CME Euro FX (E) Future December 2011


Trading Metrics calculated at close of trading on 22-Sep-2011
Day Change Summary
Previous Current
21-Sep-2011 22-Sep-2011 Change Change % Previous Week
Open 1.3692 1.3577 -0.0115 -0.8% 1.3572
High 1.3791 1.3594 -0.0197 -1.4% 1.3925
Low 1.3554 1.3380 -0.0174 -1.3% 1.3500
Close 1.3665 1.3464 -0.0201 -1.5% 1.3783
Range 0.0237 0.0214 -0.0023 -9.7% 0.0425
ATR 0.0181 0.0189 0.0007 4.1% 0.0000
Volume 350,556 442,278 91,722 26.2% 850,432
Daily Pivots for day following 22-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.4121 1.4007 1.3582
R3 1.3907 1.3793 1.3523
R2 1.3693 1.3693 1.3503
R1 1.3579 1.3579 1.3484 1.3529
PP 1.3479 1.3479 1.3479 1.3455
S1 1.3365 1.3365 1.3444 1.3315
S2 1.3265 1.3265 1.3425
S3 1.3051 1.3151 1.3405
S4 1.2837 1.2937 1.3346
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 1.3872 1.3380 0.0492 3.7% 0.0174 1.3% 17% False True 340,001
10 1.3928 1.3380 0.0548 4.1% 0.0197 1.5% 15% False True 230,958
20 1.4558 1.3380 0.1178 8.7% 0.0178 1.3% 7% False True 118,454
40 1.4558 1.3380 0.1178 8.7% 0.0176 1.3% 7% False True 59,562
60 1.4558 1.3380 0.1178 8.7% 0.0164 1.2% 7% False True 39,783
80 1.4610 1.3380 0.1230 9.1% 0.0152 1.1% 7% False True 29,871
100 1.4731 1.3380 0.1351 10.0% 0.0131 1.0% 6% False True 23,898
120 1.4735 1.3380 0.1355 10.1% 0.0114 0.8% 6% False True 19,916
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
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 0.0055
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.4504
2.618 1.4154
1.618 1.3940
1.000 1.3808
0.618 1.3726
HIGH 1.3594
0.618 1.3512
0.500 1.3487
0.382 1.3462
LOW 1.3380
0.618 1.3248
1.000 1.3166
1.618 1.3034
2.618 1.2820
4.250 1.2471
Fisher Pivots for day following 22-Sep-2011
Pivot 1 day 3 day
R1 1.3487 1.3586
PP 1.3479 1.3545
S1 1.3472 1.3505

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

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