CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 01-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-Oct-2011 |
01-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4146 |
1.3855 |
-0.0291 |
-2.1% |
1.3861 |
| High |
1.4166 |
1.3866 |
-0.0300 |
-2.1% |
1.4241 |
| Low |
1.3822 |
1.3604 |
-0.0218 |
-1.6% |
1.3792 |
| Close |
1.3920 |
1.3707 |
-0.0213 |
-1.5% |
1.4148 |
| Range |
0.0344 |
0.0262 |
-0.0082 |
-23.8% |
0.0449 |
| ATR |
0.0196 |
0.0205 |
0.0009 |
4.4% |
0.0000 |
| Volume |
341,297 |
417,737 |
76,440 |
22.4% |
1,601,093 |
|
| Daily Pivots for day following 01-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4512 |
1.4371 |
1.3851 |
|
| R3 |
1.4250 |
1.4109 |
1.3779 |
|
| R2 |
1.3988 |
1.3988 |
1.3755 |
|
| R1 |
1.3847 |
1.3847 |
1.3731 |
1.3787 |
| PP |
1.3726 |
1.3726 |
1.3726 |
1.3695 |
| S1 |
1.3585 |
1.3585 |
1.3683 |
1.3525 |
| S2 |
1.3464 |
1.3464 |
1.3659 |
|
| S3 |
1.3202 |
1.3323 |
1.3635 |
|
| S4 |
1.2940 |
1.3061 |
1.3563 |
|
|
| Weekly Pivots for week ending 28-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5407 |
1.5227 |
1.4395 |
|
| R3 |
1.4958 |
1.4778 |
1.4271 |
|
| R2 |
1.4509 |
1.4509 |
1.4230 |
|
| R1 |
1.4329 |
1.4329 |
1.4189 |
1.4419 |
| PP |
1.4060 |
1.4060 |
1.4060 |
1.4106 |
| S1 |
1.3880 |
1.3880 |
1.4107 |
1.3970 |
| S2 |
1.3611 |
1.3611 |
1.4066 |
|
| S3 |
1.3162 |
1.3431 |
1.4025 |
|
| S4 |
1.2713 |
1.2982 |
1.3901 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4241 |
1.3604 |
0.0637 |
4.6% |
0.0247 |
1.8% |
16% |
False |
True |
349,512 |
| 10 |
1.4241 |
1.3604 |
0.0637 |
4.6% |
0.0202 |
1.5% |
16% |
False |
True |
336,039 |
| 20 |
1.4241 |
1.3235 |
0.1006 |
7.3% |
0.0194 |
1.4% |
47% |
False |
False |
325,766 |
| 40 |
1.4241 |
1.3142 |
0.1099 |
8.0% |
0.0193 |
1.4% |
51% |
False |
False |
291,358 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.3% |
0.0180 |
1.3% |
40% |
False |
False |
194,666 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.3% |
0.0176 |
1.3% |
40% |
False |
False |
146,104 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.3% |
0.0169 |
1.2% |
40% |
False |
False |
116,921 |
| 120 |
1.4610 |
1.3142 |
0.1468 |
10.7% |
0.0149 |
1.1% |
38% |
False |
False |
97,436 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4980 |
|
2.618 |
1.4552 |
|
1.618 |
1.4290 |
|
1.000 |
1.4128 |
|
0.618 |
1.4028 |
|
HIGH |
1.3866 |
|
0.618 |
1.3766 |
|
0.500 |
1.3735 |
|
0.382 |
1.3704 |
|
LOW |
1.3604 |
|
0.618 |
1.3442 |
|
1.000 |
1.3342 |
|
1.618 |
1.3180 |
|
2.618 |
1.2918 |
|
4.250 |
1.2491 |
|
|
| Fisher Pivots for day following 01-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3735 |
1.3900 |
| PP |
1.3726 |
1.3835 |
| S1 |
1.3716 |
1.3771 |
|