CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 24-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Oct-2011 |
24-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3768 |
1.3861 |
0.0093 |
0.7% |
1.3871 |
| High |
1.3897 |
1.3949 |
0.0052 |
0.4% |
1.3905 |
| Low |
1.3697 |
1.3815 |
0.0118 |
0.9% |
1.3645 |
| Close |
1.3859 |
1.3940 |
0.0081 |
0.6% |
1.3859 |
| Range |
0.0200 |
0.0134 |
-0.0066 |
-33.0% |
0.0260 |
| ATR |
0.0187 |
0.0184 |
-0.0004 |
-2.0% |
0.0000 |
| Volume |
287,526 |
272,052 |
-15,474 |
-5.4% |
1,609,339 |
|
| Daily Pivots for day following 24-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4303 |
1.4256 |
1.4014 |
|
| R3 |
1.4169 |
1.4122 |
1.3977 |
|
| R2 |
1.4035 |
1.4035 |
1.3965 |
|
| R1 |
1.3988 |
1.3988 |
1.3952 |
1.4012 |
| PP |
1.3901 |
1.3901 |
1.3901 |
1.3913 |
| S1 |
1.3854 |
1.3854 |
1.3928 |
1.3878 |
| S2 |
1.3767 |
1.3767 |
1.3915 |
|
| S3 |
1.3633 |
1.3720 |
1.3903 |
|
| S4 |
1.3499 |
1.3586 |
1.3866 |
|
|
| Weekly Pivots for week ending 21-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4583 |
1.4481 |
1.4002 |
|
| R3 |
1.4323 |
1.4221 |
1.3931 |
|
| R2 |
1.4063 |
1.4063 |
1.3907 |
|
| R1 |
1.3961 |
1.3961 |
1.3883 |
1.3882 |
| PP |
1.3803 |
1.3803 |
1.3803 |
1.3764 |
| S1 |
1.3701 |
1.3701 |
1.3835 |
1.3622 |
| S2 |
1.3543 |
1.3543 |
1.3811 |
|
| S3 |
1.3283 |
1.3441 |
1.3788 |
|
| S4 |
1.3023 |
1.3181 |
1.3716 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3949 |
1.3645 |
0.0304 |
2.2% |
0.0167 |
1.2% |
97% |
True |
False |
320,662 |
| 10 |
1.3949 |
1.3557 |
0.0392 |
2.8% |
0.0170 |
1.2% |
98% |
True |
False |
305,116 |
| 20 |
1.3949 |
1.3142 |
0.0807 |
5.8% |
0.0185 |
1.3% |
99% |
True |
False |
323,220 |
| 40 |
1.4558 |
1.3142 |
0.1416 |
10.2% |
0.0182 |
1.3% |
56% |
False |
False |
239,552 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.2% |
0.0179 |
1.3% |
56% |
False |
False |
159,939 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.2% |
0.0171 |
1.2% |
56% |
False |
False |
120,016 |
| 100 |
1.4610 |
1.3142 |
0.1468 |
10.5% |
0.0161 |
1.2% |
54% |
False |
False |
96,041 |
| 120 |
1.4731 |
1.3142 |
0.1589 |
11.4% |
0.0143 |
1.0% |
50% |
False |
False |
80,036 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4519 |
|
2.618 |
1.4300 |
|
1.618 |
1.4166 |
|
1.000 |
1.4083 |
|
0.618 |
1.4032 |
|
HIGH |
1.3949 |
|
0.618 |
1.3898 |
|
0.500 |
1.3882 |
|
0.382 |
1.3866 |
|
LOW |
1.3815 |
|
0.618 |
1.3732 |
|
1.000 |
1.3681 |
|
1.618 |
1.3598 |
|
2.618 |
1.3464 |
|
4.250 |
1.3246 |
|
|
| Fisher Pivots for day following 24-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3921 |
1.3893 |
| PP |
1.3901 |
1.3846 |
| S1 |
1.3882 |
1.3799 |
|