CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 07-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
04-Nov-2011 |
07-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3812 |
1.3816 |
0.0004 |
0.0% |
1.4146 |
| High |
1.3879 |
1.3819 |
-0.0060 |
-0.4% |
1.4166 |
| Low |
1.3708 |
1.3678 |
-0.0030 |
-0.2% |
1.3604 |
| Close |
1.3773 |
1.3771 |
-0.0002 |
0.0% |
1.3773 |
| Range |
0.0171 |
0.0141 |
-0.0030 |
-17.5% |
0.0562 |
| ATR |
0.0201 |
0.0197 |
-0.0004 |
-2.1% |
0.0000 |
| Volume |
318,937 |
246,709 |
-72,228 |
-22.6% |
1,819,536 |
|
| Daily Pivots for day following 07-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4179 |
1.4116 |
1.3849 |
|
| R3 |
1.4038 |
1.3975 |
1.3810 |
|
| R2 |
1.3897 |
1.3897 |
1.3797 |
|
| R1 |
1.3834 |
1.3834 |
1.3784 |
1.3795 |
| PP |
1.3756 |
1.3756 |
1.3756 |
1.3737 |
| S1 |
1.3693 |
1.3693 |
1.3758 |
1.3654 |
| S2 |
1.3615 |
1.3615 |
1.3745 |
|
| S3 |
1.3474 |
1.3552 |
1.3732 |
|
| S4 |
1.3333 |
1.3411 |
1.3693 |
|
|
| 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 |
1.3879 |
1.3604 |
0.0275 |
2.0% |
0.0194 |
1.4% |
61% |
False |
False |
344,989 |
| 10 |
1.4241 |
1.3604 |
0.0637 |
4.6% |
0.0205 |
1.5% |
26% |
False |
False |
339,528 |
| 20 |
1.4241 |
1.3557 |
0.0684 |
5.0% |
0.0188 |
1.4% |
31% |
False |
False |
322,322 |
| 40 |
1.4241 |
1.3142 |
0.1099 |
8.0% |
0.0189 |
1.4% |
57% |
False |
False |
319,684 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.3% |
0.0180 |
1.3% |
44% |
False |
False |
216,394 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.3% |
0.0177 |
1.3% |
44% |
False |
False |
162,425 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.3% |
0.0171 |
1.2% |
44% |
False |
False |
129,985 |
| 120 |
1.4610 |
1.3142 |
0.1468 |
10.7% |
0.0154 |
1.1% |
43% |
False |
False |
108,329 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4418 |
|
2.618 |
1.4188 |
|
1.618 |
1.4047 |
|
1.000 |
1.3960 |
|
0.618 |
1.3906 |
|
HIGH |
1.3819 |
|
0.618 |
1.3765 |
|
0.500 |
1.3749 |
|
0.382 |
1.3732 |
|
LOW |
1.3678 |
|
0.618 |
1.3591 |
|
1.000 |
1.3537 |
|
1.618 |
1.3450 |
|
2.618 |
1.3309 |
|
4.250 |
1.3079 |
|
|
| Fisher Pivots for day following 07-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3764 |
1.3769 |
| PP |
1.3756 |
1.3767 |
| S1 |
1.3749 |
1.3766 |
|