CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 30-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Sep-2011 |
30-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3523 |
1.3580 |
0.0057 |
0.4% |
1.3501 |
| High |
1.3675 |
1.3596 |
-0.0079 |
-0.6% |
1.3684 |
| Low |
1.3513 |
1.3380 |
-0.0133 |
-1.0% |
1.3357 |
| Close |
1.3556 |
1.3415 |
-0.0141 |
-1.0% |
1.3415 |
| Range |
0.0162 |
0.0216 |
0.0054 |
33.3% |
0.0327 |
| ATR |
0.0184 |
0.0186 |
0.0002 |
1.3% |
0.0000 |
| Volume |
275,735 |
314,928 |
39,193 |
14.2% |
1,649,951 |
|
| Daily Pivots for day following 30-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4112 |
1.3979 |
1.3534 |
|
| R3 |
1.3896 |
1.3763 |
1.3474 |
|
| R2 |
1.3680 |
1.3680 |
1.3455 |
|
| R1 |
1.3547 |
1.3547 |
1.3435 |
1.3506 |
| PP |
1.3464 |
1.3464 |
1.3464 |
1.3443 |
| S1 |
1.3331 |
1.3331 |
1.3395 |
1.3290 |
| S2 |
1.3248 |
1.3248 |
1.3375 |
|
| S3 |
1.3032 |
1.3115 |
1.3356 |
|
| S4 |
1.2816 |
1.2899 |
1.3296 |
|
|
| Weekly Pivots for week ending 30-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4466 |
1.4268 |
1.3595 |
|
| R3 |
1.4139 |
1.3941 |
1.3505 |
|
| R2 |
1.3812 |
1.3812 |
1.3475 |
|
| R1 |
1.3614 |
1.3614 |
1.3445 |
1.3550 |
| PP |
1.3485 |
1.3485 |
1.3485 |
1.3453 |
| S1 |
1.3287 |
1.3287 |
1.3385 |
1.3223 |
| S2 |
1.3158 |
1.3158 |
1.3355 |
|
| S3 |
1.2831 |
1.2960 |
1.3325 |
|
| S4 |
1.2504 |
1.2633 |
1.3235 |
|
|
| 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% |
0.0183 |
1.4% |
18% |
False |
False |
329,990 |
| 10 |
1.3791 |
1.3357 |
0.0434 |
3.2% |
0.0180 |
1.3% |
13% |
False |
False |
341,256 |
| 20 |
1.4277 |
1.3357 |
0.0920 |
6.9% |
0.0191 |
1.4% |
6% |
False |
False |
218,207 |
| 40 |
1.4558 |
1.3357 |
0.1201 |
9.0% |
0.0175 |
1.3% |
5% |
False |
False |
109,688 |
| 60 |
1.4558 |
1.3357 |
0.1201 |
9.0% |
0.0169 |
1.3% |
5% |
False |
False |
73,242 |
| 80 |
1.4558 |
1.3357 |
0.1201 |
9.0% |
0.0162 |
1.2% |
5% |
False |
False |
54,975 |
| 100 |
1.4610 |
1.3357 |
0.1253 |
9.3% |
0.0136 |
1.0% |
5% |
False |
False |
43,982 |
| 120 |
1.4735 |
1.3357 |
0.1378 |
10.3% |
0.0123 |
0.9% |
4% |
False |
False |
36,653 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4514 |
|
2.618 |
1.4161 |
|
1.618 |
1.3945 |
|
1.000 |
1.3812 |
|
0.618 |
1.3729 |
|
HIGH |
1.3596 |
|
0.618 |
1.3513 |
|
0.500 |
1.3488 |
|
0.382 |
1.3463 |
|
LOW |
1.3380 |
|
0.618 |
1.3247 |
|
1.000 |
1.3164 |
|
1.618 |
1.3031 |
|
2.618 |
1.2815 |
|
4.250 |
1.2462 |
|
|
| Fisher Pivots for day following 30-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3488 |
1.3532 |
| PP |
1.3464 |
1.3493 |
| S1 |
1.3439 |
1.3454 |
|