CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 26-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Sep-2011 |
26-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3458 |
1.3501 |
0.0043 |
0.3% |
1.3672 |
| High |
1.3563 |
1.3545 |
-0.0018 |
-0.1% |
1.3791 |
| Low |
1.3414 |
1.3357 |
-0.0057 |
-0.4% |
1.3380 |
| Close |
1.3455 |
1.3459 |
0.0004 |
0.0% |
1.3455 |
| Range |
0.0149 |
0.0188 |
0.0039 |
26.2% |
0.0411 |
| ATR |
0.0186 |
0.0186 |
0.0000 |
0.1% |
0.0000 |
| Volume |
358,488 |
391,599 |
33,111 |
9.2% |
1,762,613 |
|
| Daily Pivots for day following 26-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4018 |
1.3926 |
1.3562 |
|
| R3 |
1.3830 |
1.3738 |
1.3511 |
|
| R2 |
1.3642 |
1.3642 |
1.3493 |
|
| R1 |
1.3550 |
1.3550 |
1.3476 |
1.3502 |
| PP |
1.3454 |
1.3454 |
1.3454 |
1.3430 |
| S1 |
1.3362 |
1.3362 |
1.3442 |
1.3314 |
| S2 |
1.3266 |
1.3266 |
1.3425 |
|
| S3 |
1.3078 |
1.3174 |
1.3407 |
|
| S4 |
1.2890 |
1.2986 |
1.3356 |
|
|
| 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 |
1.3357 |
0.0434 |
3.2% |
0.0188 |
1.4% |
24% |
False |
True |
369,661 |
| 10 |
1.3925 |
1.3357 |
0.0568 |
4.2% |
0.0181 |
1.3% |
18% |
False |
True |
292,768 |
| 20 |
1.4558 |
1.3357 |
0.1201 |
8.9% |
0.0180 |
1.3% |
8% |
False |
True |
155,884 |
| 40 |
1.4558 |
1.3357 |
0.1201 |
8.9% |
0.0177 |
1.3% |
8% |
False |
True |
78,298 |
| 60 |
1.4558 |
1.3357 |
0.1201 |
8.9% |
0.0167 |
1.2% |
8% |
False |
True |
52,281 |
| 80 |
1.4610 |
1.3357 |
0.1253 |
9.3% |
0.0155 |
1.1% |
8% |
False |
True |
39,247 |
| 100 |
1.4731 |
1.3357 |
0.1374 |
10.2% |
0.0134 |
1.0% |
7% |
False |
True |
31,399 |
| 120 |
1.4735 |
1.3357 |
0.1378 |
10.2% |
0.0117 |
0.9% |
7% |
False |
True |
26,167 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4344 |
|
2.618 |
1.4037 |
|
1.618 |
1.3849 |
|
1.000 |
1.3733 |
|
0.618 |
1.3661 |
|
HIGH |
1.3545 |
|
0.618 |
1.3473 |
|
0.500 |
1.3451 |
|
0.382 |
1.3429 |
|
LOW |
1.3357 |
|
0.618 |
1.3241 |
|
1.000 |
1.3169 |
|
1.618 |
1.3053 |
|
2.618 |
1.2865 |
|
4.250 |
1.2558 |
|
|
| Fisher Pivots for day following 26-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3456 |
1.3476 |
| PP |
1.3454 |
1.3470 |
| S1 |
1.3451 |
1.3465 |
|