CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 14-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Nov-2011 |
14-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3608 |
1.3775 |
0.0167 |
1.2% |
1.3816 |
| High |
1.3795 |
1.3794 |
-0.0001 |
0.0% |
1.3857 |
| Low |
1.3578 |
1.3590 |
0.0012 |
0.1% |
1.3484 |
| Close |
1.3748 |
1.3611 |
-0.0137 |
-1.0% |
1.3748 |
| Range |
0.0217 |
0.0204 |
-0.0013 |
-6.0% |
0.0373 |
| ATR |
0.0201 |
0.0201 |
0.0000 |
0.1% |
0.0000 |
| Volume |
227,186 |
228,573 |
1,387 |
0.6% |
1,481,459 |
|
| Daily Pivots for day following 14-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4277 |
1.4148 |
1.3723 |
|
| R3 |
1.4073 |
1.3944 |
1.3667 |
|
| R2 |
1.3869 |
1.3869 |
1.3648 |
|
| R1 |
1.3740 |
1.3740 |
1.3630 |
1.3703 |
| PP |
1.3665 |
1.3665 |
1.3665 |
1.3646 |
| S1 |
1.3536 |
1.3536 |
1.3592 |
1.3499 |
| S2 |
1.3461 |
1.3461 |
1.3574 |
|
| S3 |
1.3257 |
1.3332 |
1.3555 |
|
| S4 |
1.3053 |
1.3128 |
1.3499 |
|
|
| 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% |
0.0210 |
1.5% |
34% |
False |
False |
292,664 |
| 10 |
1.3879 |
1.3484 |
0.0395 |
2.9% |
0.0202 |
1.5% |
32% |
False |
False |
318,827 |
| 20 |
1.4241 |
1.3484 |
0.0757 |
5.6% |
0.0197 |
1.4% |
17% |
False |
False |
323,096 |
| 40 |
1.4241 |
1.3142 |
0.1099 |
8.1% |
0.0193 |
1.4% |
43% |
False |
False |
329,283 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.4% |
0.0183 |
1.3% |
33% |
False |
False |
240,732 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.4% |
0.0182 |
1.3% |
33% |
False |
False |
180,706 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.4% |
0.0175 |
1.3% |
33% |
False |
False |
144,606 |
| 120 |
1.4610 |
1.3142 |
0.1468 |
10.8% |
0.0161 |
1.2% |
32% |
False |
False |
120,523 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4661 |
|
2.618 |
1.4328 |
|
1.618 |
1.4124 |
|
1.000 |
1.3998 |
|
0.618 |
1.3920 |
|
HIGH |
1.3794 |
|
0.618 |
1.3716 |
|
0.500 |
1.3692 |
|
0.382 |
1.3668 |
|
LOW |
1.3590 |
|
0.618 |
1.3464 |
|
1.000 |
1.3386 |
|
1.618 |
1.3260 |
|
2.618 |
1.3056 |
|
4.250 |
1.2723 |
|
|
| Fisher Pivots for day following 14-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3692 |
1.3640 |
| PP |
1.3665 |
1.3630 |
| S1 |
1.3638 |
1.3621 |
|