CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 16-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Dec-2011 |
16-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2985 |
1.3019 |
0.0034 |
0.3% |
1.3361 |
| High |
1.3051 |
1.3085 |
0.0034 |
0.3% |
1.3377 |
| Low |
1.2958 |
1.2995 |
0.0037 |
0.3% |
1.2945 |
| Close |
1.3012 |
1.3026 |
0.0014 |
0.1% |
1.3026 |
| Range |
0.0093 |
0.0090 |
-0.0003 |
-3.2% |
0.0432 |
| ATR |
0.0163 |
0.0157 |
-0.0005 |
-3.2% |
0.0000 |
| Volume |
208,317 |
63,158 |
-145,159 |
-69.7% |
1,178,933 |
|
| Daily Pivots for day following 16-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3305 |
1.3256 |
1.3076 |
|
| R3 |
1.3215 |
1.3166 |
1.3051 |
|
| R2 |
1.3125 |
1.3125 |
1.3043 |
|
| R1 |
1.3076 |
1.3076 |
1.3034 |
1.3101 |
| PP |
1.3035 |
1.3035 |
1.3035 |
1.3048 |
| S1 |
1.2986 |
1.2986 |
1.3018 |
1.3011 |
| S2 |
1.2945 |
1.2945 |
1.3010 |
|
| S3 |
1.2855 |
1.2896 |
1.3001 |
|
| S4 |
1.2765 |
1.2806 |
1.2977 |
|
|
| Weekly Pivots for week ending 16-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4412 |
1.4151 |
1.3264 |
|
| R3 |
1.3980 |
1.3719 |
1.3145 |
|
| R2 |
1.3548 |
1.3548 |
1.3105 |
|
| R1 |
1.3287 |
1.3287 |
1.3066 |
1.3202 |
| PP |
1.3116 |
1.3116 |
1.3116 |
1.3073 |
| S1 |
1.2855 |
1.2855 |
1.2986 |
1.2770 |
| S2 |
1.2684 |
1.2684 |
1.2947 |
|
| S3 |
1.2252 |
1.2423 |
1.2907 |
|
| S4 |
1.1820 |
1.1991 |
1.2788 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3377 |
1.2945 |
0.0432 |
3.3% |
0.0149 |
1.1% |
19% |
False |
False |
235,786 |
| 10 |
1.3487 |
1.2945 |
0.0542 |
4.2% |
0.0138 |
1.1% |
15% |
False |
False |
251,485 |
| 20 |
1.3614 |
1.2945 |
0.0669 |
5.1% |
0.0152 |
1.2% |
12% |
False |
False |
272,684 |
| 40 |
1.4241 |
1.2945 |
0.1296 |
9.9% |
0.0172 |
1.3% |
6% |
False |
False |
293,684 |
| 60 |
1.4241 |
1.2945 |
0.1296 |
9.9% |
0.0176 |
1.4% |
6% |
False |
False |
306,705 |
| 80 |
1.4558 |
1.2945 |
0.1613 |
12.4% |
0.0176 |
1.4% |
5% |
False |
False |
259,642 |
| 100 |
1.4558 |
1.2945 |
0.1613 |
12.4% |
0.0176 |
1.4% |
5% |
False |
False |
207,848 |
| 120 |
1.4558 |
1.2945 |
0.1613 |
12.4% |
0.0170 |
1.3% |
5% |
False |
False |
173,244 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3468 |
|
2.618 |
1.3321 |
|
1.618 |
1.3231 |
|
1.000 |
1.3175 |
|
0.618 |
1.3141 |
|
HIGH |
1.3085 |
|
0.618 |
1.3051 |
|
0.500 |
1.3040 |
|
0.382 |
1.3029 |
|
LOW |
1.2995 |
|
0.618 |
1.2939 |
|
1.000 |
1.2905 |
|
1.618 |
1.2849 |
|
2.618 |
1.2759 |
|
4.250 |
1.2613 |
|
|
| Fisher Pivots for day following 16-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3040 |
1.3022 |
| PP |
1.3035 |
1.3019 |
| S1 |
1.3031 |
1.3015 |
|