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 |
|
|
|
| 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 |
|