CME Euro FX (E) 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 |
1.3672 |
1.3668 |
-0.0004 |
0.0% |
1.3572 |
| High |
1.3711 |
1.3738 |
0.0027 |
0.2% |
1.3925 |
| Low |
1.3577 |
1.3585 |
0.0008 |
0.1% |
1.3500 |
| Close |
1.3658 |
1.3678 |
0.0020 |
0.1% |
1.3783 |
| Range |
0.0134 |
0.0153 |
0.0019 |
14.2% |
0.0425 |
| ATR |
0.0179 |
0.0177 |
-0.0002 |
-1.0% |
0.0000 |
| Volume |
305,905 |
305,386 |
-519 |
-0.2% |
850,432 |
|
| Daily Pivots for day following 20-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4126 |
1.4055 |
1.3762 |
|
| R3 |
1.3973 |
1.3902 |
1.3720 |
|
| R2 |
1.3820 |
1.3820 |
1.3706 |
|
| R1 |
1.3749 |
1.3749 |
1.3692 |
1.3785 |
| PP |
1.3667 |
1.3667 |
1.3667 |
1.3685 |
| S1 |
1.3596 |
1.3596 |
1.3664 |
1.3632 |
| S2 |
1.3514 |
1.3514 |
1.3650 |
|
| S3 |
1.3361 |
1.3443 |
1.3636 |
|
| S4 |
1.3208 |
1.3290 |
1.3594 |
|
|
| 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 |
1.3577 |
0.0348 |
2.5% |
0.0168 |
1.2% |
29% |
False |
False |
255,724 |
| 10 |
1.4140 |
1.3500 |
0.0640 |
4.7% |
0.0189 |
1.4% |
28% |
False |
False |
155,892 |
| 20 |
1.4558 |
1.3500 |
0.1058 |
7.7% |
0.0167 |
1.2% |
17% |
False |
False |
78,869 |
| 40 |
1.4558 |
1.3500 |
0.1058 |
7.7% |
0.0173 |
1.3% |
17% |
False |
False |
39,754 |
| 60 |
1.4558 |
1.3500 |
0.1058 |
7.7% |
0.0162 |
1.2% |
17% |
False |
False |
26,574 |
| 80 |
1.4610 |
1.3500 |
0.1110 |
8.1% |
0.0146 |
1.1% |
16% |
False |
False |
19,960 |
| 100 |
1.4735 |
1.3500 |
0.1235 |
9.0% |
0.0127 |
0.9% |
14% |
False |
False |
15,970 |
| 120 |
1.4735 |
1.3500 |
0.1235 |
9.0% |
0.0110 |
0.8% |
14% |
False |
False |
13,309 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4388 |
|
2.618 |
1.4139 |
|
1.618 |
1.3986 |
|
1.000 |
1.3891 |
|
0.618 |
1.3833 |
|
HIGH |
1.3738 |
|
0.618 |
1.3680 |
|
0.500 |
1.3662 |
|
0.382 |
1.3643 |
|
LOW |
1.3585 |
|
0.618 |
1.3490 |
|
1.000 |
1.3432 |
|
1.618 |
1.3337 |
|
2.618 |
1.3184 |
|
4.250 |
1.2935 |
|
|
| Fisher Pivots for day following 20-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3673 |
1.3725 |
| PP |
1.3667 |
1.3709 |
| S1 |
1.3662 |
1.3694 |
|