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
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0044
Widest range in 7 trading days
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

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

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