CME Euro FX (E) Future December 2011


Trading Metrics calculated at close of trading on 20-Oct-2011
Day Change Summary
Previous Current
19-Oct-2011 20-Oct-2011 Change Change % Previous Week
Open 1.3727 1.3751 0.0024 0.2% 1.3382
High 1.3862 1.3837 -0.0025 -0.2% 1.3885
Low 1.3717 1.3649 -0.0068 -0.5% 1.3371
Close 1.3739 1.3776 0.0037 0.3% 1.3870
Range 0.0145 0.0188 0.0043 29.7% 0.0514
ATR 0.0186 0.0186 0.0000 0.1% 0.0000
Volume 288,615 424,130 135,515 47.0% 1,422,742
Daily Pivots for day following 20-Oct-2011
Classic Woodie Camarilla DeMark
R4 1.4318 1.4235 1.3879
R3 1.4130 1.4047 1.3828
R2 1.3942 1.3942 1.3810
R1 1.3859 1.3859 1.3793 1.3901
PP 1.3754 1.3754 1.3754 1.3775
S1 1.3671 1.3671 1.3759 1.3713
S2 1.3566 1.3566 1.3742
S3 1.3378 1.3483 1.3724
S4 1.3190 1.3295 1.3673
Weekly Pivots for week ending 14-Oct-2011
Classic Woodie Camarilla DeMark
R4 1.5251 1.5074 1.4153
R3 1.4737 1.4560 1.4011
R2 1.4223 1.4223 1.3964
R1 1.4046 1.4046 1.3917 1.4135
PP 1.3709 1.3709 1.3709 1.3753
S1 1.3532 1.3532 1.3823 1.3621
S2 1.3195 1.3195 1.3776
S3 1.2681 1.3018 1.3729
S4 1.2167 1.2504 1.3587
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.3905 1.3645 0.0260 1.9% 0.0172 1.2% 50% False False 319,681
10 1.3905 1.3353 0.0552 4.0% 0.0185 1.3% 77% False False 306,838
20 1.3905 1.3142 0.0763 5.5% 0.0185 1.3% 83% False False 332,745
40 1.4558 1.3142 0.1416 10.3% 0.0181 1.3% 45% False False 225,599
60 1.4558 1.3142 0.1416 10.3% 0.0179 1.3% 45% False False 150,623
80 1.4558 1.3142 0.1416 10.3% 0.0170 1.2% 45% False False 113,024
100 1.4610 1.3142 0.1468 10.7% 0.0158 1.1% 43% False False 90,446
120 1.4731 1.3142 0.1589 11.5% 0.0140 1.0% 40% False False 75,373
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR True
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0051
Widest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1.4636
2.618 1.4329
1.618 1.4141
1.000 1.4025
0.618 1.3953
HIGH 1.3837
0.618 1.3765
0.500 1.3743
0.382 1.3721
LOW 1.3649
0.618 1.3533
1.000 1.3461
1.618 1.3345
2.618 1.3157
4.250 1.2850
Fisher Pivots for day following 20-Oct-2011
Pivot 1 day 3 day
R1 1.3765 1.3769
PP 1.3754 1.3761
S1 1.3743 1.3754

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

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