ECBOT 5 Year T-Note Future December 2011
| Trading Metrics calculated at close of trading on 20-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Sep-2011 |
20-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
122-250 |
123-035 |
0-105 |
0.3% |
123-097 |
| High |
123-070 |
123-072 |
0-002 |
0.0% |
123-117 |
| Low |
122-250 |
122-290 |
0-040 |
0.1% |
122-107 |
| Close |
123-045 |
123-027 |
-0-018 |
0.0% |
122-210 |
| Range |
0-140 |
0-102 |
-0-038 |
-27.1% |
1-010 |
| ATR |
0-140 |
0-138 |
-0-003 |
-2.0% |
0-000 |
| Volume |
478,291 |
382,938 |
-95,353 |
-19.9% |
2,530,938 |
|
| Daily Pivots for day following 20-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
124-009 |
123-280 |
123-083 |
|
| R3 |
123-227 |
123-178 |
123-055 |
|
| R2 |
123-125 |
123-125 |
123-046 |
|
| R1 |
123-076 |
123-076 |
123-036 |
123-050 |
| PP |
123-023 |
123-023 |
123-023 |
123-010 |
| S1 |
122-294 |
122-294 |
123-018 |
122-268 |
| S2 |
122-241 |
122-241 |
123-008 |
|
| S3 |
122-139 |
122-192 |
122-319 |
|
| S4 |
122-037 |
122-090 |
122-291 |
|
|
| Weekly Pivots for week ending 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
125-281 |
125-096 |
123-072 |
|
| R3 |
124-271 |
124-086 |
122-301 |
|
| R2 |
123-261 |
123-261 |
122-270 |
|
| R1 |
123-076 |
123-076 |
122-240 |
123-004 |
| PP |
122-251 |
122-251 |
122-251 |
122-215 |
| S1 |
122-066 |
122-066 |
122-180 |
121-314 |
| S2 |
121-241 |
121-241 |
122-150 |
|
| S3 |
120-231 |
121-056 |
122-119 |
|
| S4 |
119-221 |
120-046 |
122-028 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
123-072 |
122-107 |
0-285 |
0.7% |
0-128 |
0.3% |
84% |
True |
False |
492,705 |
| 10 |
123-117 |
122-107 |
1-010 |
0.8% |
0-124 |
0.3% |
73% |
False |
False |
485,506 |
| 20 |
123-117 |
122-000 |
1-117 |
1.1% |
0-141 |
0.4% |
79% |
False |
False |
450,689 |
| 40 |
123-117 |
119-080 |
4-037 |
3.3% |
0-131 |
0.3% |
93% |
False |
False |
227,997 |
| 60 |
123-117 |
117-270 |
5-167 |
4.5% |
0-087 |
0.2% |
95% |
False |
False |
152,003 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
124-186 |
|
2.618 |
124-019 |
|
1.618 |
123-237 |
|
1.000 |
123-174 |
|
0.618 |
123-135 |
|
HIGH |
123-072 |
|
0.618 |
123-033 |
|
0.500 |
123-021 |
|
0.382 |
123-009 |
|
LOW |
122-290 |
|
0.618 |
122-227 |
|
1.000 |
122-188 |
|
1.618 |
122-125 |
|
2.618 |
122-023 |
|
4.250 |
121-176 |
|
|
| Fisher Pivots for day following 20-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
123-025 |
123-002 |
| PP |
123-023 |
122-296 |
| S1 |
123-021 |
122-271 |
|