CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 04-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Oct-2011 |
04-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3353 |
1.3183 |
-0.0170 |
-1.3% |
1.3501 |
| High |
1.3379 |
1.3368 |
-0.0011 |
-0.1% |
1.3684 |
| Low |
1.3161 |
1.3142 |
-0.0019 |
-0.1% |
1.3357 |
| Close |
1.3217 |
1.3236 |
0.0019 |
0.1% |
1.3415 |
| Range |
0.0218 |
0.0226 |
0.0008 |
3.7% |
0.0327 |
| ATR |
0.0191 |
0.0193 |
0.0003 |
1.3% |
0.0000 |
| Volume |
373,494 |
405,306 |
31,812 |
8.5% |
1,649,951 |
|
| Daily Pivots for day following 04-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3927 |
1.3807 |
1.3360 |
|
| R3 |
1.3701 |
1.3581 |
1.3298 |
|
| R2 |
1.3475 |
1.3475 |
1.3277 |
|
| R1 |
1.3355 |
1.3355 |
1.3257 |
1.3415 |
| PP |
1.3249 |
1.3249 |
1.3249 |
1.3279 |
| S1 |
1.3129 |
1.3129 |
1.3215 |
1.3189 |
| S2 |
1.3023 |
1.3023 |
1.3195 |
|
| S3 |
1.2797 |
1.2903 |
1.3174 |
|
| S4 |
1.2571 |
1.2677 |
1.3112 |
|
|
| 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 |
1.3142 |
0.0542 |
4.1% |
0.0196 |
1.5% |
17% |
False |
True |
334,289 |
| 10 |
1.3791 |
1.3142 |
0.0649 |
4.9% |
0.0196 |
1.5% |
14% |
False |
True |
358,007 |
| 20 |
1.4140 |
1.3142 |
0.0998 |
7.5% |
0.0192 |
1.5% |
9% |
False |
True |
256,949 |
| 40 |
1.4558 |
1.3142 |
0.1416 |
10.7% |
0.0174 |
1.3% |
7% |
False |
True |
129,117 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.7% |
0.0171 |
1.3% |
7% |
False |
True |
86,217 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.7% |
0.0163 |
1.2% |
7% |
False |
True |
64,710 |
| 100 |
1.4610 |
1.3142 |
0.1468 |
11.1% |
0.0140 |
1.1% |
6% |
False |
True |
51,770 |
| 120 |
1.4735 |
1.3142 |
0.1593 |
12.0% |
0.0126 |
1.0% |
6% |
False |
True |
43,143 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4329 |
|
2.618 |
1.3960 |
|
1.618 |
1.3734 |
|
1.000 |
1.3594 |
|
0.618 |
1.3508 |
|
HIGH |
1.3368 |
|
0.618 |
1.3282 |
|
0.500 |
1.3255 |
|
0.382 |
1.3228 |
|
LOW |
1.3142 |
|
0.618 |
1.3002 |
|
1.000 |
1.2916 |
|
1.618 |
1.2776 |
|
2.618 |
1.2550 |
|
4.250 |
1.2182 |
|
|
| Fisher Pivots for day following 04-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3255 |
1.3369 |
| PP |
1.3249 |
1.3325 |
| S1 |
1.3242 |
1.3280 |
|