CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 23-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Nov-2011 |
23-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3488 |
1.3515 |
0.0027 |
0.2% |
1.3775 |
| High |
1.3569 |
1.3531 |
-0.0038 |
-0.3% |
1.3794 |
| Low |
1.3468 |
1.3319 |
-0.0149 |
-1.1% |
1.3420 |
| Close |
1.3506 |
1.3328 |
-0.0178 |
-1.3% |
1.3513 |
| Range |
0.0101 |
0.0212 |
0.0111 |
109.9% |
0.0374 |
| ATR |
0.0175 |
0.0177 |
0.0003 |
1.5% |
0.0000 |
| Volume |
266,909 |
304,645 |
37,736 |
14.1% |
1,390,887 |
|
| Daily Pivots for day following 23-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4029 |
1.3890 |
1.3445 |
|
| R3 |
1.3817 |
1.3678 |
1.3386 |
|
| R2 |
1.3605 |
1.3605 |
1.3367 |
|
| R1 |
1.3466 |
1.3466 |
1.3347 |
1.3430 |
| PP |
1.3393 |
1.3393 |
1.3393 |
1.3374 |
| S1 |
1.3254 |
1.3254 |
1.3309 |
1.3218 |
| S2 |
1.3181 |
1.3181 |
1.3289 |
|
| S3 |
1.2969 |
1.3042 |
1.3270 |
|
| S4 |
1.2757 |
1.2830 |
1.3211 |
|
|
| 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 |
1.3614 |
1.3319 |
0.0295 |
2.2% |
0.0143 |
1.1% |
3% |
False |
True |
289,556 |
| 10 |
1.3795 |
1.3319 |
0.0476 |
3.6% |
0.0158 |
1.2% |
2% |
False |
True |
279,217 |
| 20 |
1.4241 |
1.3319 |
0.0922 |
6.9% |
0.0190 |
1.4% |
1% |
False |
True |
308,555 |
| 40 |
1.4241 |
1.3142 |
0.1099 |
8.2% |
0.0186 |
1.4% |
17% |
False |
False |
316,431 |
| 60 |
1.4439 |
1.3142 |
0.1297 |
9.7% |
0.0185 |
1.4% |
14% |
False |
False |
273,969 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.6% |
0.0181 |
1.4% |
13% |
False |
False |
205,689 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.6% |
0.0175 |
1.3% |
13% |
False |
False |
164,614 |
| 120 |
1.4610 |
1.3142 |
0.1468 |
11.0% |
0.0167 |
1.3% |
13% |
False |
False |
137,205 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4432 |
|
2.618 |
1.4086 |
|
1.618 |
1.3874 |
|
1.000 |
1.3743 |
|
0.618 |
1.3662 |
|
HIGH |
1.3531 |
|
0.618 |
1.3450 |
|
0.500 |
1.3425 |
|
0.382 |
1.3400 |
|
LOW |
1.3319 |
|
0.618 |
1.3188 |
|
1.000 |
1.3107 |
|
1.618 |
1.2976 |
|
2.618 |
1.2764 |
|
4.250 |
1.2418 |
|
|
| Fisher Pivots for day following 23-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3425 |
1.3444 |
| PP |
1.3393 |
1.3405 |
| S1 |
1.3360 |
1.3367 |
|