CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 04-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Aug-2011 |
04-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4179 |
1.4346 |
0.0167 |
1.2% |
1.4380 |
| High |
1.4332 |
1.4355 |
0.0023 |
0.2% |
1.4514 |
| Low |
1.4131 |
1.4070 |
-0.0061 |
-0.4% |
1.4212 |
| Close |
1.4298 |
1.4121 |
-0.0177 |
-1.2% |
1.4348 |
| Range |
0.0201 |
0.0285 |
0.0084 |
41.8% |
0.0302 |
| ATR |
0.0172 |
0.0180 |
0.0008 |
4.7% |
0.0000 |
| Volume |
418,684 |
566,902 |
148,218 |
35.4% |
1,509,482 |
|
| Daily Pivots for day following 04-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5037 |
1.4864 |
1.4278 |
|
| R3 |
1.4752 |
1.4579 |
1.4199 |
|
| R2 |
1.4467 |
1.4467 |
1.4173 |
|
| R1 |
1.4294 |
1.4294 |
1.4147 |
1.4238 |
| PP |
1.4182 |
1.4182 |
1.4182 |
1.4154 |
| S1 |
1.4009 |
1.4009 |
1.4095 |
1.3953 |
| S2 |
1.3897 |
1.3897 |
1.4069 |
|
| S3 |
1.3612 |
1.3724 |
1.4043 |
|
| S4 |
1.3327 |
1.3439 |
1.3964 |
|
|
| 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 |
1.4070 |
0.0368 |
2.6% |
0.0215 |
1.5% |
14% |
False |
True |
417,179 |
| 10 |
1.4514 |
1.4070 |
0.0444 |
3.1% |
0.0178 |
1.3% |
11% |
False |
True |
349,990 |
| 20 |
1.4514 |
1.3811 |
0.0703 |
5.0% |
0.0181 |
1.3% |
44% |
False |
False |
367,858 |
| 40 |
1.4619 |
1.3811 |
0.0808 |
5.7% |
0.0172 |
1.2% |
38% |
False |
False |
325,675 |
| 60 |
1.4652 |
1.3811 |
0.0841 |
6.0% |
0.0166 |
1.2% |
37% |
False |
False |
220,944 |
| 80 |
1.4875 |
1.3811 |
0.1064 |
7.5% |
0.0164 |
1.2% |
29% |
False |
False |
165,883 |
| 100 |
1.4875 |
1.3811 |
0.1064 |
7.5% |
0.0153 |
1.1% |
29% |
False |
False |
132,779 |
| 120 |
1.4875 |
1.3395 |
0.1480 |
10.5% |
0.0135 |
1.0% |
49% |
False |
False |
110,657 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.5566 |
|
2.618 |
1.5101 |
|
1.618 |
1.4816 |
|
1.000 |
1.4640 |
|
0.618 |
1.4531 |
|
HIGH |
1.4355 |
|
0.618 |
1.4246 |
|
0.500 |
1.4213 |
|
0.382 |
1.4179 |
|
LOW |
1.4070 |
|
0.618 |
1.3894 |
|
1.000 |
1.3785 |
|
1.618 |
1.3609 |
|
2.618 |
1.3324 |
|
4.250 |
1.2859 |
|
|
| Fisher Pivots for day following 04-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4213 |
1.4213 |
| PP |
1.4182 |
1.4182 |
| S1 |
1.4152 |
1.4152 |
|