CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 03-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Sep-2011 |
03-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3580 |
1.3353 |
-0.0227 |
-1.7% |
1.3501 |
| High |
1.3596 |
1.3379 |
-0.0217 |
-1.6% |
1.3684 |
| Low |
1.3380 |
1.3161 |
-0.0219 |
-1.6% |
1.3357 |
| Close |
1.3415 |
1.3217 |
-0.0198 |
-1.5% |
1.3415 |
| Range |
0.0216 |
0.0218 |
0.0002 |
0.9% |
0.0327 |
| ATR |
0.0186 |
0.0191 |
0.0005 |
2.6% |
0.0000 |
| Volume |
314,928 |
373,494 |
58,566 |
18.6% |
1,649,951 |
|
| Daily Pivots for day following 03-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3906 |
1.3780 |
1.3337 |
|
| R3 |
1.3688 |
1.3562 |
1.3277 |
|
| R2 |
1.3470 |
1.3470 |
1.3257 |
|
| R1 |
1.3344 |
1.3344 |
1.3237 |
1.3298 |
| PP |
1.3252 |
1.3252 |
1.3252 |
1.3230 |
| S1 |
1.3126 |
1.3126 |
1.3197 |
1.3080 |
| S2 |
1.3034 |
1.3034 |
1.3177 |
|
| S3 |
1.2816 |
1.2908 |
1.3157 |
|
| S4 |
1.2598 |
1.2690 |
1.3097 |
|
|
| 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 |
1.3161 |
0.0523 |
4.0% |
0.0189 |
1.4% |
11% |
False |
True |
326,369 |
| 10 |
1.3791 |
1.3161 |
0.0630 |
4.8% |
0.0188 |
1.4% |
9% |
False |
True |
348,015 |
| 20 |
1.4277 |
1.3161 |
0.1116 |
8.4% |
0.0197 |
1.5% |
5% |
False |
True |
236,684 |
| 40 |
1.4558 |
1.3161 |
0.1397 |
10.6% |
0.0174 |
1.3% |
4% |
False |
True |
119,006 |
| 60 |
1.4558 |
1.3161 |
0.1397 |
10.6% |
0.0171 |
1.3% |
4% |
False |
True |
79,465 |
| 80 |
1.4558 |
1.3161 |
0.1397 |
10.6% |
0.0163 |
1.2% |
4% |
False |
True |
59,644 |
| 100 |
1.4610 |
1.3161 |
0.1449 |
11.0% |
0.0138 |
1.0% |
4% |
False |
True |
47,717 |
| 120 |
1.4735 |
1.3161 |
0.1574 |
11.9% |
0.0125 |
0.9% |
4% |
False |
True |
39,765 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4306 |
|
2.618 |
1.3950 |
|
1.618 |
1.3732 |
|
1.000 |
1.3597 |
|
0.618 |
1.3514 |
|
HIGH |
1.3379 |
|
0.618 |
1.3296 |
|
0.500 |
1.3270 |
|
0.382 |
1.3244 |
|
LOW |
1.3161 |
|
0.618 |
1.3026 |
|
1.000 |
1.2943 |
|
1.618 |
1.2808 |
|
2.618 |
1.2590 |
|
4.250 |
1.2235 |
|
|
| Fisher Pivots for day following 03-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3270 |
1.3418 |
| PP |
1.3252 |
1.3351 |
| S1 |
1.3235 |
1.3284 |
|