CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 14-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Sep-2011 |
14-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3662 |
1.3678 |
0.0016 |
0.1% |
1.4162 |
| High |
1.3738 |
1.3782 |
0.0044 |
0.3% |
1.4283 |
| Low |
1.3556 |
1.3590 |
0.0034 |
0.3% |
1.3625 |
| Close |
1.3710 |
1.3749 |
0.0039 |
0.3% |
1.3658 |
| Range |
0.0182 |
0.0192 |
0.0010 |
5.5% |
0.0658 |
| ATR |
0.0183 |
0.0184 |
0.0001 |
0.3% |
0.0000 |
| Volume |
408,220 |
370,388 |
-37,832 |
-9.3% |
1,111,651 |
|
| Daily Pivots for day following 14-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4283 |
1.4208 |
1.3855 |
|
| R3 |
1.4091 |
1.4016 |
1.3802 |
|
| R2 |
1.3899 |
1.3899 |
1.3784 |
|
| R1 |
1.3824 |
1.3824 |
1.3767 |
1.3862 |
| PP |
1.3707 |
1.3707 |
1.3707 |
1.3726 |
| S1 |
1.3632 |
1.3632 |
1.3731 |
1.3670 |
| S2 |
1.3515 |
1.3515 |
1.3714 |
|
| S3 |
1.3323 |
1.3440 |
1.3696 |
|
| S4 |
1.3131 |
1.3248 |
1.3643 |
|
|
| 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 |
1.4095 |
1.3497 |
0.0598 |
4.3% |
0.0221 |
1.6% |
42% |
False |
False |
397,103 |
| 10 |
1.4466 |
1.3497 |
0.0969 |
7.0% |
0.0195 |
1.4% |
26% |
False |
False |
305,040 |
| 20 |
1.4553 |
1.3497 |
0.1056 |
7.7% |
0.0171 |
1.2% |
24% |
False |
False |
289,210 |
| 40 |
1.4553 |
1.3497 |
0.1056 |
7.7% |
0.0182 |
1.3% |
24% |
False |
False |
331,962 |
| 60 |
1.4553 |
1.3497 |
0.1056 |
7.7% |
0.0175 |
1.3% |
24% |
False |
False |
328,822 |
| 80 |
1.4652 |
1.3497 |
0.1155 |
8.4% |
0.0171 |
1.2% |
22% |
False |
False |
278,010 |
| 100 |
1.4875 |
1.3497 |
0.1378 |
10.0% |
0.0170 |
1.2% |
18% |
False |
False |
222,594 |
| 120 |
1.4875 |
1.3497 |
0.1378 |
10.0% |
0.0161 |
1.2% |
18% |
False |
False |
185,560 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4598 |
|
2.618 |
1.4285 |
|
1.618 |
1.4093 |
|
1.000 |
1.3974 |
|
0.618 |
1.3901 |
|
HIGH |
1.3782 |
|
0.618 |
1.3709 |
|
0.500 |
1.3686 |
|
0.382 |
1.3663 |
|
LOW |
1.3590 |
|
0.618 |
1.3471 |
|
1.000 |
1.3398 |
|
1.618 |
1.3279 |
|
2.618 |
1.3087 |
|
4.250 |
1.2774 |
|
|
| Fisher Pivots for day following 14-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3728 |
1.3713 |
| PP |
1.3707 |
1.3676 |
| S1 |
1.3686 |
1.3640 |
|