CME Euro FX (E) Future December 2011


Trading Metrics calculated at close of trading on 27-Sep-2011
Day Change Summary
Previous Current
26-Sep-2011 27-Sep-2011 Change Change % Previous Week
Open 1.3501 1.3520 0.0019 0.1% 1.3672
High 1.3545 1.3662 0.0117 0.9% 1.3791
Low 1.3357 1.3474 0.0117 0.9% 1.3380
Close 1.3459 1.3639 0.0180 1.3% 1.3455
Range 0.0188 0.0188 0.0000 0.0% 0.0411
ATR 0.0186 0.0187 0.0001 0.7% 0.0000
Volume 391,599 365,704 -25,895 -6.6% 1,762,613
Daily Pivots for day following 27-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.4156 1.4085 1.3742
R3 1.3968 1.3897 1.3691
R2 1.3780 1.3780 1.3673
R1 1.3709 1.3709 1.3656 1.3745
PP 1.3592 1.3592 1.3592 1.3609
S1 1.3521 1.3521 1.3622 1.3557
S2 1.3404 1.3404 1.3605
S3 1.3216 1.3333 1.3587
S4 1.3028 1.3145 1.3536
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% 0.0195 1.4% 65% False False 381,725
10 1.3925 1.3357 0.0568 4.2% 0.0182 1.3% 50% False False 318,724
20 1.4511 1.3357 0.1154 8.5% 0.0184 1.3% 24% False False 174,022
40 1.4558 1.3357 0.1201 8.8% 0.0175 1.3% 23% False False 87,428
60 1.4558 1.3357 0.1201 8.8% 0.0168 1.2% 23% False False 58,371
80 1.4610 1.3357 0.1253 9.2% 0.0156 1.1% 23% False False 43,818
100 1.4610 1.3357 0.1253 9.2% 0.0133 1.0% 23% False False 35,056
120 1.4735 1.3357 0.1378 10.1% 0.0118 0.9% 20% False False 29,214
Crabel Price Patterns
NR False
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 0.0048
Fibonacci Retracements and Extensions
4.250 1.4461
2.618 1.4154
1.618 1.3966
1.000 1.3850
0.618 1.3778
HIGH 1.3662
0.618 1.3590
0.500 1.3568
0.382 1.3546
LOW 1.3474
0.618 1.3358
1.000 1.3286
1.618 1.3170
2.618 1.2982
4.250 1.2675
Fisher Pivots for day following 27-Sep-2011
Pivot 1 day 3 day
R1 1.3615 1.3596
PP 1.3592 1.3553
S1 1.3568 1.3510

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

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