CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 13-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Sep-2011 |
13-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3574 |
1.3662 |
0.0088 |
0.6% |
1.4162 |
| High |
1.3695 |
1.3738 |
0.0043 |
0.3% |
1.4283 |
| Low |
1.3497 |
1.3556 |
0.0059 |
0.4% |
1.3625 |
| Close |
1.3575 |
1.3710 |
0.0135 |
1.0% |
1.3658 |
| Range |
0.0198 |
0.0182 |
-0.0016 |
-8.1% |
0.0658 |
| ATR |
0.0183 |
0.0183 |
0.0000 |
-0.1% |
0.0000 |
| Volume |
375,859 |
408,220 |
32,361 |
8.6% |
1,111,651 |
|
| Daily Pivots for day following 13-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4214 |
1.4144 |
1.3810 |
|
| R3 |
1.4032 |
1.3962 |
1.3760 |
|
| R2 |
1.3850 |
1.3850 |
1.3743 |
|
| R1 |
1.3780 |
1.3780 |
1.3727 |
1.3815 |
| PP |
1.3668 |
1.3668 |
1.3668 |
1.3686 |
| S1 |
1.3598 |
1.3598 |
1.3693 |
1.3633 |
| S2 |
1.3486 |
1.3486 |
1.3677 |
|
| S3 |
1.3304 |
1.3416 |
1.3660 |
|
| S4 |
1.3122 |
1.3234 |
1.3610 |
|
|
| 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 |
1.4149 |
1.3497 |
0.0652 |
4.8% |
0.0214 |
1.6% |
33% |
False |
False |
379,146 |
| 10 |
1.4530 |
1.3497 |
0.1033 |
7.5% |
0.0191 |
1.4% |
21% |
False |
False |
292,259 |
| 20 |
1.4553 |
1.3497 |
0.1056 |
7.7% |
0.0168 |
1.2% |
20% |
False |
False |
286,381 |
| 40 |
1.4553 |
1.3497 |
0.1056 |
7.7% |
0.0181 |
1.3% |
20% |
False |
False |
331,979 |
| 60 |
1.4553 |
1.3497 |
0.1056 |
7.7% |
0.0174 |
1.3% |
20% |
False |
False |
326,661 |
| 80 |
1.4652 |
1.3497 |
0.1155 |
8.4% |
0.0171 |
1.2% |
18% |
False |
False |
273,392 |
| 100 |
1.4875 |
1.3497 |
0.1378 |
10.1% |
0.0170 |
1.2% |
15% |
False |
False |
218,895 |
| 120 |
1.4875 |
1.3497 |
0.1378 |
10.1% |
0.0161 |
1.2% |
15% |
False |
False |
182,475 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4512 |
|
2.618 |
1.4214 |
|
1.618 |
1.4032 |
|
1.000 |
1.3920 |
|
0.618 |
1.3850 |
|
HIGH |
1.3738 |
|
0.618 |
1.3668 |
|
0.500 |
1.3647 |
|
0.382 |
1.3626 |
|
LOW |
1.3556 |
|
0.618 |
1.3444 |
|
1.000 |
1.3374 |
|
1.618 |
1.3262 |
|
2.618 |
1.3080 |
|
4.250 |
1.2783 |
|
|
| Fisher Pivots for day following 13-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3689 |
1.3716 |
| PP |
1.3668 |
1.3714 |
| S1 |
1.3647 |
1.3712 |
|