CME Euro FX (E) Future September 2011


Trading Metrics calculated at close of trading on 01-Jul-2011
Day Change Summary
Previous Current
30-Jun-2011 01-Jul-2011 Change Change % Previous Week
Open 1.4401 1.4462 0.0061 0.4% 1.4155
High 1.4507 1.4520 0.0013 0.1% 1.4520
Low 1.4395 1.4405 0.0010 0.1% 1.4070
Close 1.4488 1.4478 -0.0010 -0.1% 1.4478
Range 0.0112 0.0115 0.0003 2.7% 0.0450
ATR 0.0159 0.0156 -0.0003 -2.0% 0.0000
Volume 287,116 250,206 -36,910 -12.9% 1,534,935
Daily Pivots for day following 01-Jul-2011
Classic Woodie Camarilla DeMark
R4 1.4813 1.4760 1.4541
R3 1.4698 1.4645 1.4510
R2 1.4583 1.4583 1.4499
R1 1.4530 1.4530 1.4489 1.4557
PP 1.4468 1.4468 1.4468 1.4481
S1 1.4415 1.4415 1.4467 1.4442
S2 1.4353 1.4353 1.4457
S3 1.4238 1.4300 1.4446
S4 1.4123 1.4185 1.4415
Weekly Pivots for week ending 01-Jul-2011
Classic Woodie Camarilla DeMark
R4 1.5706 1.5542 1.4726
R3 1.5256 1.5092 1.4602
R2 1.4806 1.4806 1.4561
R1 1.4642 1.4642 1.4519 1.4724
PP 1.4356 1.4356 1.4356 1.4397
S1 1.4192 1.4192 1.4437 1.4274
S2 1.3906 1.3906 1.4396
S3 1.3456 1.3742 1.4354
S4 1.3006 1.3292 1.4231
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.4520 1.4070 0.0450 3.1% 0.0141 1.0% 91% True False 306,987
10 1.4520 1.4070 0.0450 3.1% 0.0144 1.0% 91% True False 298,717
20 1.4652 1.4039 0.0613 4.2% 0.0155 1.1% 72% False False 260,664
40 1.4652 1.3925 0.0727 5.0% 0.0161 1.1% 76% False False 131,751
60 1.4875 1.3925 0.0950 6.6% 0.0154 1.1% 58% False False 88,030
80 1.4875 1.3720 0.1155 8.0% 0.0142 1.0% 66% False False 66,095
100 1.4875 1.3395 0.1480 10.2% 0.0122 0.8% 73% False False 52,882
120 1.4875 1.2929 0.1946 13.4% 0.0107 0.7% 80% False False 44,069
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0040
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.5009
2.618 1.4821
1.618 1.4706
1.000 1.4635
0.618 1.4591
HIGH 1.4520
0.618 1.4476
0.500 1.4463
0.382 1.4449
LOW 1.4405
0.618 1.4334
1.000 1.4290
1.618 1.4219
2.618 1.4104
4.250 1.3916
Fisher Pivots for day following 01-Jul-2011
Pivot 1 day 3 day
R1 1.4473 1.4454
PP 1.4468 1.4430
S1 1.4463 1.4406

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

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