CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 20-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
17-Jun-2011 |
20-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4176 |
1.4237 |
0.0061 |
0.4% |
1.4292 |
| High |
1.4303 |
1.4291 |
-0.0012 |
-0.1% |
1.4456 |
| Low |
1.4091 |
1.4154 |
0.0063 |
0.4% |
1.4039 |
| Close |
1.4276 |
1.4267 |
-0.0009 |
-0.1% |
1.4276 |
| Range |
0.0212 |
0.0137 |
-0.0075 |
-35.4% |
0.0417 |
| ATR |
0.0167 |
0.0165 |
-0.0002 |
-1.3% |
0.0000 |
| Volume |
315,357 |
240,758 |
-74,599 |
-23.7% |
1,565,278 |
|
| Daily Pivots for day following 20-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4648 |
1.4595 |
1.4342 |
|
| R3 |
1.4511 |
1.4458 |
1.4305 |
|
| R2 |
1.4374 |
1.4374 |
1.4292 |
|
| R1 |
1.4321 |
1.4321 |
1.4280 |
1.4348 |
| PP |
1.4237 |
1.4237 |
1.4237 |
1.4251 |
| S1 |
1.4184 |
1.4184 |
1.4254 |
1.4211 |
| S2 |
1.4100 |
1.4100 |
1.4242 |
|
| S3 |
1.3963 |
1.4047 |
1.4229 |
|
| S4 |
1.3826 |
1.3910 |
1.4192 |
|
|
| Weekly Pivots for week ending 17-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5508 |
1.5309 |
1.4505 |
|
| R3 |
1.5091 |
1.4892 |
1.4391 |
|
| R2 |
1.4674 |
1.4674 |
1.4352 |
|
| R1 |
1.4475 |
1.4475 |
1.4314 |
1.4366 |
| PP |
1.4257 |
1.4257 |
1.4257 |
1.4203 |
| S1 |
1.4058 |
1.4058 |
1.4238 |
1.3949 |
| S2 |
1.3840 |
1.3840 |
1.4200 |
|
| S3 |
1.3423 |
1.3641 |
1.4161 |
|
| S4 |
1.3006 |
1.3224 |
1.4047 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4456 |
1.4039 |
0.0417 |
2.9% |
0.0181 |
1.3% |
55% |
False |
False |
319,417 |
| 10 |
1.4652 |
1.4039 |
0.0613 |
4.3% |
0.0169 |
1.2% |
37% |
False |
False |
243,774 |
| 20 |
1.4652 |
1.3925 |
0.0727 |
5.1% |
0.0159 |
1.1% |
47% |
False |
False |
125,576 |
| 40 |
1.4875 |
1.3925 |
0.0950 |
6.7% |
0.0163 |
1.1% |
36% |
False |
False |
63,252 |
| 60 |
1.4875 |
1.3925 |
0.0950 |
6.7% |
0.0147 |
1.0% |
36% |
False |
False |
42,298 |
| 80 |
1.4875 |
1.3718 |
0.1157 |
8.1% |
0.0130 |
0.9% |
47% |
False |
False |
31,769 |
| 100 |
1.4875 |
1.3395 |
0.1480 |
10.4% |
0.0113 |
0.8% |
59% |
False |
False |
25,418 |
| 120 |
1.4875 |
1.2838 |
0.2037 |
14.3% |
0.0098 |
0.7% |
70% |
False |
False |
21,182 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4873 |
|
2.618 |
1.4650 |
|
1.618 |
1.4513 |
|
1.000 |
1.4428 |
|
0.618 |
1.4376 |
|
HIGH |
1.4291 |
|
0.618 |
1.4239 |
|
0.500 |
1.4223 |
|
0.382 |
1.4206 |
|
LOW |
1.4154 |
|
0.618 |
1.4069 |
|
1.000 |
1.4017 |
|
1.618 |
1.3932 |
|
2.618 |
1.3795 |
|
4.250 |
1.3572 |
|
|
| Fisher Pivots for day following 20-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4252 |
1.4235 |
| PP |
1.4237 |
1.4203 |
| S1 |
1.4223 |
1.4171 |
|