CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 21-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Sep-2011 |
21-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3668 |
1.3692 |
0.0024 |
0.2% |
1.3572 |
| High |
1.3738 |
1.3791 |
0.0053 |
0.4% |
1.3925 |
| Low |
1.3585 |
1.3554 |
-0.0031 |
-0.2% |
1.3500 |
| Close |
1.3678 |
1.3665 |
-0.0013 |
-0.1% |
1.3783 |
| Range |
0.0153 |
0.0237 |
0.0084 |
54.9% |
0.0425 |
| ATR |
0.0177 |
0.0181 |
0.0004 |
2.4% |
0.0000 |
| Volume |
305,386 |
350,556 |
45,170 |
14.8% |
850,432 |
|
| Daily Pivots for day following 21-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4381 |
1.4260 |
1.3795 |
|
| R3 |
1.4144 |
1.4023 |
1.3730 |
|
| R2 |
1.3907 |
1.3907 |
1.3708 |
|
| R1 |
1.3786 |
1.3786 |
1.3687 |
1.3728 |
| PP |
1.3670 |
1.3670 |
1.3670 |
1.3641 |
| S1 |
1.3549 |
1.3549 |
1.3643 |
1.3491 |
| S2 |
1.3433 |
1.3433 |
1.3622 |
|
| S3 |
1.3196 |
1.3312 |
1.3600 |
|
| S4 |
1.2959 |
1.3075 |
1.3535 |
|
|
| 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% |
0.0177 |
1.3% |
30% |
False |
True |
296,554 |
| 10 |
1.4088 |
1.3500 |
0.0588 |
4.3% |
0.0198 |
1.4% |
28% |
False |
False |
189,750 |
| 20 |
1.4558 |
1.3500 |
0.1058 |
7.7% |
0.0172 |
1.3% |
16% |
False |
False |
96,378 |
| 40 |
1.4558 |
1.3500 |
0.1058 |
7.7% |
0.0175 |
1.3% |
16% |
False |
False |
48,515 |
| 60 |
1.4558 |
1.3500 |
0.1058 |
7.7% |
0.0163 |
1.2% |
16% |
False |
False |
32,414 |
| 80 |
1.4610 |
1.3500 |
0.1110 |
8.1% |
0.0149 |
1.1% |
15% |
False |
False |
24,342 |
| 100 |
1.4735 |
1.3500 |
0.1235 |
9.0% |
0.0129 |
0.9% |
13% |
False |
False |
19,476 |
| 120 |
1.4735 |
1.3500 |
0.1235 |
9.0% |
0.0112 |
0.8% |
13% |
False |
False |
16,230 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4798 |
|
2.618 |
1.4411 |
|
1.618 |
1.4174 |
|
1.000 |
1.4028 |
|
0.618 |
1.3937 |
|
HIGH |
1.3791 |
|
0.618 |
1.3700 |
|
0.500 |
1.3673 |
|
0.382 |
1.3645 |
|
LOW |
1.3554 |
|
0.618 |
1.3408 |
|
1.000 |
1.3317 |
|
1.618 |
1.3171 |
|
2.618 |
1.2934 |
|
4.250 |
1.2547 |
|
|
| Fisher Pivots for day following 21-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3673 |
1.3673 |
| PP |
1.3670 |
1.3670 |
| S1 |
1.3668 |
1.3668 |
|