CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 10-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
09-Nov-2011 |
10-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3830 |
1.3527 |
-0.0303 |
-2.2% |
1.4146 |
| High |
1.3857 |
1.3653 |
-0.0204 |
-1.5% |
1.4166 |
| Low |
1.3521 |
1.3484 |
-0.0037 |
-0.3% |
1.3604 |
| Close |
1.3540 |
1.3582 |
0.0042 |
0.3% |
1.3773 |
| Range |
0.0336 |
0.0169 |
-0.0167 |
-49.7% |
0.0562 |
| ATR |
0.0202 |
0.0200 |
-0.0002 |
-1.2% |
0.0000 |
| Volume |
409,435 |
334,477 |
-74,958 |
-18.3% |
1,819,536 |
|
| Daily Pivots for day following 10-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4080 |
1.4000 |
1.3675 |
|
| R3 |
1.3911 |
1.3831 |
1.3628 |
|
| R2 |
1.3742 |
1.3742 |
1.3613 |
|
| R1 |
1.3662 |
1.3662 |
1.3597 |
1.3702 |
| PP |
1.3573 |
1.3573 |
1.3573 |
1.3593 |
| S1 |
1.3493 |
1.3493 |
1.3567 |
1.3533 |
| S2 |
1.3404 |
1.3404 |
1.3551 |
|
| S3 |
1.3235 |
1.3324 |
1.3536 |
|
| S4 |
1.3066 |
1.3155 |
1.3489 |
|
|
| 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 |
1.3484 |
0.0395 |
2.9% |
0.0188 |
1.4% |
25% |
False |
True |
314,642 |
| 10 |
1.4195 |
1.3484 |
0.0711 |
5.2% |
0.0201 |
1.5% |
14% |
False |
True |
330,001 |
| 20 |
1.4241 |
1.3484 |
0.0757 |
5.6% |
0.0194 |
1.4% |
13% |
False |
True |
328,041 |
| 40 |
1.4241 |
1.3142 |
0.1099 |
8.1% |
0.0190 |
1.4% |
40% |
False |
False |
332,933 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.4% |
0.0182 |
1.3% |
31% |
False |
False |
233,163 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.4% |
0.0182 |
1.3% |
31% |
False |
False |
175,013 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.4% |
0.0173 |
1.3% |
31% |
False |
False |
140,054 |
| 120 |
1.4610 |
1.3142 |
0.1468 |
10.8% |
0.0158 |
1.2% |
30% |
False |
False |
116,725 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4371 |
|
2.618 |
1.4095 |
|
1.618 |
1.3926 |
|
1.000 |
1.3822 |
|
0.618 |
1.3757 |
|
HIGH |
1.3653 |
|
0.618 |
1.3588 |
|
0.500 |
1.3569 |
|
0.382 |
1.3549 |
|
LOW |
1.3484 |
|
0.618 |
1.3380 |
|
1.000 |
1.3315 |
|
1.618 |
1.3211 |
|
2.618 |
1.3042 |
|
4.250 |
1.2766 |
|
|
| Fisher Pivots for day following 10-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3578 |
1.3671 |
| PP |
1.3573 |
1.3641 |
| S1 |
1.3569 |
1.3612 |
|