CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 03-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Nov-2011 |
03-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3693 |
1.3741 |
0.0048 |
0.4% |
1.3861 |
| High |
1.3825 |
1.3854 |
0.0029 |
0.2% |
1.4241 |
| Low |
1.3633 |
1.3652 |
0.0019 |
0.1% |
1.3792 |
| Close |
1.3757 |
1.3830 |
0.0073 |
0.5% |
1.4148 |
| Range |
0.0192 |
0.0202 |
0.0010 |
5.2% |
0.0449 |
| ATR |
0.0204 |
0.0204 |
0.0000 |
-0.1% |
0.0000 |
| Volume |
296,578 |
444,987 |
148,409 |
50.0% |
1,601,093 |
|
| Daily Pivots for day following 03-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4385 |
1.4309 |
1.3941 |
|
| R3 |
1.4183 |
1.4107 |
1.3886 |
|
| R2 |
1.3981 |
1.3981 |
1.3867 |
|
| R1 |
1.3905 |
1.3905 |
1.3849 |
1.3943 |
| PP |
1.3779 |
1.3779 |
1.3779 |
1.3798 |
| S1 |
1.3703 |
1.3703 |
1.3811 |
1.3741 |
| S2 |
1.3577 |
1.3577 |
1.3793 |
|
| S3 |
1.3375 |
1.3501 |
1.3774 |
|
| S4 |
1.3173 |
1.3299 |
1.3719 |
|
|
| 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 |
1.4195 |
1.3604 |
0.0591 |
4.3% |
0.0214 |
1.5% |
38% |
False |
False |
345,360 |
| 10 |
1.4241 |
1.3604 |
0.0637 |
4.6% |
0.0208 |
1.5% |
35% |
False |
False |
338,921 |
| 20 |
1.4241 |
1.3353 |
0.0888 |
6.4% |
0.0197 |
1.4% |
54% |
False |
False |
322,879 |
| 40 |
1.4241 |
1.3142 |
0.1099 |
7.9% |
0.0193 |
1.4% |
63% |
False |
False |
308,842 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.2% |
0.0180 |
1.3% |
49% |
False |
False |
207,008 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.2% |
0.0176 |
1.3% |
49% |
False |
False |
155,361 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.2% |
0.0172 |
1.2% |
49% |
False |
False |
124,335 |
| 120 |
1.4610 |
1.3142 |
0.1468 |
10.6% |
0.0152 |
1.1% |
47% |
False |
False |
103,616 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4713 |
|
2.618 |
1.4383 |
|
1.618 |
1.4181 |
|
1.000 |
1.4056 |
|
0.618 |
1.3979 |
|
HIGH |
1.3854 |
|
0.618 |
1.3777 |
|
0.500 |
1.3753 |
|
0.382 |
1.3729 |
|
LOW |
1.3652 |
|
0.618 |
1.3527 |
|
1.000 |
1.3450 |
|
1.618 |
1.3325 |
|
2.618 |
1.3123 |
|
4.250 |
1.2794 |
|
|
| Fisher Pivots for day following 03-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3804 |
1.3798 |
| PP |
1.3779 |
1.3767 |
| S1 |
1.3753 |
1.3735 |
|