CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 12-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
09-Dec-2011 |
12-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3350 |
1.3361 |
0.0011 |
0.1% |
1.3407 |
| High |
1.3434 |
1.3377 |
-0.0057 |
-0.4% |
1.3487 |
| Low |
1.3281 |
1.3163 |
-0.0118 |
-0.9% |
1.3281 |
| Close |
1.3371 |
1.3186 |
-0.0185 |
-1.4% |
1.3371 |
| Range |
0.0153 |
0.0214 |
0.0061 |
39.9% |
0.0206 |
| ATR |
0.0164 |
0.0167 |
0.0004 |
2.2% |
0.0000 |
| Volume |
284,744 |
257,317 |
-27,427 |
-9.6% |
1,335,920 |
|
| Daily Pivots for day following 12-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3884 |
1.3749 |
1.3304 |
|
| R3 |
1.3670 |
1.3535 |
1.3245 |
|
| R2 |
1.3456 |
1.3456 |
1.3225 |
|
| R1 |
1.3321 |
1.3321 |
1.3206 |
1.3282 |
| PP |
1.3242 |
1.3242 |
1.3242 |
1.3222 |
| S1 |
1.3107 |
1.3107 |
1.3166 |
1.3068 |
| S2 |
1.3028 |
1.3028 |
1.3147 |
|
| S3 |
1.2814 |
1.2893 |
1.3127 |
|
| S4 |
1.2600 |
1.2679 |
1.3068 |
|
|
| Weekly Pivots for week ending 09-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3998 |
1.3890 |
1.3484 |
|
| R3 |
1.3792 |
1.3684 |
1.3428 |
|
| R2 |
1.3586 |
1.3586 |
1.3409 |
|
| R1 |
1.3478 |
1.3478 |
1.3390 |
1.3429 |
| PP |
1.3380 |
1.3380 |
1.3380 |
1.3355 |
| S1 |
1.3272 |
1.3272 |
1.3352 |
1.3223 |
| S2 |
1.3174 |
1.3174 |
1.3333 |
|
| S3 |
1.2968 |
1.3066 |
1.3314 |
|
| S4 |
1.2762 |
1.2860 |
1.3258 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3461 |
1.3163 |
0.0298 |
2.3% |
0.0148 |
1.1% |
8% |
False |
True |
269,488 |
| 10 |
1.3550 |
1.3163 |
0.0387 |
2.9% |
0.0158 |
1.2% |
6% |
False |
True |
286,879 |
| 20 |
1.3794 |
1.3163 |
0.0631 |
4.8% |
0.0155 |
1.2% |
4% |
False |
True |
281,808 |
| 40 |
1.4241 |
1.3163 |
0.1078 |
8.2% |
0.0176 |
1.3% |
2% |
False |
True |
303,689 |
| 60 |
1.4241 |
1.3142 |
0.1099 |
8.3% |
0.0179 |
1.4% |
4% |
False |
False |
314,746 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.7% |
0.0176 |
1.3% |
3% |
False |
False |
248,156 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.7% |
0.0175 |
1.3% |
3% |
False |
False |
198,643 |
| 120 |
1.4558 |
1.3142 |
0.1416 |
10.7% |
0.0171 |
1.3% |
3% |
False |
False |
165,569 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4287 |
|
2.618 |
1.3937 |
|
1.618 |
1.3723 |
|
1.000 |
1.3591 |
|
0.618 |
1.3509 |
|
HIGH |
1.3377 |
|
0.618 |
1.3295 |
|
0.500 |
1.3270 |
|
0.382 |
1.3245 |
|
LOW |
1.3163 |
|
0.618 |
1.3031 |
|
1.000 |
1.2949 |
|
1.618 |
1.2817 |
|
2.618 |
1.2603 |
|
4.250 |
1.2254 |
|
|
| Fisher Pivots for day following 12-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3270 |
1.3312 |
| PP |
1.3242 |
1.3270 |
| S1 |
1.3214 |
1.3228 |
|