CME Euro FX (E) Future September 2011


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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
Crabel Price Patterns
NR True
NR4 True
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0039
Narrowest range in 4 trading days
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

These figures are updated between 7pm and 10pm EST after a trading day.

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