CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 11-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Nov-2011 |
11-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3527 |
1.3608 |
0.0081 |
0.6% |
1.3816 |
| High |
1.3653 |
1.3795 |
0.0142 |
1.0% |
1.3857 |
| Low |
1.3484 |
1.3578 |
0.0094 |
0.7% |
1.3484 |
| Close |
1.3582 |
1.3748 |
0.0166 |
1.2% |
1.3748 |
| Range |
0.0169 |
0.0217 |
0.0048 |
28.4% |
0.0373 |
| ATR |
0.0200 |
0.0201 |
0.0001 |
0.6% |
0.0000 |
| Volume |
334,477 |
227,186 |
-107,291 |
-32.1% |
1,481,459 |
|
| Daily Pivots for day following 11-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4358 |
1.4270 |
1.3867 |
|
| R3 |
1.4141 |
1.4053 |
1.3808 |
|
| R2 |
1.3924 |
1.3924 |
1.3788 |
|
| R1 |
1.3836 |
1.3836 |
1.3768 |
1.3880 |
| PP |
1.3707 |
1.3707 |
1.3707 |
1.3729 |
| S1 |
1.3619 |
1.3619 |
1.3728 |
1.3663 |
| S2 |
1.3490 |
1.3490 |
1.3708 |
|
| S3 |
1.3273 |
1.3402 |
1.3688 |
|
| S4 |
1.3056 |
1.3185 |
1.3629 |
|
|
| Weekly Pivots for week ending 11-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4815 |
1.4655 |
1.3953 |
|
| R3 |
1.4442 |
1.4282 |
1.3851 |
|
| R2 |
1.4069 |
1.4069 |
1.3816 |
|
| R1 |
1.3909 |
1.3909 |
1.3782 |
1.3803 |
| PP |
1.3696 |
1.3696 |
1.3696 |
1.3643 |
| S1 |
1.3536 |
1.3536 |
1.3714 |
1.3430 |
| S2 |
1.3323 |
1.3323 |
1.3680 |
|
| S3 |
1.2950 |
1.3163 |
1.3645 |
|
| S4 |
1.2577 |
1.2790 |
1.3543 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3857 |
1.3484 |
0.0373 |
2.7% |
0.0197 |
1.4% |
71% |
False |
False |
296,291 |
| 10 |
1.4166 |
1.3484 |
0.0682 |
5.0% |
0.0216 |
1.6% |
39% |
False |
False |
330,099 |
| 20 |
1.4241 |
1.3484 |
0.0757 |
5.5% |
0.0196 |
1.4% |
35% |
False |
False |
325,571 |
| 40 |
1.4241 |
1.3142 |
0.1099 |
8.0% |
0.0192 |
1.4% |
55% |
False |
False |
331,216 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.3% |
0.0183 |
1.3% |
43% |
False |
False |
236,939 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.3% |
0.0181 |
1.3% |
43% |
False |
False |
177,852 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.3% |
0.0174 |
1.3% |
43% |
False |
False |
142,322 |
| 120 |
1.4610 |
1.3142 |
0.1468 |
10.7% |
0.0160 |
1.2% |
41% |
False |
False |
118,618 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4717 |
|
2.618 |
1.4363 |
|
1.618 |
1.4146 |
|
1.000 |
1.4012 |
|
0.618 |
1.3929 |
|
HIGH |
1.3795 |
|
0.618 |
1.3712 |
|
0.500 |
1.3687 |
|
0.382 |
1.3661 |
|
LOW |
1.3578 |
|
0.618 |
1.3444 |
|
1.000 |
1.3361 |
|
1.618 |
1.3227 |
|
2.618 |
1.3010 |
|
4.250 |
1.2656 |
|
|
| Fisher Pivots for day following 11-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3728 |
1.3722 |
| PP |
1.3707 |
1.3696 |
| S1 |
1.3687 |
1.3671 |
|