CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 03-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Aug-2011 |
03-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4238 |
1.4179 |
-0.0059 |
-0.4% |
1.4380 |
| High |
1.4271 |
1.4332 |
0.0061 |
0.4% |
1.4514 |
| Low |
1.4139 |
1.4131 |
-0.0008 |
-0.1% |
1.4212 |
| Close |
1.4190 |
1.4298 |
0.0108 |
0.8% |
1.4348 |
| Range |
0.0132 |
0.0201 |
0.0069 |
52.3% |
0.0302 |
| ATR |
0.0169 |
0.0172 |
0.0002 |
1.3% |
0.0000 |
| Volume |
369,797 |
418,684 |
48,887 |
13.2% |
1,509,482 |
|
| Daily Pivots for day following 03-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4857 |
1.4778 |
1.4409 |
|
| R3 |
1.4656 |
1.4577 |
1.4353 |
|
| R2 |
1.4455 |
1.4455 |
1.4335 |
|
| R1 |
1.4376 |
1.4376 |
1.4316 |
1.4416 |
| PP |
1.4254 |
1.4254 |
1.4254 |
1.4273 |
| S1 |
1.4175 |
1.4175 |
1.4280 |
1.4215 |
| S2 |
1.4053 |
1.4053 |
1.4261 |
|
| S3 |
1.3852 |
1.3974 |
1.4243 |
|
| S4 |
1.3651 |
1.3773 |
1.4187 |
|
|
| 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 |
1.4438 |
1.4131 |
0.0307 |
2.1% |
0.0187 |
1.3% |
54% |
False |
True |
364,151 |
| 10 |
1.4514 |
1.4114 |
0.0400 |
2.8% |
0.0180 |
1.3% |
46% |
False |
False |
341,606 |
| 20 |
1.4514 |
1.3811 |
0.0703 |
4.9% |
0.0174 |
1.2% |
69% |
False |
False |
356,367 |
| 40 |
1.4649 |
1.3811 |
0.0838 |
5.9% |
0.0168 |
1.2% |
58% |
False |
False |
313,840 |
| 60 |
1.4652 |
1.3811 |
0.0841 |
5.9% |
0.0164 |
1.1% |
58% |
False |
False |
211,512 |
| 80 |
1.4875 |
1.3811 |
0.1064 |
7.4% |
0.0161 |
1.1% |
46% |
False |
False |
158,809 |
| 100 |
1.4875 |
1.3811 |
0.1064 |
7.4% |
0.0150 |
1.1% |
46% |
False |
False |
127,112 |
| 120 |
1.4875 |
1.3395 |
0.1480 |
10.4% |
0.0133 |
0.9% |
61% |
False |
False |
105,933 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.5186 |
|
2.618 |
1.4858 |
|
1.618 |
1.4657 |
|
1.000 |
1.4533 |
|
0.618 |
1.4456 |
|
HIGH |
1.4332 |
|
0.618 |
1.4255 |
|
0.500 |
1.4232 |
|
0.382 |
1.4208 |
|
LOW |
1.4131 |
|
0.618 |
1.4007 |
|
1.000 |
1.3930 |
|
1.618 |
1.3806 |
|
2.618 |
1.3605 |
|
4.250 |
1.3277 |
|
|
| Fisher Pivots for day following 03-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4276 |
1.4294 |
| PP |
1.4254 |
1.4289 |
| S1 |
1.4232 |
1.4285 |
|