CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 29-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
28-Sep-2011 |
29-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3582 |
1.3523 |
-0.0059 |
-0.4% |
1.3672 |
| High |
1.3684 |
1.3675 |
-0.0009 |
-0.1% |
1.3791 |
| Low |
1.3525 |
1.3513 |
-0.0012 |
-0.1% |
1.3380 |
| Close |
1.3571 |
1.3556 |
-0.0015 |
-0.1% |
1.3455 |
| Range |
0.0159 |
0.0162 |
0.0003 |
1.9% |
0.0411 |
| ATR |
0.0185 |
0.0184 |
-0.0002 |
-0.9% |
0.0000 |
| Volume |
301,985 |
275,735 |
-26,250 |
-8.7% |
1,762,613 |
|
| Daily Pivots for day following 29-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4067 |
1.3974 |
1.3645 |
|
| R3 |
1.3905 |
1.3812 |
1.3601 |
|
| R2 |
1.3743 |
1.3743 |
1.3586 |
|
| R1 |
1.3650 |
1.3650 |
1.3571 |
1.3697 |
| PP |
1.3581 |
1.3581 |
1.3581 |
1.3605 |
| S1 |
1.3488 |
1.3488 |
1.3541 |
1.3535 |
| S2 |
1.3419 |
1.3419 |
1.3526 |
|
| S3 |
1.3257 |
1.3326 |
1.3511 |
|
| S4 |
1.3095 |
1.3164 |
1.3467 |
|
|
| 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% |
0.0169 |
1.2% |
61% |
False |
False |
338,702 |
| 10 |
1.3872 |
1.3357 |
0.0515 |
3.8% |
0.0172 |
1.3% |
39% |
False |
False |
339,352 |
| 20 |
1.4358 |
1.3357 |
0.1001 |
7.4% |
0.0187 |
1.4% |
20% |
False |
False |
202,705 |
| 40 |
1.4558 |
1.3357 |
0.1201 |
8.9% |
0.0176 |
1.3% |
17% |
False |
False |
101,833 |
| 60 |
1.4558 |
1.3357 |
0.1201 |
8.9% |
0.0168 |
1.2% |
17% |
False |
False |
67,996 |
| 80 |
1.4558 |
1.3357 |
0.1201 |
8.9% |
0.0159 |
1.2% |
17% |
False |
False |
51,039 |
| 100 |
1.4610 |
1.3357 |
0.1253 |
9.2% |
0.0134 |
1.0% |
16% |
False |
False |
40,833 |
| 120 |
1.4735 |
1.3357 |
0.1378 |
10.2% |
0.0121 |
0.9% |
14% |
False |
False |
34,028 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4364 |
|
2.618 |
1.4099 |
|
1.618 |
1.3937 |
|
1.000 |
1.3837 |
|
0.618 |
1.3775 |
|
HIGH |
1.3675 |
|
0.618 |
1.3613 |
|
0.500 |
1.3594 |
|
0.382 |
1.3575 |
|
LOW |
1.3513 |
|
0.618 |
1.3413 |
|
1.000 |
1.3351 |
|
1.618 |
1.3251 |
|
2.618 |
1.3089 |
|
4.250 |
1.2825 |
|
|
| Fisher Pivots for day following 29-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3594 |
1.3579 |
| PP |
1.3581 |
1.3571 |
| S1 |
1.3569 |
1.3564 |
|