CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 06-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Oct-2011 |
06-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3331 |
1.3345 |
0.0014 |
0.1% |
1.3501 |
| High |
1.3380 |
1.3445 |
0.0065 |
0.5% |
1.3684 |
| Low |
1.3256 |
1.3235 |
-0.0021 |
-0.2% |
1.3357 |
| Close |
1.3351 |
1.3417 |
0.0066 |
0.5% |
1.3415 |
| Range |
0.0124 |
0.0210 |
0.0086 |
69.4% |
0.0327 |
| ATR |
0.0190 |
0.0191 |
0.0001 |
0.8% |
0.0000 |
| Volume |
352,989 |
446,305 |
93,316 |
26.4% |
1,649,951 |
|
| Daily Pivots for day following 06-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3996 |
1.3916 |
1.3533 |
|
| R3 |
1.3786 |
1.3706 |
1.3475 |
|
| R2 |
1.3576 |
1.3576 |
1.3456 |
|
| R1 |
1.3496 |
1.3496 |
1.3436 |
1.3536 |
| PP |
1.3366 |
1.3366 |
1.3366 |
1.3386 |
| S1 |
1.3286 |
1.3286 |
1.3398 |
1.3326 |
| S2 |
1.3156 |
1.3156 |
1.3379 |
|
| S3 |
1.2946 |
1.3076 |
1.3359 |
|
| S4 |
1.2736 |
1.2866 |
1.3302 |
|
|
| 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 |
1.3596 |
1.3142 |
0.0454 |
3.4% |
0.0199 |
1.5% |
61% |
False |
False |
378,604 |
| 10 |
1.3684 |
1.3142 |
0.0542 |
4.0% |
0.0184 |
1.4% |
51% |
False |
False |
358,653 |
| 20 |
1.3928 |
1.3142 |
0.0786 |
5.9% |
0.0190 |
1.4% |
35% |
False |
False |
294,805 |
| 40 |
1.4558 |
1.3142 |
0.1416 |
10.6% |
0.0171 |
1.3% |
19% |
False |
False |
149,072 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.6% |
0.0169 |
1.3% |
19% |
False |
False |
99,522 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.6% |
0.0166 |
1.2% |
19% |
False |
False |
74,699 |
| 100 |
1.4610 |
1.3142 |
0.1468 |
10.9% |
0.0143 |
1.1% |
19% |
False |
False |
59,763 |
| 120 |
1.4735 |
1.3142 |
0.1593 |
11.9% |
0.0129 |
1.0% |
17% |
False |
False |
49,803 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4338 |
|
2.618 |
1.3995 |
|
1.618 |
1.3785 |
|
1.000 |
1.3655 |
|
0.618 |
1.3575 |
|
HIGH |
1.3445 |
|
0.618 |
1.3365 |
|
0.500 |
1.3340 |
|
0.382 |
1.3315 |
|
LOW |
1.3235 |
|
0.618 |
1.3105 |
|
1.000 |
1.3025 |
|
1.618 |
1.2895 |
|
2.618 |
1.2685 |
|
4.250 |
1.2343 |
|
|
| Fisher Pivots for day following 06-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3391 |
1.3376 |
| PP |
1.3366 |
1.3335 |
| S1 |
1.3340 |
1.3294 |
|