CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 18-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
17-Nov-2011 |
18-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3457 |
1.3466 |
0.0009 |
0.1% |
1.3775 |
| High |
1.3540 |
1.3614 |
0.0074 |
0.5% |
1.3794 |
| Low |
1.3420 |
1.3447 |
0.0027 |
0.2% |
1.3420 |
| Close |
1.3464 |
1.3513 |
0.0049 |
0.4% |
1.3513 |
| Range |
0.0120 |
0.0167 |
0.0047 |
39.2% |
0.0374 |
| ATR |
0.0187 |
0.0186 |
-0.0001 |
-0.8% |
0.0000 |
| Volume |
321,354 |
286,799 |
-34,555 |
-10.8% |
1,390,887 |
|
| Daily Pivots for day following 18-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4026 |
1.3936 |
1.3605 |
|
| R3 |
1.3859 |
1.3769 |
1.3559 |
|
| R2 |
1.3692 |
1.3692 |
1.3544 |
|
| R1 |
1.3602 |
1.3602 |
1.3528 |
1.3647 |
| PP |
1.3525 |
1.3525 |
1.3525 |
1.3547 |
| S1 |
1.3435 |
1.3435 |
1.3498 |
1.3480 |
| S2 |
1.3358 |
1.3358 |
1.3482 |
|
| S3 |
1.3191 |
1.3268 |
1.3467 |
|
| S4 |
1.3024 |
1.3101 |
1.3421 |
|
|
| Weekly Pivots for week ending 18-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4698 |
1.4479 |
1.3719 |
|
| R3 |
1.4324 |
1.4105 |
1.3616 |
|
| R2 |
1.3950 |
1.3950 |
1.3582 |
|
| R1 |
1.3731 |
1.3731 |
1.3547 |
1.3654 |
| PP |
1.3576 |
1.3576 |
1.3576 |
1.3537 |
| S1 |
1.3357 |
1.3357 |
1.3479 |
1.3280 |
| S2 |
1.3202 |
1.3202 |
1.3444 |
|
| S3 |
1.2828 |
1.2983 |
1.3410 |
|
| S4 |
1.2454 |
1.2609 |
1.3307 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3794 |
1.3420 |
0.0374 |
2.8% |
0.0153 |
1.1% |
25% |
False |
False |
278,177 |
| 10 |
1.3857 |
1.3420 |
0.0437 |
3.2% |
0.0175 |
1.3% |
21% |
False |
False |
287,234 |
| 20 |
1.4241 |
1.3420 |
0.0821 |
6.1% |
0.0190 |
1.4% |
11% |
False |
False |
314,648 |
| 40 |
1.4241 |
1.3142 |
0.1099 |
8.1% |
0.0189 |
1.4% |
34% |
False |
False |
321,923 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0185 |
1.4% |
26% |
False |
False |
260,059 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0183 |
1.4% |
26% |
False |
False |
195,222 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0175 |
1.3% |
26% |
False |
False |
156,223 |
| 120 |
1.4610 |
1.3142 |
0.1468 |
10.9% |
0.0165 |
1.2% |
25% |
False |
False |
130,209 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4324 |
|
2.618 |
1.4051 |
|
1.618 |
1.3884 |
|
1.000 |
1.3781 |
|
0.618 |
1.3717 |
|
HIGH |
1.3614 |
|
0.618 |
1.3550 |
|
0.500 |
1.3531 |
|
0.382 |
1.3511 |
|
LOW |
1.3447 |
|
0.618 |
1.3344 |
|
1.000 |
1.3280 |
|
1.618 |
1.3177 |
|
2.618 |
1.3010 |
|
4.250 |
1.2737 |
|
|
| Fisher Pivots for day following 18-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3531 |
1.3517 |
| PP |
1.3525 |
1.3516 |
| S1 |
1.3519 |
1.3514 |
|