CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 19-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
16-Sep-2011 |
19-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3872 |
1.3672 |
-0.0200 |
-1.4% |
1.3572 |
| High |
1.3872 |
1.3711 |
-0.0161 |
-1.2% |
1.3925 |
| Low |
1.3740 |
1.3577 |
-0.0163 |
-1.2% |
1.3500 |
| Close |
1.3783 |
1.3658 |
-0.0125 |
-0.9% |
1.3783 |
| Range |
0.0132 |
0.0134 |
0.0002 |
1.5% |
0.0425 |
| ATR |
0.0177 |
0.0179 |
0.0002 |
1.2% |
0.0000 |
| Volume |
295,884 |
305,905 |
10,021 |
3.4% |
850,432 |
|
| Daily Pivots for day following 19-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4051 |
1.3988 |
1.3732 |
|
| R3 |
1.3917 |
1.3854 |
1.3695 |
|
| R2 |
1.3783 |
1.3783 |
1.3683 |
|
| R1 |
1.3720 |
1.3720 |
1.3670 |
1.3685 |
| PP |
1.3649 |
1.3649 |
1.3649 |
1.3631 |
| S1 |
1.3586 |
1.3586 |
1.3646 |
1.3551 |
| S2 |
1.3515 |
1.3515 |
1.3633 |
|
| S3 |
1.3381 |
1.3452 |
1.3621 |
|
| S4 |
1.3247 |
1.3318 |
1.3584 |
|
|
| Weekly Pivots for week ending 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5011 |
1.4822 |
1.4017 |
|
| R3 |
1.4586 |
1.4397 |
1.3900 |
|
| R2 |
1.4161 |
1.4161 |
1.3861 |
|
| R1 |
1.3972 |
1.3972 |
1.3822 |
1.4067 |
| PP |
1.3736 |
1.3736 |
1.3736 |
1.3783 |
| S1 |
1.3547 |
1.3547 |
1.3744 |
1.3642 |
| S2 |
1.3311 |
1.3311 |
1.3705 |
|
| S3 |
1.2886 |
1.3122 |
1.3666 |
|
| S4 |
1.2461 |
1.2697 |
1.3549 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3925 |
1.3554 |
0.0371 |
2.7% |
0.0173 |
1.3% |
28% |
False |
False |
215,876 |
| 10 |
1.4277 |
1.3500 |
0.0777 |
5.7% |
0.0205 |
1.5% |
20% |
False |
False |
125,353 |
| 20 |
1.4558 |
1.3500 |
0.1058 |
7.7% |
0.0163 |
1.2% |
15% |
False |
False |
63,630 |
| 40 |
1.4558 |
1.3500 |
0.1058 |
7.7% |
0.0171 |
1.2% |
15% |
False |
False |
32,130 |
| 60 |
1.4558 |
1.3500 |
0.1058 |
7.7% |
0.0162 |
1.2% |
15% |
False |
False |
21,488 |
| 80 |
1.4610 |
1.3500 |
0.1110 |
8.1% |
0.0145 |
1.1% |
14% |
False |
False |
16,143 |
| 100 |
1.4735 |
1.3500 |
0.1235 |
9.0% |
0.0126 |
0.9% |
13% |
False |
False |
12,916 |
| 120 |
1.4735 |
1.3500 |
0.1235 |
9.0% |
0.0109 |
0.8% |
13% |
False |
False |
10,764 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4281 |
|
2.618 |
1.4062 |
|
1.618 |
1.3928 |
|
1.000 |
1.3845 |
|
0.618 |
1.3794 |
|
HIGH |
1.3711 |
|
0.618 |
1.3660 |
|
0.500 |
1.3644 |
|
0.382 |
1.3628 |
|
LOW |
1.3577 |
|
0.618 |
1.3494 |
|
1.000 |
1.3443 |
|
1.618 |
1.3360 |
|
2.618 |
1.3226 |
|
4.250 |
1.3008 |
|
|
| Fisher Pivots for day following 19-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3653 |
1.3751 |
| PP |
1.3649 |
1.3720 |
| S1 |
1.3644 |
1.3689 |
|