CME Euro FX (E) Future September 2011


Trading Metrics calculated at close of trading on 26-Aug-2011
Day Change Summary
Previous Current
25-Aug-2011 26-Aug-2011 Change Change % Previous Week
Open 1.4405 1.4370 -0.0035 -0.2% 1.4372
High 1.4472 1.4500 0.0028 0.2% 1.4500
Low 1.4322 1.4324 0.0002 0.0% 1.4322
Close 1.4364 1.4480 0.0116 0.8% 1.4480
Range 0.0150 0.0176 0.0026 17.3% 0.0178
ATR 0.0173 0.0173 0.0000 0.1% 0.0000
Volume 319,111 348,430 29,319 9.2% 1,378,494
Daily Pivots for day following 26-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.4963 1.4897 1.4577
R3 1.4787 1.4721 1.4528
R2 1.4611 1.4611 1.4512
R1 1.4545 1.4545 1.4496 1.4578
PP 1.4435 1.4435 1.4435 1.4451
S1 1.4369 1.4369 1.4464 1.4402
S2 1.4259 1.4259 1.4448
S3 1.4083 1.4193 1.4432
S4 1.3907 1.4017 1.4383
Weekly Pivots for week ending 26-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.4968 1.4902 1.4578
R3 1.4790 1.4724 1.4529
R2 1.4612 1.4612 1.4513
R1 1.4546 1.4546 1.4496 1.4579
PP 1.4434 1.4434 1.4434 1.4451
S1 1.4368 1.4368 1.4464 1.4401
S2 1.4256 1.4256 1.4447
S3 1.4078 1.4190 1.4431
S4 1.3900 1.4012 1.4382
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.4500 1.4322 0.0178 1.2% 0.0133 0.9% 89% True False 275,698
10 1.4512 1.4253 0.0259 1.8% 0.0157 1.1% 88% False False 294,286
20 1.4512 1.4041 0.0471 3.3% 0.0189 1.3% 93% False False 363,180
40 1.4547 1.3811 0.0736 5.1% 0.0178 1.2% 91% False False 344,420
60 1.4652 1.3811 0.0841 5.8% 0.0172 1.2% 80% False False 312,575
80 1.4831 1.3811 0.1020 7.0% 0.0173 1.2% 66% False False 234,969
100 1.4875 1.3811 0.1064 7.3% 0.0164 1.1% 63% False False 188,086
120 1.4875 1.3720 0.1155 8.0% 0.0153 1.1% 66% False False 156,786
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR True
Bear Hook False
Bull Hook False
Stretch 0.0039
Widest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1.5248
2.618 1.4961
1.618 1.4785
1.000 1.4676
0.618 1.4609
HIGH 1.4500
0.618 1.4433
0.500 1.4412
0.382 1.4391
LOW 1.4324
0.618 1.4215
1.000 1.4148
1.618 1.4039
2.618 1.3863
4.250 1.3576
Fisher Pivots for day following 26-Aug-2011
Pivot 1 day 3 day
R1 1.4457 1.4457
PP 1.4435 1.4434
S1 1.4412 1.4411

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

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