CME Euro FX (E) Future December 2011


Trading Metrics calculated at close of trading on 23-Sep-2011
Day Change Summary
Previous Current
22-Sep-2011 23-Sep-2011 Change Change % Previous Week
Open 1.3577 1.3458 -0.0119 -0.9% 1.3672
High 1.3594 1.3563 -0.0031 -0.2% 1.3791
Low 1.3380 1.3414 0.0034 0.3% 1.3380
Close 1.3464 1.3455 -0.0009 -0.1% 1.3455
Range 0.0214 0.0149 -0.0065 -30.4% 0.0411
ATR 0.0189 0.0186 -0.0003 -1.5% 0.0000
Volume 442,278 358,488 -83,790 -18.9% 1,762,613
Daily Pivots for day following 23-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.3924 1.3839 1.3537
R3 1.3775 1.3690 1.3496
R2 1.3626 1.3626 1.3482
R1 1.3541 1.3541 1.3469 1.3509
PP 1.3477 1.3477 1.3477 1.3462
S1 1.3392 1.3392 1.3441 1.3360
S2 1.3328 1.3328 1.3428
S3 1.3179 1.3243 1.3414
S4 1.3030 1.3094 1.3373
Weekly Pivots for week ending 23-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.4775 1.4526 1.3681
R3 1.4364 1.4115 1.3568
R2 1.3953 1.3953 1.3530
R1 1.3704 1.3704 1.3493 1.3623
PP 1.3542 1.3542 1.3542 1.3502
S1 1.3293 1.3293 1.3417 1.3212
S2 1.3131 1.3131 1.3380
S3 1.2720 1.2882 1.3342
S4 1.2309 1.2471 1.3229
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.3791 1.3380 0.0411 3.1% 0.0177 1.3% 18% False False 352,522
10 1.3925 1.3380 0.0545 4.1% 0.0181 1.3% 14% False False 261,304
20 1.4558 1.3380 0.1178 8.8% 0.0179 1.3% 6% False False 136,332
40 1.4558 1.3380 0.1178 8.8% 0.0177 1.3% 6% False False 68,521
60 1.4558 1.3380 0.1178 8.8% 0.0165 1.2% 6% False False 45,757
80 1.4610 1.3380 0.1230 9.1% 0.0154 1.1% 6% False False 34,352
100 1.4731 1.3380 0.1351 10.0% 0.0133 1.0% 6% False False 27,483
120 1.4735 1.3380 0.1355 10.1% 0.0115 0.9% 6% False False 22,903
Crabel Price Patterns
NR True
NR4 True
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0054
Narrowest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1.4196
2.618 1.3953
1.618 1.3804
1.000 1.3712
0.618 1.3655
HIGH 1.3563
0.618 1.3506
0.500 1.3489
0.382 1.3471
LOW 1.3414
0.618 1.3322
1.000 1.3265
1.618 1.3173
2.618 1.3024
4.250 1.2781
Fisher Pivots for day following 23-Sep-2011
Pivot 1 day 3 day
R1 1.3489 1.3586
PP 1.3477 1.3542
S1 1.3466 1.3499

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

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