CME Euro FX (E) Future September 2011


Trading Metrics calculated at close of trading on 15-Sep-2011
Day Change Summary
Previous Current
14-Sep-2011 15-Sep-2011 Change Change % Previous Week
Open 1.3678 1.3742 0.0064 0.5% 1.4162
High 1.3782 1.3938 0.0156 1.1% 1.4283
Low 1.3590 1.3703 0.0113 0.8% 1.3625
Close 1.3749 1.3889 0.0140 1.0% 1.3658
Range 0.0192 0.0235 0.0043 22.4% 0.0658
ATR 0.0184 0.0188 0.0004 2.0% 0.0000
Volume 370,388 264,711 -105,677 -28.5% 1,111,651
Daily Pivots for day following 15-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.4548 1.4454 1.4018
R3 1.4313 1.4219 1.3954
R2 1.4078 1.4078 1.3932
R1 1.3984 1.3984 1.3911 1.4031
PP 1.3843 1.3843 1.3843 1.3867
S1 1.3749 1.3749 1.3867 1.3796
S2 1.3608 1.3608 1.3846
S3 1.3373 1.3514 1.3824
S4 1.3138 1.3279 1.3760
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 1.3938 1.3497 0.0441 3.2% 0.0223 1.6% 89% True False 375,345
10 1.4378 1.3497 0.0881 6.3% 0.0207 1.5% 44% False False 307,154
20 1.4553 1.3497 0.1056 7.6% 0.0174 1.2% 37% False False 286,569
40 1.4553 1.3497 0.1056 7.6% 0.0185 1.3% 37% False False 330,998
60 1.4553 1.3497 0.1056 7.6% 0.0177 1.3% 37% False False 328,978
80 1.4652 1.3497 0.1155 8.3% 0.0172 1.2% 34% False False 281,304
100 1.4875 1.3497 0.1378 9.9% 0.0172 1.2% 28% False False 225,236
120 1.4875 1.3497 0.1378 9.9% 0.0162 1.2% 28% False False 187,762
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0049
Widest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1.4937
2.618 1.4553
1.618 1.4318
1.000 1.4173
0.618 1.4083
HIGH 1.3938
0.618 1.3848
0.500 1.3821
0.382 1.3793
LOW 1.3703
0.618 1.3558
1.000 1.3468
1.618 1.3323
2.618 1.3088
4.250 1.2704
Fisher Pivots for day following 15-Sep-2011
Pivot 1 day 3 day
R1 1.3866 1.3842
PP 1.3843 1.3794
S1 1.3821 1.3747

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

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