CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 12-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
09-Sep-2011 |
12-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3886 |
1.3574 |
-0.0312 |
-2.2% |
1.4162 |
| High |
1.3935 |
1.3695 |
-0.0240 |
-1.7% |
1.4283 |
| Low |
1.3625 |
1.3497 |
-0.0128 |
-0.9% |
1.3625 |
| Close |
1.3658 |
1.3575 |
-0.0083 |
-0.6% |
1.3658 |
| Range |
0.0310 |
0.0198 |
-0.0112 |
-36.1% |
0.0658 |
| ATR |
0.0182 |
0.0183 |
0.0001 |
0.6% |
0.0000 |
| Volume |
457,549 |
375,859 |
-81,690 |
-17.9% |
1,111,651 |
|
| Daily Pivots for day following 12-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4183 |
1.4077 |
1.3684 |
|
| R3 |
1.3985 |
1.3879 |
1.3629 |
|
| R2 |
1.3787 |
1.3787 |
1.3611 |
|
| R1 |
1.3681 |
1.3681 |
1.3593 |
1.3734 |
| PP |
1.3589 |
1.3589 |
1.3589 |
1.3616 |
| S1 |
1.3483 |
1.3483 |
1.3557 |
1.3536 |
| S2 |
1.3391 |
1.3391 |
1.3539 |
|
| S3 |
1.3193 |
1.3285 |
1.3521 |
|
| S4 |
1.2995 |
1.3087 |
1.3466 |
|
|
| Weekly Pivots for week ending 09-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5829 |
1.5402 |
1.4020 |
|
| R3 |
1.5171 |
1.4744 |
1.3839 |
|
| R2 |
1.4513 |
1.4513 |
1.3779 |
|
| R1 |
1.4086 |
1.4086 |
1.3718 |
1.3971 |
| PP |
1.3855 |
1.3855 |
1.3855 |
1.3798 |
| S1 |
1.3428 |
1.3428 |
1.3598 |
1.3313 |
| S2 |
1.3197 |
1.3197 |
1.3537 |
|
| S3 |
1.2539 |
1.2770 |
1.3477 |
|
| S4 |
1.1881 |
1.2112 |
1.3296 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4283 |
1.3497 |
0.0786 |
5.8% |
0.0241 |
1.8% |
10% |
False |
True |
297,502 |
| 10 |
1.4553 |
1.3497 |
0.1056 |
7.8% |
0.0182 |
1.3% |
7% |
False |
True |
267,770 |
| 20 |
1.4553 |
1.3497 |
0.1056 |
7.8% |
0.0169 |
1.2% |
7% |
False |
True |
281,028 |
| 40 |
1.4553 |
1.3497 |
0.1056 |
7.8% |
0.0179 |
1.3% |
7% |
False |
True |
328,363 |
| 60 |
1.4553 |
1.3497 |
0.1056 |
7.8% |
0.0175 |
1.3% |
7% |
False |
True |
325,114 |
| 80 |
1.4652 |
1.3497 |
0.1155 |
8.5% |
0.0170 |
1.3% |
7% |
False |
True |
268,305 |
| 100 |
1.4875 |
1.3497 |
0.1378 |
10.2% |
0.0170 |
1.3% |
6% |
False |
True |
214,817 |
| 120 |
1.4875 |
1.3497 |
0.1378 |
10.2% |
0.0160 |
1.2% |
6% |
False |
True |
179,078 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4537 |
|
2.618 |
1.4213 |
|
1.618 |
1.4015 |
|
1.000 |
1.3893 |
|
0.618 |
1.3817 |
|
HIGH |
1.3695 |
|
0.618 |
1.3619 |
|
0.500 |
1.3596 |
|
0.382 |
1.3573 |
|
LOW |
1.3497 |
|
0.618 |
1.3375 |
|
1.000 |
1.3299 |
|
1.618 |
1.3177 |
|
2.618 |
1.2979 |
|
4.250 |
1.2656 |
|
|
| Fisher Pivots for day following 12-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3596 |
1.3796 |
| PP |
1.3589 |
1.3722 |
| S1 |
1.3582 |
1.3649 |
|