CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 27-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Oct-2011 |
27-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3904 |
1.3891 |
-0.0013 |
-0.1% |
1.3871 |
| High |
1.3970 |
1.4241 |
0.0271 |
1.9% |
1.3905 |
| Low |
1.3792 |
1.3858 |
0.0066 |
0.5% |
1.3645 |
| Close |
1.3890 |
1.4201 |
0.0311 |
2.2% |
1.3859 |
| Range |
0.0178 |
0.0383 |
0.0205 |
115.2% |
0.0260 |
| ATR |
0.0178 |
0.0193 |
0.0015 |
8.2% |
0.0000 |
| Volume |
348,925 |
413,401 |
64,476 |
18.5% |
1,609,339 |
|
| Daily Pivots for day following 27-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5249 |
1.5108 |
1.4412 |
|
| R3 |
1.4866 |
1.4725 |
1.4306 |
|
| R2 |
1.4483 |
1.4483 |
1.4271 |
|
| R1 |
1.4342 |
1.4342 |
1.4236 |
1.4413 |
| PP |
1.4100 |
1.4100 |
1.4100 |
1.4135 |
| S1 |
1.3959 |
1.3959 |
1.4166 |
1.4030 |
| S2 |
1.3717 |
1.3717 |
1.4131 |
|
| S3 |
1.3334 |
1.3576 |
1.4096 |
|
| S4 |
1.2951 |
1.3193 |
1.3990 |
|
|
| 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 |
1.4241 |
1.3697 |
0.0544 |
3.8% |
0.0201 |
1.4% |
93% |
True |
False |
332,483 |
| 10 |
1.4241 |
1.3645 |
0.0596 |
4.2% |
0.0187 |
1.3% |
93% |
True |
False |
326,082 |
| 20 |
1.4241 |
1.3142 |
0.1099 |
7.7% |
0.0193 |
1.4% |
96% |
True |
False |
331,190 |
| 40 |
1.4358 |
1.3142 |
0.1216 |
8.6% |
0.0190 |
1.3% |
87% |
False |
False |
266,948 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.0% |
0.0182 |
1.3% |
75% |
False |
False |
178,286 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.0% |
0.0174 |
1.2% |
75% |
False |
False |
133,794 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.0% |
0.0166 |
1.2% |
75% |
False |
False |
107,069 |
| 120 |
1.4610 |
1.3142 |
0.1468 |
10.3% |
0.0144 |
1.0% |
72% |
False |
False |
89,226 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.5869 |
|
2.618 |
1.5244 |
|
1.618 |
1.4861 |
|
1.000 |
1.4624 |
|
0.618 |
1.4478 |
|
HIGH |
1.4241 |
|
0.618 |
1.4095 |
|
0.500 |
1.4050 |
|
0.382 |
1.4004 |
|
LOW |
1.3858 |
|
0.618 |
1.3621 |
|
1.000 |
1.3475 |
|
1.618 |
1.3238 |
|
2.618 |
1.2855 |
|
4.250 |
1.2230 |
|
|
| Fisher Pivots for day following 27-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4151 |
1.4140 |
| PP |
1.4100 |
1.4078 |
| S1 |
1.4050 |
1.4017 |
|