CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 09-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
08-Nov-2011 |
09-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3766 |
1.3830 |
0.0064 |
0.5% |
1.4146 |
| High |
1.3846 |
1.3857 |
0.0011 |
0.1% |
1.4166 |
| Low |
1.3722 |
1.3521 |
-0.0201 |
-1.5% |
1.3604 |
| Close |
1.3840 |
1.3540 |
-0.0300 |
-2.2% |
1.3773 |
| Range |
0.0124 |
0.0336 |
0.0212 |
171.0% |
0.0562 |
| ATR |
0.0192 |
0.0202 |
0.0010 |
5.4% |
0.0000 |
| Volume |
263,652 |
409,435 |
145,783 |
55.3% |
1,819,536 |
|
| Daily Pivots for day following 09-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4647 |
1.4430 |
1.3725 |
|
| R3 |
1.4311 |
1.4094 |
1.3632 |
|
| R2 |
1.3975 |
1.3975 |
1.3602 |
|
| R1 |
1.3758 |
1.3758 |
1.3571 |
1.3699 |
| PP |
1.3639 |
1.3639 |
1.3639 |
1.3610 |
| S1 |
1.3422 |
1.3422 |
1.3509 |
1.3363 |
| S2 |
1.3303 |
1.3303 |
1.3478 |
|
| S3 |
1.2967 |
1.3086 |
1.3448 |
|
| S4 |
1.2631 |
1.2750 |
1.3355 |
|
|
| 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 |
1.3521 |
0.0358 |
2.6% |
0.0195 |
1.4% |
5% |
False |
True |
336,744 |
| 10 |
1.4241 |
1.3521 |
0.0720 |
5.3% |
0.0222 |
1.6% |
3% |
False |
True |
337,893 |
| 20 |
1.4241 |
1.3521 |
0.0720 |
5.3% |
0.0192 |
1.4% |
3% |
False |
True |
326,270 |
| 40 |
1.4241 |
1.3142 |
0.1099 |
8.1% |
0.0191 |
1.4% |
36% |
False |
False |
330,197 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0182 |
1.3% |
28% |
False |
False |
227,598 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0180 |
1.3% |
28% |
False |
False |
170,834 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0172 |
1.3% |
28% |
False |
False |
136,712 |
| 120 |
1.4610 |
1.3142 |
0.1468 |
10.8% |
0.0157 |
1.2% |
27% |
False |
False |
113,938 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.5285 |
|
2.618 |
1.4737 |
|
1.618 |
1.4401 |
|
1.000 |
1.4193 |
|
0.618 |
1.4065 |
|
HIGH |
1.3857 |
|
0.618 |
1.3729 |
|
0.500 |
1.3689 |
|
0.382 |
1.3649 |
|
LOW |
1.3521 |
|
0.618 |
1.3313 |
|
1.000 |
1.3185 |
|
1.618 |
1.2977 |
|
2.618 |
1.2641 |
|
4.250 |
1.2093 |
|
|
| Fisher Pivots for day following 09-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3689 |
1.3689 |
| PP |
1.3639 |
1.3639 |
| S1 |
1.3590 |
1.3590 |
|