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 |
|
|
|
| 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 |
|