CME Euro FX (E) Future December 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 1.3670 1.3733 0.0063 0.5% 1.4152
High 1.3775 1.3925 0.0150 1.1% 1.4277
Low 1.3586 1.3694 0.0108 0.8% 1.3623
Close 1.3741 1.3875 0.0134 1.0% 1.3654
Range 0.0189 0.0231 0.0042 22.2% 0.0654
ATR 0.0176 0.0180 0.0004 2.2% 0.0000
Volume 146,405 225,042 78,637 53.7% 97,198
Daily Pivots for day following 15-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.4524 1.4431 1.4002
R3 1.4293 1.4200 1.3939
R2 1.4062 1.4062 1.3917
R1 1.3969 1.3969 1.3896 1.4016
PP 1.3831 1.3831 1.3831 1.3855
S1 1.3738 1.3738 1.3854 1.3785
S2 1.3600 1.3600 1.3833
S3 1.3369 1.3507 1.3811
S4 1.3138 1.3276 1.3748
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 1.3928 1.3500 0.0428 3.1% 0.0219 1.6% 88% False False 121,914
10 1.4358 1.3500 0.0858 6.2% 0.0203 1.5% 44% False False 66,058
20 1.4558 1.3500 0.1058 7.6% 0.0168 1.2% 35% False False 33,624
40 1.4558 1.3500 0.1058 7.6% 0.0174 1.3% 35% False False 17,092
60 1.4558 1.3500 0.1058 7.6% 0.0162 1.2% 35% False False 11,467
80 1.4610 1.3500 0.1110 8.0% 0.0142 1.0% 34% False False 8,621
100 1.4735 1.3500 0.1235 8.9% 0.0124 0.9% 30% False False 6,898
120 1.4735 1.3500 0.1235 8.9% 0.0107 0.8% 30% False False 5,749
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 0.0048
Widest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1.4907
2.618 1.4530
1.618 1.4299
1.000 1.4156
0.618 1.4068
HIGH 1.3925
0.618 1.3837
0.500 1.3810
0.382 1.3782
LOW 1.3694
0.618 1.3551
1.000 1.3463
1.618 1.3320
2.618 1.3089
4.250 1.2712
Fisher Pivots for day following 15-Sep-2011
Pivot 1 day 3 day
R1 1.3853 1.3830
PP 1.3831 1.3785
S1 1.3810 1.3740

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

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