CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 05-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
04-Oct-2011 |
05-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3183 |
1.3331 |
0.0148 |
1.1% |
1.3501 |
| High |
1.3368 |
1.3380 |
0.0012 |
0.1% |
1.3684 |
| Low |
1.3142 |
1.3256 |
0.0114 |
0.9% |
1.3357 |
| Close |
1.3236 |
1.3351 |
0.0115 |
0.9% |
1.3415 |
| Range |
0.0226 |
0.0124 |
-0.0102 |
-45.1% |
0.0327 |
| ATR |
0.0193 |
0.0190 |
-0.0004 |
-1.8% |
0.0000 |
| Volume |
405,306 |
352,989 |
-52,317 |
-12.9% |
1,649,951 |
|
| Daily Pivots for day following 05-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3701 |
1.3650 |
1.3419 |
|
| R3 |
1.3577 |
1.3526 |
1.3385 |
|
| R2 |
1.3453 |
1.3453 |
1.3374 |
|
| R1 |
1.3402 |
1.3402 |
1.3362 |
1.3428 |
| PP |
1.3329 |
1.3329 |
1.3329 |
1.3342 |
| S1 |
1.3278 |
1.3278 |
1.3340 |
1.3304 |
| S2 |
1.3205 |
1.3205 |
1.3328 |
|
| S3 |
1.3081 |
1.3154 |
1.3317 |
|
| S4 |
1.2957 |
1.3030 |
1.3283 |
|
|
| 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 |
1.3675 |
1.3142 |
0.0533 |
4.0% |
0.0189 |
1.4% |
39% |
False |
False |
344,490 |
| 10 |
1.3684 |
1.3142 |
0.0542 |
4.1% |
0.0184 |
1.4% |
39% |
False |
False |
358,250 |
| 20 |
1.4088 |
1.3142 |
0.0946 |
7.1% |
0.0191 |
1.4% |
22% |
False |
False |
274,000 |
| 40 |
1.4558 |
1.3142 |
0.1416 |
10.6% |
0.0172 |
1.3% |
15% |
False |
False |
137,926 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.6% |
0.0170 |
1.3% |
15% |
False |
False |
92,094 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.6% |
0.0164 |
1.2% |
15% |
False |
False |
69,121 |
| 100 |
1.4610 |
1.3142 |
0.1468 |
11.0% |
0.0141 |
1.1% |
14% |
False |
False |
55,300 |
| 120 |
1.4735 |
1.3142 |
0.1593 |
11.9% |
0.0127 |
1.0% |
13% |
False |
False |
46,084 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3907 |
|
2.618 |
1.3705 |
|
1.618 |
1.3581 |
|
1.000 |
1.3504 |
|
0.618 |
1.3457 |
|
HIGH |
1.3380 |
|
0.618 |
1.3333 |
|
0.500 |
1.3318 |
|
0.382 |
1.3303 |
|
LOW |
1.3256 |
|
0.618 |
1.3179 |
|
1.000 |
1.3132 |
|
1.618 |
1.3055 |
|
2.618 |
1.2931 |
|
4.250 |
1.2729 |
|
|
| Fisher Pivots for day following 05-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3340 |
1.3321 |
| PP |
1.3329 |
1.3291 |
| S1 |
1.3318 |
1.3261 |
|