CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 28-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Sep-2011 |
28-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3520 |
1.3582 |
0.0062 |
0.5% |
1.3672 |
| High |
1.3662 |
1.3684 |
0.0022 |
0.2% |
1.3791 |
| Low |
1.3474 |
1.3525 |
0.0051 |
0.4% |
1.3380 |
| Close |
1.3639 |
1.3571 |
-0.0068 |
-0.5% |
1.3455 |
| Range |
0.0188 |
0.0159 |
-0.0029 |
-15.4% |
0.0411 |
| ATR |
0.0187 |
0.0185 |
-0.0002 |
-1.1% |
0.0000 |
| Volume |
365,704 |
301,985 |
-63,719 |
-17.4% |
1,762,613 |
|
| Daily Pivots for day following 28-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4070 |
1.3980 |
1.3658 |
|
| R3 |
1.3911 |
1.3821 |
1.3615 |
|
| R2 |
1.3752 |
1.3752 |
1.3600 |
|
| R1 |
1.3662 |
1.3662 |
1.3586 |
1.3628 |
| PP |
1.3593 |
1.3593 |
1.3593 |
1.3576 |
| S1 |
1.3503 |
1.3503 |
1.3556 |
1.3469 |
| S2 |
1.3434 |
1.3434 |
1.3542 |
|
| S3 |
1.3275 |
1.3344 |
1.3527 |
|
| S4 |
1.3116 |
1.3185 |
1.3484 |
|
|
| 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 |
1.3684 |
1.3357 |
0.0327 |
2.4% |
0.0180 |
1.3% |
65% |
True |
False |
372,010 |
| 10 |
1.3925 |
1.3357 |
0.0568 |
4.2% |
0.0179 |
1.3% |
38% |
False |
False |
334,282 |
| 20 |
1.4439 |
1.3357 |
0.1082 |
8.0% |
0.0184 |
1.4% |
20% |
False |
False |
189,044 |
| 40 |
1.4558 |
1.3357 |
0.1201 |
8.8% |
0.0176 |
1.3% |
18% |
False |
False |
94,947 |
| 60 |
1.4558 |
1.3357 |
0.1201 |
8.8% |
0.0168 |
1.2% |
18% |
False |
False |
63,402 |
| 80 |
1.4610 |
1.3357 |
0.1253 |
9.2% |
0.0158 |
1.2% |
17% |
False |
False |
47,592 |
| 100 |
1.4610 |
1.3357 |
0.1253 |
9.2% |
0.0133 |
1.0% |
17% |
False |
False |
38,076 |
| 120 |
1.4735 |
1.3357 |
0.1378 |
10.2% |
0.0120 |
0.9% |
16% |
False |
False |
31,731 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4360 |
|
2.618 |
1.4100 |
|
1.618 |
1.3941 |
|
1.000 |
1.3843 |
|
0.618 |
1.3782 |
|
HIGH |
1.3684 |
|
0.618 |
1.3623 |
|
0.500 |
1.3605 |
|
0.382 |
1.3586 |
|
LOW |
1.3525 |
|
0.618 |
1.3427 |
|
1.000 |
1.3366 |
|
1.618 |
1.3268 |
|
2.618 |
1.3109 |
|
4.250 |
1.2849 |
|
|
| Fisher Pivots for day following 28-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3605 |
1.3554 |
| PP |
1.3593 |
1.3537 |
| S1 |
1.3582 |
1.3521 |
|