CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 21-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
18-Nov-2011 |
21-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3466 |
1.3522 |
0.0056 |
0.4% |
1.3775 |
| High |
1.3614 |
1.3543 |
-0.0071 |
-0.5% |
1.3794 |
| Low |
1.3447 |
1.3430 |
-0.0017 |
-0.1% |
1.3420 |
| Close |
1.3513 |
1.3496 |
-0.0017 |
-0.1% |
1.3513 |
| Range |
0.0167 |
0.0113 |
-0.0054 |
-32.3% |
0.0374 |
| ATR |
0.0186 |
0.0181 |
-0.0005 |
-2.8% |
0.0000 |
| Volume |
286,799 |
268,074 |
-18,725 |
-6.5% |
1,390,887 |
|
| Daily Pivots for day following 21-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3829 |
1.3775 |
1.3558 |
|
| R3 |
1.3716 |
1.3662 |
1.3527 |
|
| R2 |
1.3603 |
1.3603 |
1.3517 |
|
| R1 |
1.3549 |
1.3549 |
1.3506 |
1.3520 |
| PP |
1.3490 |
1.3490 |
1.3490 |
1.3475 |
| S1 |
1.3436 |
1.3436 |
1.3486 |
1.3407 |
| S2 |
1.3377 |
1.3377 |
1.3475 |
|
| S3 |
1.3264 |
1.3323 |
1.3465 |
|
| S4 |
1.3151 |
1.3210 |
1.3434 |
|
|
| 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 |
1.3640 |
1.3420 |
0.0220 |
1.6% |
0.0135 |
1.0% |
35% |
False |
False |
286,077 |
| 10 |
1.3857 |
1.3420 |
0.0437 |
3.2% |
0.0173 |
1.3% |
17% |
False |
False |
289,371 |
| 20 |
1.4241 |
1.3420 |
0.0821 |
6.1% |
0.0189 |
1.4% |
9% |
False |
False |
314,449 |
| 40 |
1.4241 |
1.3142 |
0.1099 |
8.1% |
0.0187 |
1.4% |
32% |
False |
False |
318,835 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0184 |
1.4% |
25% |
False |
False |
264,518 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0182 |
1.3% |
25% |
False |
False |
198,566 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0175 |
1.3% |
25% |
False |
False |
158,902 |
| 120 |
1.4610 |
1.3142 |
0.1468 |
10.9% |
0.0165 |
1.2% |
24% |
False |
False |
132,443 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4023 |
|
2.618 |
1.3839 |
|
1.618 |
1.3726 |
|
1.000 |
1.3656 |
|
0.618 |
1.3613 |
|
HIGH |
1.3543 |
|
0.618 |
1.3500 |
|
0.500 |
1.3487 |
|
0.382 |
1.3473 |
|
LOW |
1.3430 |
|
0.618 |
1.3360 |
|
1.000 |
1.3317 |
|
1.618 |
1.3247 |
|
2.618 |
1.3134 |
|
4.250 |
1.2950 |
|
|
| Fisher Pivots for day following 21-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3493 |
1.3517 |
| PP |
1.3490 |
1.3510 |
| S1 |
1.3487 |
1.3503 |
|