CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 01-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Jul-2011 |
01-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4308 |
1.4339 |
0.0031 |
0.2% |
1.4380 |
| High |
1.4398 |
1.4438 |
0.0040 |
0.3% |
1.4514 |
| Low |
1.4212 |
1.4169 |
-0.0043 |
-0.3% |
1.4212 |
| Close |
1.4348 |
1.4249 |
-0.0099 |
-0.7% |
1.4348 |
| Range |
0.0186 |
0.0269 |
0.0083 |
44.6% |
0.0302 |
| ATR |
0.0165 |
0.0172 |
0.0007 |
4.5% |
0.0000 |
| Volume |
358,222 |
372,294 |
14,072 |
3.9% |
1,509,482 |
|
| Daily Pivots for day following 01-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5092 |
1.4940 |
1.4397 |
|
| R3 |
1.4823 |
1.4671 |
1.4323 |
|
| R2 |
1.4554 |
1.4554 |
1.4298 |
|
| R1 |
1.4402 |
1.4402 |
1.4274 |
1.4344 |
| PP |
1.4285 |
1.4285 |
1.4285 |
1.4256 |
| S1 |
1.4133 |
1.4133 |
1.4224 |
1.4075 |
| S2 |
1.4016 |
1.4016 |
1.4200 |
|
| S3 |
1.3747 |
1.3864 |
1.4175 |
|
| S4 |
1.3478 |
1.3595 |
1.4101 |
|
|
| Weekly Pivots for week ending 29-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5264 |
1.5108 |
1.4514 |
|
| R3 |
1.4962 |
1.4806 |
1.4431 |
|
| R2 |
1.4660 |
1.4660 |
1.4403 |
|
| R1 |
1.4504 |
1.4504 |
1.4376 |
1.4431 |
| PP |
1.4358 |
1.4358 |
1.4358 |
1.4322 |
| S1 |
1.4202 |
1.4202 |
1.4320 |
1.4129 |
| S2 |
1.4056 |
1.4056 |
1.4293 |
|
| S3 |
1.3754 |
1.3900 |
1.4265 |
|
| S4 |
1.3452 |
1.3598 |
1.4182 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4514 |
1.4169 |
0.0345 |
2.4% |
0.0193 |
1.4% |
23% |
False |
True |
329,475 |
| 10 |
1.4514 |
1.4043 |
0.0471 |
3.3% |
0.0172 |
1.2% |
44% |
False |
False |
330,192 |
| 20 |
1.4547 |
1.3811 |
0.0736 |
5.2% |
0.0175 |
1.2% |
60% |
False |
False |
331,763 |
| 40 |
1.4652 |
1.3811 |
0.0841 |
5.9% |
0.0165 |
1.2% |
52% |
False |
False |
296,214 |
| 60 |
1.4652 |
1.3811 |
0.0841 |
5.9% |
0.0166 |
1.2% |
52% |
False |
False |
198,422 |
| 80 |
1.4875 |
1.3811 |
0.1064 |
7.5% |
0.0160 |
1.1% |
41% |
False |
False |
148,963 |
| 100 |
1.4875 |
1.3720 |
0.1155 |
8.1% |
0.0149 |
1.0% |
46% |
False |
False |
119,229 |
| 120 |
1.4875 |
1.3395 |
0.1480 |
10.4% |
0.0131 |
0.9% |
58% |
False |
False |
99,362 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.5581 |
|
2.618 |
1.5142 |
|
1.618 |
1.4873 |
|
1.000 |
1.4707 |
|
0.618 |
1.4604 |
|
HIGH |
1.4438 |
|
0.618 |
1.4335 |
|
0.500 |
1.4304 |
|
0.382 |
1.4272 |
|
LOW |
1.4169 |
|
0.618 |
1.4003 |
|
1.000 |
1.3900 |
|
1.618 |
1.3734 |
|
2.618 |
1.3465 |
|
4.250 |
1.3026 |
|
|
| Fisher Pivots for day following 01-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4304 |
1.4304 |
| PP |
1.4285 |
1.4285 |
| S1 |
1.4267 |
1.4267 |
|