ECBOT 5 Year T-Note Future September 2011
| Trading Metrics calculated at close of trading on 30-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Jun-2011 |
30-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
119-257 |
119-170 |
-0-087 |
-0.2% |
120-002 |
| High |
119-265 |
119-217 |
-0-048 |
-0.1% |
120-277 |
| Low |
119-097 |
118-277 |
-0-140 |
-0.4% |
119-257 |
| Close |
119-160 |
119-062 |
-0-098 |
-0.3% |
120-242 |
| Range |
0-168 |
0-260 |
0-092 |
54.8% |
1-020 |
| ATR |
0-155 |
0-162 |
0-008 |
4.9% |
0-000 |
| Volume |
801,876 |
929,121 |
127,245 |
15.9% |
2,910,401 |
|
| Daily Pivots for day following 30-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
121-219 |
121-080 |
119-205 |
|
| R3 |
120-279 |
120-140 |
119-134 |
|
| R2 |
120-019 |
120-019 |
119-110 |
|
| R1 |
119-200 |
119-200 |
119-086 |
119-140 |
| PP |
119-079 |
119-079 |
119-079 |
119-048 |
| S1 |
118-260 |
118-260 |
119-038 |
118-200 |
| S2 |
118-139 |
118-139 |
119-014 |
|
| S3 |
117-199 |
118-000 |
118-310 |
|
| S4 |
116-259 |
117-060 |
118-239 |
|
|
| Weekly Pivots for week ending 24-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
123-212 |
123-087 |
121-109 |
|
| R3 |
122-192 |
122-067 |
121-016 |
|
| R2 |
121-172 |
121-172 |
120-304 |
|
| R1 |
121-047 |
121-047 |
120-273 |
121-110 |
| PP |
120-152 |
120-152 |
120-152 |
120-183 |
| S1 |
120-027 |
120-027 |
120-211 |
120-090 |
| S2 |
119-132 |
119-132 |
120-180 |
|
| S3 |
118-112 |
119-007 |
120-148 |
|
| S4 |
117-092 |
117-307 |
120-055 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
120-307 |
118-277 |
2-030 |
1.8% |
0-217 |
0.6% |
16% |
False |
True |
729,281 |
| 10 |
120-307 |
118-277 |
2-030 |
1.8% |
0-171 |
0.4% |
16% |
False |
True |
656,487 |
| 20 |
120-307 |
118-277 |
2-030 |
1.8% |
0-167 |
0.4% |
16% |
False |
True |
670,607 |
| 40 |
120-307 |
117-150 |
3-157 |
2.9% |
0-141 |
0.4% |
49% |
False |
False |
434,623 |
| 60 |
120-307 |
115-000 |
5-307 |
5.0% |
0-099 |
0.3% |
70% |
False |
False |
289,978 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
123-042 |
|
2.618 |
121-258 |
|
1.618 |
120-318 |
|
1.000 |
120-157 |
|
0.618 |
120-058 |
|
HIGH |
119-217 |
|
0.618 |
119-118 |
|
0.500 |
119-087 |
|
0.382 |
119-056 |
|
LOW |
118-277 |
|
0.618 |
118-116 |
|
1.000 |
118-017 |
|
1.618 |
117-176 |
|
2.618 |
116-236 |
|
4.250 |
115-132 |
|
|
| Fisher Pivots for day following 30-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
119-087 |
119-228 |
| PP |
119-079 |
119-173 |
| S1 |
119-070 |
119-118 |
|