CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 04-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Nov-2011 |
04-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3741 |
1.3812 |
0.0071 |
0.5% |
1.4146 |
| High |
1.3854 |
1.3879 |
0.0025 |
0.2% |
1.4166 |
| Low |
1.3652 |
1.3708 |
0.0056 |
0.4% |
1.3604 |
| Close |
1.3830 |
1.3773 |
-0.0057 |
-0.4% |
1.3773 |
| Range |
0.0202 |
0.0171 |
-0.0031 |
-15.3% |
0.0562 |
| ATR |
0.0204 |
0.0201 |
-0.0002 |
-1.1% |
0.0000 |
| Volume |
444,987 |
318,937 |
-126,050 |
-28.3% |
1,819,536 |
|
| Daily Pivots for day following 04-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4300 |
1.4207 |
1.3867 |
|
| R3 |
1.4129 |
1.4036 |
1.3820 |
|
| R2 |
1.3958 |
1.3958 |
1.3804 |
|
| R1 |
1.3865 |
1.3865 |
1.3789 |
1.3826 |
| PP |
1.3787 |
1.3787 |
1.3787 |
1.3767 |
| S1 |
1.3694 |
1.3694 |
1.3757 |
1.3655 |
| S2 |
1.3616 |
1.3616 |
1.3742 |
|
| S3 |
1.3445 |
1.3523 |
1.3726 |
|
| S4 |
1.3274 |
1.3352 |
1.3679 |
|
|
| Weekly Pivots for week ending 04-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5534 |
1.5215 |
1.4082 |
|
| R3 |
1.4972 |
1.4653 |
1.3928 |
|
| R2 |
1.4410 |
1.4410 |
1.3876 |
|
| R1 |
1.4091 |
1.4091 |
1.3825 |
1.3970 |
| PP |
1.3848 |
1.3848 |
1.3848 |
1.3787 |
| S1 |
1.3529 |
1.3529 |
1.3721 |
1.3408 |
| S2 |
1.3286 |
1.3286 |
1.3670 |
|
| S3 |
1.2724 |
1.2967 |
1.3618 |
|
| S4 |
1.2162 |
1.2405 |
1.3464 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4166 |
1.3604 |
0.0562 |
4.1% |
0.0234 |
1.7% |
30% |
False |
False |
363,907 |
| 10 |
1.4241 |
1.3604 |
0.0637 |
4.6% |
0.0205 |
1.5% |
27% |
False |
False |
342,062 |
| 20 |
1.4241 |
1.3371 |
0.0870 |
6.3% |
0.0197 |
1.4% |
46% |
False |
False |
322,635 |
| 40 |
1.4241 |
1.3142 |
0.1099 |
8.0% |
0.0190 |
1.4% |
57% |
False |
False |
315,440 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.3% |
0.0180 |
1.3% |
45% |
False |
False |
212,305 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.3% |
0.0177 |
1.3% |
45% |
False |
False |
159,345 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.3% |
0.0171 |
1.2% |
45% |
False |
False |
127,523 |
| 120 |
1.4610 |
1.3142 |
0.1468 |
10.7% |
0.0153 |
1.1% |
43% |
False |
False |
106,273 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4606 |
|
2.618 |
1.4327 |
|
1.618 |
1.4156 |
|
1.000 |
1.4050 |
|
0.618 |
1.3985 |
|
HIGH |
1.3879 |
|
0.618 |
1.3814 |
|
0.500 |
1.3794 |
|
0.382 |
1.3773 |
|
LOW |
1.3708 |
|
0.618 |
1.3602 |
|
1.000 |
1.3537 |
|
1.618 |
1.3431 |
|
2.618 |
1.3260 |
|
4.250 |
1.2981 |
|
|
| Fisher Pivots for day following 04-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3794 |
1.3767 |
| PP |
1.3787 |
1.3762 |
| S1 |
1.3780 |
1.3756 |
|