CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 27-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Jun-2011 |
27-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4230 |
1.4155 |
-0.0075 |
-0.5% |
1.4237 |
| High |
1.4273 |
1.4263 |
-0.0010 |
-0.1% |
1.4407 |
| Low |
1.4109 |
1.4070 |
-0.0039 |
-0.3% |
1.4093 |
| Close |
1.4138 |
1.4233 |
0.0095 |
0.7% |
1.4138 |
| Range |
0.0164 |
0.0193 |
0.0029 |
17.7% |
0.0314 |
| ATR |
0.0164 |
0.0166 |
0.0002 |
1.3% |
0.0000 |
| Volume |
275,313 |
290,784 |
15,471 |
5.6% |
1,452,243 |
|
| Daily Pivots for day following 27-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4768 |
1.4693 |
1.4339 |
|
| R3 |
1.4575 |
1.4500 |
1.4286 |
|
| R2 |
1.4382 |
1.4382 |
1.4268 |
|
| R1 |
1.4307 |
1.4307 |
1.4251 |
1.4345 |
| PP |
1.4189 |
1.4189 |
1.4189 |
1.4207 |
| S1 |
1.4114 |
1.4114 |
1.4215 |
1.4152 |
| S2 |
1.3996 |
1.3996 |
1.4198 |
|
| S3 |
1.3803 |
1.3921 |
1.4180 |
|
| S4 |
1.3610 |
1.3728 |
1.4127 |
|
|
| Weekly Pivots for week ending 24-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5155 |
1.4960 |
1.4311 |
|
| R3 |
1.4841 |
1.4646 |
1.4224 |
|
| R2 |
1.4527 |
1.4527 |
1.4196 |
|
| R1 |
1.4332 |
1.4332 |
1.4167 |
1.4273 |
| PP |
1.4213 |
1.4213 |
1.4213 |
1.4183 |
| S1 |
1.4018 |
1.4018 |
1.4109 |
1.3959 |
| S2 |
1.3899 |
1.3899 |
1.4080 |
|
| S3 |
1.3585 |
1.3704 |
1.4052 |
|
| S4 |
1.3271 |
1.3390 |
1.3965 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4407 |
1.4070 |
0.0337 |
2.4% |
0.0159 |
1.1% |
48% |
False |
True |
300,453 |
| 10 |
1.4456 |
1.4039 |
0.0417 |
2.9% |
0.0170 |
1.2% |
47% |
False |
False |
309,935 |
| 20 |
1.4652 |
1.4039 |
0.0613 |
4.3% |
0.0163 |
1.1% |
32% |
False |
False |
199,943 |
| 40 |
1.4875 |
1.3925 |
0.0950 |
6.7% |
0.0168 |
1.2% |
32% |
False |
False |
100,730 |
| 60 |
1.4875 |
1.3925 |
0.0950 |
6.7% |
0.0153 |
1.1% |
32% |
False |
False |
67,307 |
| 80 |
1.4875 |
1.3720 |
0.1155 |
8.1% |
0.0138 |
1.0% |
44% |
False |
False |
50,547 |
| 100 |
1.4875 |
1.3395 |
0.1480 |
10.4% |
0.0119 |
0.8% |
57% |
False |
False |
40,440 |
| 120 |
1.4875 |
1.2838 |
0.2037 |
14.3% |
0.0104 |
0.7% |
68% |
False |
False |
33,701 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.5083 |
|
2.618 |
1.4768 |
|
1.618 |
1.4575 |
|
1.000 |
1.4456 |
|
0.618 |
1.4382 |
|
HIGH |
1.4263 |
|
0.618 |
1.4189 |
|
0.500 |
1.4167 |
|
0.382 |
1.4144 |
|
LOW |
1.4070 |
|
0.618 |
1.3951 |
|
1.000 |
1.3877 |
|
1.618 |
1.3758 |
|
2.618 |
1.3565 |
|
4.250 |
1.3250 |
|
|
| Fisher Pivots for day following 27-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4211 |
1.4218 |
| PP |
1.4189 |
1.4202 |
| S1 |
1.4167 |
1.4187 |
|