CME Euro FX (E) Future March 2012
| Trading Metrics calculated at close of trading on 27-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Sep-2011 |
27-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3537 |
1.3500 |
-0.0037 |
-0.3% |
1.3650 |
| High |
1.3537 |
1.3650 |
0.0113 |
0.8% |
1.3784 |
| Low |
1.3385 |
1.3491 |
0.0106 |
0.8% |
1.3403 |
| Close |
1.3461 |
1.3638 |
0.0177 |
1.3% |
1.3460 |
| Range |
0.0152 |
0.0159 |
0.0007 |
4.6% |
0.0381 |
| ATR |
0.0145 |
0.0148 |
0.0003 |
2.2% |
0.0000 |
| Volume |
618 |
66 |
-552 |
-89.3% |
690 |
|
| Daily Pivots for day following 27-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4070 |
1.4013 |
1.3725 |
|
| R3 |
1.3911 |
1.3854 |
1.3682 |
|
| R2 |
1.3752 |
1.3752 |
1.3667 |
|
| R1 |
1.3695 |
1.3695 |
1.3653 |
1.3724 |
| PP |
1.3593 |
1.3593 |
1.3593 |
1.3607 |
| S1 |
1.3536 |
1.3536 |
1.3623 |
1.3565 |
| S2 |
1.3434 |
1.3434 |
1.3609 |
|
| S3 |
1.3275 |
1.3377 |
1.3594 |
|
| S4 |
1.3116 |
1.3218 |
1.3551 |
|
|
| Weekly Pivots for week ending 23-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4692 |
1.4457 |
1.3670 |
|
| R3 |
1.4311 |
1.4076 |
1.3565 |
|
| R2 |
1.3930 |
1.3930 |
1.3530 |
|
| R1 |
1.3695 |
1.3695 |
1.3495 |
1.3622 |
| PP |
1.3549 |
1.3549 |
1.3549 |
1.3513 |
| S1 |
1.3314 |
1.3314 |
1.3425 |
1.3241 |
| S2 |
1.3168 |
1.3168 |
1.3390 |
|
| S3 |
1.2787 |
1.2933 |
1.3355 |
|
| S4 |
1.2406 |
1.2552 |
1.3250 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3784 |
1.3385 |
0.0399 |
2.9% |
0.0164 |
1.2% |
63% |
False |
False |
259 |
| 10 |
1.3879 |
1.3385 |
0.0494 |
3.6% |
0.0141 |
1.0% |
51% |
False |
False |
159 |
| 20 |
1.4458 |
1.3385 |
0.1073 |
7.9% |
0.0130 |
1.0% |
24% |
False |
False |
107 |
| 40 |
1.4472 |
1.3385 |
0.1087 |
8.0% |
0.0102 |
0.8% |
23% |
False |
False |
60 |
| 60 |
1.4472 |
1.3385 |
0.1087 |
8.0% |
0.0082 |
0.6% |
23% |
False |
False |
41 |
| 80 |
1.4556 |
1.3385 |
0.1171 |
8.6% |
0.0067 |
0.5% |
22% |
False |
False |
31 |
| 100 |
1.4556 |
1.3385 |
0.1171 |
8.6% |
0.0054 |
0.4% |
22% |
False |
False |
25 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4326 |
|
2.618 |
1.4066 |
|
1.618 |
1.3907 |
|
1.000 |
1.3809 |
|
0.618 |
1.3748 |
|
HIGH |
1.3650 |
|
0.618 |
1.3589 |
|
0.500 |
1.3571 |
|
0.382 |
1.3552 |
|
LOW |
1.3491 |
|
0.618 |
1.3393 |
|
1.000 |
1.3332 |
|
1.618 |
1.3234 |
|
2.618 |
1.3075 |
|
4.250 |
1.2815 |
|
|
| Fisher Pivots for day following 27-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3616 |
1.3598 |
| PP |
1.3593 |
1.3558 |
| S1 |
1.3571 |
1.3518 |
|