CME Euro FX (E) Future December 2011


Trading Metrics calculated at close of trading on 15-Dec-2011
Day Change Summary
Previous Current
14-Dec-2011 15-Dec-2011 Change Change % Previous Week
Open 1.3033 1.2985 -0.0048 -0.4% 1.3407
High 1.3065 1.3051 -0.0014 -0.1% 1.3487
Low 1.2945 1.2958 0.0013 0.1% 1.3281
Close 1.2975 1.3012 0.0037 0.3% 1.3371
Range 0.0120 0.0093 -0.0027 -22.5% 0.0206
ATR 0.0168 0.0163 -0.0005 -3.2% 0.0000
Volume 270,557 208,317 -62,240 -23.0% 1,335,920
Daily Pivots for day following 15-Dec-2011
Classic Woodie Camarilla DeMark
R4 1.3286 1.3242 1.3063
R3 1.3193 1.3149 1.3038
R2 1.3100 1.3100 1.3029
R1 1.3056 1.3056 1.3021 1.3078
PP 1.3007 1.3007 1.3007 1.3018
S1 1.2963 1.2963 1.3003 1.2985
S2 1.2914 1.2914 1.2995
S3 1.2821 1.2870 1.2986
S4 1.2728 1.2777 1.2961
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 1.3434 1.2945 0.0489 3.8% 0.0162 1.2% 14% False False 280,103
10 1.3550 1.2945 0.0605 4.6% 0.0148 1.1% 11% False False 272,750
20 1.3614 1.2945 0.0669 5.1% 0.0153 1.2% 10% False False 285,594
40 1.4241 1.2945 0.1296 10.0% 0.0174 1.3% 5% False False 302,709
60 1.4241 1.2945 0.1296 10.0% 0.0178 1.4% 5% False False 313,023
80 1.4558 1.2945 0.1613 12.4% 0.0176 1.4% 4% False False 258,862
100 1.4558 1.2945 0.1613 12.4% 0.0177 1.4% 4% False False 207,220
120 1.4558 1.2945 0.1613 12.4% 0.0171 1.3% 4% False False 172,718
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0046
Narrowest range in 33 trading days
Fibonacci Retracements and Extensions
4.250 1.3446
2.618 1.3294
1.618 1.3201
1.000 1.3144
0.618 1.3108
HIGH 1.3051
0.618 1.3015
0.500 1.3005
0.382 1.2994
LOW 1.2958
0.618 1.2901
1.000 1.2865
1.618 1.2808
2.618 1.2715
4.250 1.2563
Fisher Pivots for day following 15-Dec-2011
Pivot 1 day 3 day
R1 1.3010 1.3091
PP 1.3007 1.3065
S1 1.3005 1.3038

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

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