CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 15-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Nov-2011 |
15-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3775 |
1.3622 |
-0.0153 |
-1.1% |
1.3816 |
| High |
1.3794 |
1.3640 |
-0.0154 |
-1.1% |
1.3857 |
| Low |
1.3590 |
1.3495 |
-0.0095 |
-0.7% |
1.3484 |
| Close |
1.3611 |
1.3542 |
-0.0069 |
-0.5% |
1.3748 |
| Range |
0.0204 |
0.0145 |
-0.0059 |
-28.9% |
0.0373 |
| ATR |
0.0201 |
0.0197 |
-0.0004 |
-2.0% |
0.0000 |
| Volume |
228,573 |
259,334 |
30,761 |
13.5% |
1,481,459 |
|
| Daily Pivots for day following 15-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3994 |
1.3913 |
1.3622 |
|
| R3 |
1.3849 |
1.3768 |
1.3582 |
|
| R2 |
1.3704 |
1.3704 |
1.3569 |
|
| R1 |
1.3623 |
1.3623 |
1.3555 |
1.3591 |
| PP |
1.3559 |
1.3559 |
1.3559 |
1.3543 |
| S1 |
1.3478 |
1.3478 |
1.3529 |
1.3446 |
| S2 |
1.3414 |
1.3414 |
1.3515 |
|
| S3 |
1.3269 |
1.3333 |
1.3502 |
|
| S4 |
1.3124 |
1.3188 |
1.3462 |
|
|
| 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 |
2.8% |
0.0214 |
1.6% |
16% |
False |
False |
291,801 |
| 10 |
1.3879 |
1.3484 |
0.0395 |
2.9% |
0.0190 |
1.4% |
15% |
False |
False |
302,986 |
| 20 |
1.4241 |
1.3484 |
0.0757 |
5.6% |
0.0196 |
1.4% |
8% |
False |
False |
319,513 |
| 40 |
1.4241 |
1.3142 |
0.1099 |
8.1% |
0.0193 |
1.4% |
36% |
False |
False |
328,131 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0184 |
1.4% |
28% |
False |
False |
245,044 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0183 |
1.4% |
28% |
False |
False |
183,943 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0175 |
1.3% |
28% |
False |
False |
147,197 |
| 120 |
1.4610 |
1.3142 |
0.1468 |
10.8% |
0.0162 |
1.2% |
27% |
False |
False |
122,684 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4256 |
|
2.618 |
1.4020 |
|
1.618 |
1.3875 |
|
1.000 |
1.3785 |
|
0.618 |
1.3730 |
|
HIGH |
1.3640 |
|
0.618 |
1.3585 |
|
0.500 |
1.3568 |
|
0.382 |
1.3550 |
|
LOW |
1.3495 |
|
0.618 |
1.3405 |
|
1.000 |
1.3350 |
|
1.618 |
1.3260 |
|
2.618 |
1.3115 |
|
4.250 |
1.2879 |
|
|
| Fisher Pivots for day following 15-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3568 |
1.3645 |
| PP |
1.3559 |
1.3611 |
| S1 |
1.3551 |
1.3576 |
|