CME Euro FX (E) Future September 2011


Trading Metrics calculated at close of trading on 31-Aug-2011
Day Change Summary
Previous Current
30-Aug-2011 31-Aug-2011 Change Change % Previous Week
Open 1.4510 1.4436 -0.0074 -0.5% 1.4372
High 1.4530 1.4466 -0.0064 -0.4% 1.4500
Low 1.4380 1.4355 -0.0025 -0.2% 1.4322
Close 1.4447 1.4377 -0.0070 -0.5% 1.4480
Range 0.0150 0.0111 -0.0039 -26.0% 0.0178
ATR 0.0166 0.0162 -0.0004 -2.4% 0.0000
Volume 242,576 243,574 998 0.4% 1,378,494
Daily Pivots for day following 31-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.4732 1.4666 1.4438
R3 1.4621 1.4555 1.4408
R2 1.4510 1.4510 1.4397
R1 1.4444 1.4444 1.4387 1.4422
PP 1.4399 1.4399 1.4399 1.4388
S1 1.4333 1.4333 1.4367 1.4311
S2 1.4288 1.4288 1.4357
S3 1.4177 1.4222 1.4346
S4 1.4066 1.4111 1.4316
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 1.4553 1.4322 0.0231 1.6% 0.0136 0.9% 24% False False 263,404
10 1.4553 1.4253 0.0300 2.1% 0.0140 1.0% 41% False False 265,984
20 1.4553 1.4041 0.0512 3.6% 0.0176 1.2% 66% False False 337,616
40 1.4553 1.3811 0.0742 5.2% 0.0175 1.2% 76% False False 346,991
60 1.4649 1.3811 0.0838 5.8% 0.0171 1.2% 68% False False 321,765
80 1.4652 1.3811 0.0841 5.8% 0.0167 1.2% 67% False False 243,038
100 1.4875 1.3811 0.1064 7.4% 0.0164 1.1% 53% False False 194,570
120 1.4875 1.3811 0.1064 7.4% 0.0155 1.1% 53% False False 162,196
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR True
Bear Hook False
Bull Hook False
Stretch 0.0037
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.4938
2.618 1.4757
1.618 1.4646
1.000 1.4577
0.618 1.4535
HIGH 1.4466
0.618 1.4424
0.500 1.4411
0.382 1.4397
LOW 1.4355
0.618 1.4286
1.000 1.4244
1.618 1.4175
2.618 1.4064
4.250 1.3883
Fisher Pivots for day following 31-Aug-2011
Pivot 1 day 3 day
R1 1.4411 1.4454
PP 1.4399 1.4428
S1 1.4388 1.4403

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

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