CME Euro FX (E) Future September 2011


Trading Metrics calculated at close of trading on 24-Aug-2011
Day Change Summary
Previous Current
23-Aug-2011 24-Aug-2011 Change Change % Previous Week
Open 1.4351 1.4429 0.0078 0.5% 1.4256
High 1.4497 1.4478 -0.0019 -0.1% 1.4512
Low 1.4349 1.4374 0.0025 0.2% 1.4253
Close 1.4420 1.4416 -0.0004 0.0% 1.4382
Range 0.0148 0.0104 -0.0044 -29.7% 0.0259
ATR 0.0180 0.0175 -0.0005 -3.0% 0.0000
Volume 273,347 255,841 -17,506 -6.4% 1,564,366
Daily Pivots for day following 24-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.4735 1.4679 1.4473
R3 1.4631 1.4575 1.4445
R2 1.4527 1.4527 1.4435
R1 1.4471 1.4471 1.4426 1.4447
PP 1.4423 1.4423 1.4423 1.4411
S1 1.4367 1.4367 1.4406 1.4343
S2 1.4319 1.4319 1.4397
S3 1.4215 1.4263 1.4387
S4 1.4111 1.4159 1.4359
Weekly Pivots for week ending 19-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.5159 1.5030 1.4524
R3 1.4900 1.4771 1.4453
R2 1.4641 1.4641 1.4429
R1 1.4512 1.4512 1.4406 1.4577
PP 1.4382 1.4382 1.4382 1.4415
S1 1.4253 1.4253 1.4358 1.4318
S2 1.4123 1.4123 1.4335
S3 1.3864 1.3994 1.4311
S4 1.3605 1.3735 1.4240
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.4497 1.4253 0.0244 1.7% 0.0144 1.0% 67% False False 268,564
10 1.4512 1.4098 0.0414 2.9% 0.0158 1.1% 77% False False 299,595
20 1.4512 1.4041 0.0471 3.3% 0.0189 1.3% 80% False False 362,803
40 1.4547 1.3811 0.0736 5.1% 0.0176 1.2% 82% False False 343,501
60 1.4652 1.3811 0.0841 5.8% 0.0172 1.2% 72% False False 301,662
80 1.4875 1.3811 0.1064 7.4% 0.0172 1.2% 57% False False 226,645
100 1.4875 1.3811 0.1064 7.4% 0.0162 1.1% 57% False False 181,414
120 1.4875 1.3720 0.1155 8.0% 0.0152 1.1% 60% False False 151,223
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 False
2BNR True
3BNR True
4BNR False
8BNR True
Bear Hook False
Bull Hook False
Stretch 0.0040
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.4920
2.618 1.4750
1.618 1.4646
1.000 1.4582
0.618 1.4542
HIGH 1.4478
0.618 1.4438
0.500 1.4426
0.382 1.4414
LOW 1.4374
0.618 1.4310
1.000 1.4270
1.618 1.4206
2.618 1.4102
4.250 1.3932
Fisher Pivots for day following 24-Aug-2011
Pivot 1 day 3 day
R1 1.4426 1.4420
PP 1.4423 1.4418
S1 1.4419 1.4417

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

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