CME Euro FX (E) Future December 2011


Trading Metrics calculated at close of trading on 14-Dec-2011
Day Change Summary
Previous Current
13-Dec-2011 14-Dec-2011 Change Change % Previous Week
Open 1.3173 1.3033 -0.0140 -1.1% 1.3407
High 1.3237 1.3065 -0.0172 -1.3% 1.3487
Low 1.3009 1.2945 -0.0064 -0.5% 1.3281
Close 1.3038 1.2975 -0.0063 -0.5% 1.3371
Range 0.0228 0.0120 -0.0108 -47.4% 0.0206
ATR 0.0172 0.0168 -0.0004 -2.1% 0.0000
Volume 379,584 270,557 -109,027 -28.7% 1,335,920
Daily Pivots for day following 14-Dec-2011
Classic Woodie Camarilla DeMark
R4 1.3355 1.3285 1.3041
R3 1.3235 1.3165 1.3008
R2 1.3115 1.3115 1.2997
R1 1.3045 1.3045 1.2986 1.3020
PP 1.2995 1.2995 1.2995 1.2983
S1 1.2925 1.2925 1.2964 1.2900
S2 1.2875 1.2875 1.2953
S3 1.2755 1.2805 1.2942
S4 1.2635 1.2685 1.2909
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 1.2945 0.0516 4.0% 0.0178 1.4% 6% False True 304,542
10 1.3550 1.2945 0.0605 4.7% 0.0149 1.2% 5% False True 279,485
20 1.3614 1.2945 0.0669 5.2% 0.0155 1.2% 4% False True 289,919
40 1.4241 1.2945 0.1296 10.0% 0.0175 1.4% 2% False True 304,716
60 1.4241 1.2945 0.1296 10.0% 0.0180 1.4% 2% False True 315,394
80 1.4558 1.2945 0.1613 12.4% 0.0177 1.4% 2% False True 256,263
100 1.4558 1.2945 0.1613 12.4% 0.0177 1.4% 2% False True 205,138
120 1.4558 1.2945 0.1613 12.4% 0.0171 1.3% 2% False True 170,984
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0046
Narrowest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1.3575
2.618 1.3379
1.618 1.3259
1.000 1.3185
0.618 1.3139
HIGH 1.3065
0.618 1.3019
0.500 1.3005
0.382 1.2991
LOW 1.2945
0.618 1.2871
1.000 1.2825
1.618 1.2751
2.618 1.2631
4.250 1.2435
Fisher Pivots for day following 14-Dec-2011
Pivot 1 day 3 day
R1 1.3005 1.3161
PP 1.2995 1.3099
S1 1.2985 1.3037

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These figures are updated between 7pm and 10pm EST after a trading day.

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