CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 07-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
06-Oct-2011 |
07-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3345 |
1.3425 |
0.0080 |
0.6% |
1.3353 |
| High |
1.3445 |
1.3518 |
0.0073 |
0.5% |
1.3518 |
| Low |
1.3235 |
1.3353 |
0.0118 |
0.9% |
1.3142 |
| Close |
1.3417 |
1.3381 |
-0.0036 |
-0.3% |
1.3381 |
| Range |
0.0210 |
0.0165 |
-0.0045 |
-21.4% |
0.0376 |
| ATR |
0.0191 |
0.0189 |
-0.0002 |
-1.0% |
0.0000 |
| Volume |
446,305 |
323,825 |
-122,480 |
-27.4% |
1,901,919 |
|
| Daily Pivots for day following 07-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3912 |
1.3812 |
1.3472 |
|
| R3 |
1.3747 |
1.3647 |
1.3426 |
|
| R2 |
1.3582 |
1.3582 |
1.3411 |
|
| R1 |
1.3482 |
1.3482 |
1.3396 |
1.3450 |
| PP |
1.3417 |
1.3417 |
1.3417 |
1.3401 |
| S1 |
1.3317 |
1.3317 |
1.3366 |
1.3285 |
| S2 |
1.3252 |
1.3252 |
1.3351 |
|
| S3 |
1.3087 |
1.3152 |
1.3336 |
|
| S4 |
1.2922 |
1.2987 |
1.3290 |
|
|
| Weekly Pivots for week ending 07-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4475 |
1.4304 |
1.3588 |
|
| R3 |
1.4099 |
1.3928 |
1.3484 |
|
| R2 |
1.3723 |
1.3723 |
1.3450 |
|
| R1 |
1.3552 |
1.3552 |
1.3415 |
1.3638 |
| PP |
1.3347 |
1.3347 |
1.3347 |
1.3390 |
| S1 |
1.3176 |
1.3176 |
1.3347 |
1.3262 |
| S2 |
1.2971 |
1.2971 |
1.3312 |
|
| S3 |
1.2595 |
1.2800 |
1.3278 |
|
| S4 |
1.2219 |
1.2424 |
1.3174 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3518 |
1.3142 |
0.0376 |
2.8% |
0.0189 |
1.4% |
64% |
True |
False |
380,383 |
| 10 |
1.3684 |
1.3142 |
0.0542 |
4.1% |
0.0186 |
1.4% |
44% |
False |
False |
355,187 |
| 20 |
1.3925 |
1.3142 |
0.0783 |
5.9% |
0.0183 |
1.4% |
31% |
False |
False |
308,245 |
| 40 |
1.4558 |
1.3142 |
0.1416 |
10.6% |
0.0171 |
1.3% |
17% |
False |
False |
157,140 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.6% |
0.0170 |
1.3% |
17% |
False |
False |
104,914 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.6% |
0.0165 |
1.2% |
17% |
False |
False |
78,744 |
| 100 |
1.4610 |
1.3142 |
0.1468 |
11.0% |
0.0144 |
1.1% |
16% |
False |
False |
63,001 |
| 120 |
1.4735 |
1.3142 |
0.1593 |
11.9% |
0.0129 |
1.0% |
15% |
False |
False |
52,502 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4219 |
|
2.618 |
1.3950 |
|
1.618 |
1.3785 |
|
1.000 |
1.3683 |
|
0.618 |
1.3620 |
|
HIGH |
1.3518 |
|
0.618 |
1.3455 |
|
0.500 |
1.3436 |
|
0.382 |
1.3416 |
|
LOW |
1.3353 |
|
0.618 |
1.3251 |
|
1.000 |
1.3188 |
|
1.618 |
1.3086 |
|
2.618 |
1.2921 |
|
4.250 |
1.2652 |
|
|
| Fisher Pivots for day following 07-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3436 |
1.3380 |
| PP |
1.3417 |
1.3378 |
| S1 |
1.3399 |
1.3377 |
|