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 |
|
|
|
| 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 |
|