CME Euro FX (E) Future December 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 |
1.3660 |
1.3670 |
0.0010 |
0.1% |
1.4152 |
| High |
1.3732 |
1.3775 |
0.0043 |
0.3% |
1.4277 |
| Low |
1.3554 |
1.3586 |
0.0032 |
0.2% |
1.3623 |
| Close |
1.3703 |
1.3741 |
0.0038 |
0.3% |
1.3654 |
| Range |
0.0178 |
0.0189 |
0.0011 |
6.2% |
0.0654 |
| ATR |
0.0175 |
0.0176 |
0.0001 |
0.6% |
0.0000 |
| Volume |
106,145 |
146,405 |
40,260 |
37.9% |
97,198 |
|
| Daily Pivots for day following 14-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4268 |
1.4193 |
1.3845 |
|
| R3 |
1.4079 |
1.4004 |
1.3793 |
|
| R2 |
1.3890 |
1.3890 |
1.3776 |
|
| R1 |
1.3815 |
1.3815 |
1.3758 |
1.3853 |
| PP |
1.3701 |
1.3701 |
1.3701 |
1.3719 |
| S1 |
1.3626 |
1.3626 |
1.3724 |
1.3664 |
| S2 |
1.3512 |
1.3512 |
1.3706 |
|
| S3 |
1.3323 |
1.3437 |
1.3689 |
|
| S4 |
1.3134 |
1.3248 |
1.3637 |
|
|
| Weekly Pivots for week ending 09-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5813 |
1.5388 |
1.4014 |
|
| R3 |
1.5159 |
1.4734 |
1.3834 |
|
| R2 |
1.4505 |
1.4505 |
1.3774 |
|
| R1 |
1.4080 |
1.4080 |
1.3714 |
1.3966 |
| PP |
1.3851 |
1.3851 |
1.3851 |
1.3794 |
| S1 |
1.3426 |
1.3426 |
1.3594 |
1.3312 |
| S2 |
1.3197 |
1.3197 |
1.3534 |
|
| S3 |
1.2543 |
1.2772 |
1.3474 |
|
| S4 |
1.1889 |
1.2118 |
1.3294 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4088 |
1.3500 |
0.0588 |
4.3% |
0.0218 |
1.6% |
41% |
False |
False |
82,946 |
| 10 |
1.4439 |
1.3500 |
0.0939 |
6.8% |
0.0190 |
1.4% |
26% |
False |
False |
43,805 |
| 20 |
1.4558 |
1.3500 |
0.1058 |
7.7% |
0.0165 |
1.2% |
23% |
False |
False |
22,398 |
| 40 |
1.4558 |
1.3500 |
0.1058 |
7.7% |
0.0170 |
1.2% |
23% |
False |
False |
11,471 |
| 60 |
1.4558 |
1.3500 |
0.1058 |
7.7% |
0.0160 |
1.2% |
23% |
False |
False |
7,722 |
| 80 |
1.4610 |
1.3500 |
0.1110 |
8.1% |
0.0139 |
1.0% |
22% |
False |
False |
5,808 |
| 100 |
1.4735 |
1.3500 |
0.1235 |
9.0% |
0.0122 |
0.9% |
20% |
False |
False |
4,648 |
| 120 |
1.4735 |
1.3500 |
0.1235 |
9.0% |
0.0105 |
0.8% |
20% |
False |
False |
3,874 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4578 |
|
2.618 |
1.4270 |
|
1.618 |
1.4081 |
|
1.000 |
1.3964 |
|
0.618 |
1.3892 |
|
HIGH |
1.3775 |
|
0.618 |
1.3703 |
|
0.500 |
1.3681 |
|
0.382 |
1.3658 |
|
LOW |
1.3586 |
|
0.618 |
1.3469 |
|
1.000 |
1.3397 |
|
1.618 |
1.3280 |
|
2.618 |
1.3091 |
|
4.250 |
1.2783 |
|
|
| Fisher Pivots for day following 14-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3721 |
1.3707 |
| PP |
1.3701 |
1.3672 |
| S1 |
1.3681 |
1.3638 |
|