |
1.4127 |
|
| R2 |
1.4185 |
1.4185 |
1.4118 |
|
| R1 |
1.4142 |
1.4142 |
1.4109 |
1.4164 |
| PP |
1.4087 |
1.4087 |
1.4087 |
1.4097 |
| S1 |
1.4044 |
1.4044 |
1.4091 |
1.4066 |
| S2 |
1.3989 |
1.3989 |
1.4082 |
|
| S3 |
1.3891 |
1.3946 |
1.4073 |
|
| S4 |
1.3793 |
1.3848 |
1.4046 |
|
|
| Weekly Pivots for week ending 25-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4687 |
1.4563 |
1.4158 |
|
| R3 |
1.4493 |
1.4369 |
1.4104 |
|
| R2 |
1.4299 |
1.4299 |
1.4087 |
|
| R1 |
1.4175 |
1.4175 |
1.4069 |
1.4140 |
| PP |
1.4105 |
1.4105 |
1.4105 |
1.4088 |
| S1 |
1.3981 |
1.3981 |
1.4033 |
1.3946 |
| S2 |
1.3911 |
1.3911 |
1.4015 |
|
| S3 |
1.3717 |
1.3787 |
1.3998 |
|
| S4 |
1.3523 |
1.3593 |
1.3944 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4202 |
1.4000 |
0.0202 |
1.4% |
0.0121 |
0.9% |
50% |
False |
False |
262,964 |
| 10 |
1.4229 |
1.3850 |
0.0379 |
2.7% |
0.0130 |
0.9% |
66% |
False |
False |
265,866 |
| 20 |
1.4229 |
1.3733 |
0.0496 |
3.5% |
0.0125 |
0.9% |
74% |
False |
False |
220,556 |
| 40 |
1.4229 |
1.3411 |
0.0818 |
5.8% |
0.0124 |
0.9% |
84% |
False |
False |
110,971 |
| 60 |
1.4229 |
1.2864 |
0.1365 |
9.7% |
0.0131 |
0.9% |
91% |
False |
False |
74,210 |
| 80 |
1.4229 |
1.2864 |
0.1365 |
9.7% |
0.0125 |
0.9% |
91% |
False |
False |
55,693 |
| 100 |
1.4229 |
1.2864 |
0.1365 |
9.7% |
0.0111 |
0.8% |
91% |
False |
False |
44,557 |
| 120 |
1.4229 |
1.2864 |
0.1365 |
9.7% |
0.0093 |
0.7% |
91% |
False |
False |
37,132 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4546 |
|
2.618 |
1.4386 |
|
1.618 |
1.4288 |
|
1.000 |
1.4227 |
|
0.618 |
1.4190 |
|
HIGH |
1.4129 |
|
0.618 |
1.4092 |
|
0.500 |
1.4080 |
|
0.382 |
1.4068 |
|
LOW |
1.4031 |
|
0.618 |
1.3970 |
|
1.000 |
1.3933 |
|
1.618 |
1.3872 |
|
2.618 |
1.3774 |
|
4.250 |
1.3615 |
|
|
| Fisher Pivots for day following 30-Mar-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4093 |
1.4088 |
| PP |
1.4087 |
1.4077 |
| S1 |
1.4080 |
1.4065 |
|