CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 28-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Nov-2011 |
28-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3359 |
1.3315 |
-0.0044 |
-0.3% |
1.3522 |
| High |
1.3412 |
1.3401 |
-0.0011 |
-0.1% |
1.3569 |
| Low |
1.3212 |
1.3273 |
0.0061 |
0.5% |
1.3212 |
| Close |
1.3239 |
1.3303 |
0.0064 |
0.5% |
1.3239 |
| Range |
0.0200 |
0.0128 |
-0.0072 |
-36.0% |
0.0357 |
| ATR |
0.0179 |
0.0178 |
-0.0001 |
-0.7% |
0.0000 |
| Volume |
298,756 |
238,094 |
-60,662 |
-20.3% |
1,138,384 |
|
| Daily Pivots for day following 28-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3710 |
1.3634 |
1.3373 |
|
| R3 |
1.3582 |
1.3506 |
1.3338 |
|
| R2 |
1.3454 |
1.3454 |
1.3326 |
|
| R1 |
1.3378 |
1.3378 |
1.3315 |
1.3352 |
| PP |
1.3326 |
1.3326 |
1.3326 |
1.3313 |
| S1 |
1.3250 |
1.3250 |
1.3291 |
1.3224 |
| S2 |
1.3198 |
1.3198 |
1.3280 |
|
| S3 |
1.3070 |
1.3122 |
1.3268 |
|
| S4 |
1.2942 |
1.2994 |
1.3233 |
|
|
| Weekly Pivots for week ending 25-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4411 |
1.4182 |
1.3435 |
|
| R3 |
1.4054 |
1.3825 |
1.3337 |
|
| R2 |
1.3697 |
1.3697 |
1.3304 |
|
| R1 |
1.3468 |
1.3468 |
1.3272 |
1.3404 |
| PP |
1.3340 |
1.3340 |
1.3340 |
1.3308 |
| S1 |
1.3111 |
1.3111 |
1.3206 |
1.3047 |
| S2 |
1.2983 |
1.2983 |
1.3174 |
|
| S3 |
1.2626 |
1.2754 |
1.3141 |
|
| S4 |
1.2269 |
1.2397 |
1.3043 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3569 |
1.3212 |
0.0357 |
2.7% |
0.0151 |
1.1% |
25% |
False |
False |
275,295 |
| 10 |
1.3794 |
1.3212 |
0.0582 |
4.4% |
0.0152 |
1.1% |
16% |
False |
False |
276,736 |
| 20 |
1.4166 |
1.3212 |
0.0954 |
7.2% |
0.0184 |
1.4% |
10% |
False |
False |
303,418 |
| 40 |
1.4241 |
1.3142 |
0.1099 |
8.3% |
0.0185 |
1.4% |
15% |
False |
False |
315,086 |
| 60 |
1.4277 |
1.3142 |
0.1135 |
8.5% |
0.0187 |
1.4% |
14% |
False |
False |
282,793 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.6% |
0.0180 |
1.4% |
11% |
False |
False |
212,387 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.6% |
0.0175 |
1.3% |
11% |
False |
False |
169,980 |
| 120 |
1.4558 |
1.3142 |
0.1416 |
10.6% |
0.0169 |
1.3% |
11% |
False |
False |
141,679 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3945 |
|
2.618 |
1.3736 |
|
1.618 |
1.3608 |
|
1.000 |
1.3529 |
|
0.618 |
1.3480 |
|
HIGH |
1.3401 |
|
0.618 |
1.3352 |
|
0.500 |
1.3337 |
|
0.382 |
1.3322 |
|
LOW |
1.3273 |
|
0.618 |
1.3194 |
|
1.000 |
1.3145 |
|
1.618 |
1.3066 |
|
2.618 |
1.2938 |
|
4.250 |
1.2729 |
|
|
| Fisher Pivots for day following 28-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3337 |
1.3372 |
| PP |
1.3326 |
1.3349 |
| S1 |
1.3314 |
1.3326 |
|