CME Euro FX (E) Future December 2011


Trading Metrics calculated at close of trading on 13-Oct-2011
Day Change Summary
Previous Current
12-Oct-2011 13-Oct-2011 Change Change % Previous Week
Open 1.3640 1.3771 0.0131 1.0% 1.3353
High 1.3825 1.3817 -0.0008 -0.1% 1.3518
Low 1.3573 1.3676 0.0103 0.8% 1.3142
Close 1.3779 1.3775 -0.0004 0.0% 1.3381
Range 0.0252 0.0141 -0.0111 -44.0% 0.0376
ATR 0.0197 0.0193 -0.0004 -2.0% 0.0000
Volume 312,759 299,054 -13,705 -4.4% 1,901,919
Daily Pivots for day following 13-Oct-2011
Classic Woodie Camarilla DeMark
R4 1.4179 1.4118 1.3853
R3 1.4038 1.3977 1.3814
R2 1.3897 1.3897 1.3801
R1 1.3836 1.3836 1.3788 1.3867
PP 1.3756 1.3756 1.3756 1.3771
S1 1.3695 1.3695 1.3762 1.3726
S2 1.3615 1.3615 1.3749
S3 1.3474 1.3554 1.3736
S4 1.3333 1.3413 1.3697
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 1.3825 1.3353 0.0472 3.4% 0.0199 1.4% 89% False False 293,994
10 1.3825 1.3142 0.0683 5.0% 0.0199 1.4% 93% False False 336,299
20 1.3872 1.3142 0.0730 5.3% 0.0185 1.3% 87% False False 337,825
40 1.4558 1.3142 0.1416 10.3% 0.0176 1.3% 45% False False 185,724
60 1.4558 1.3142 0.1416 10.3% 0.0178 1.3% 45% False False 124,003
80 1.4558 1.3142 0.1416 10.3% 0.0168 1.2% 45% False False 93,057
100 1.4610 1.3142 0.1468 10.7% 0.0151 1.1% 43% False False 74,462
120 1.4735 1.3142 0.1593 11.6% 0.0134 1.0% 40% False False 62,053
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0048
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.4416
2.618 1.4186
1.618 1.4045
1.000 1.3958
0.618 1.3904
HIGH 1.3817
0.618 1.3763
0.500 1.3747
0.382 1.3730
LOW 1.3676
0.618 1.3589
1.000 1.3535
1.618 1.3448
2.618 1.3307
4.250 1.3077
Fisher Pivots for day following 13-Oct-2011
Pivot 1 day 3 day
R1 1.3766 1.3747
PP 1.3756 1.3719
S1 1.3747 1.3691

These figures are updated between 7pm and 10pm EST after a trading day.

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