CME Euro FX (E) Future March 2012
| Trading Metrics calculated at close of trading on 11-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Nov-2011 |
11-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3537 |
1.3592 |
0.0055 |
0.4% |
1.3774 |
| High |
1.3655 |
1.3795 |
0.0140 |
1.0% |
1.3845 |
| Low |
1.3486 |
1.3588 |
0.0102 |
0.8% |
1.3486 |
| Close |
1.3588 |
1.3754 |
0.0166 |
1.2% |
1.3754 |
| Range |
0.0169 |
0.0207 |
0.0038 |
22.5% |
0.0359 |
| ATR |
0.0183 |
0.0185 |
0.0002 |
0.9% |
0.0000 |
| Volume |
1,483 |
1,004 |
-479 |
-32.3% |
3,682 |
|
| Daily Pivots for day following 11-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4333 |
1.4251 |
1.3868 |
|
| R3 |
1.4126 |
1.4044 |
1.3811 |
|
| R2 |
1.3919 |
1.3919 |
1.3792 |
|
| R1 |
1.3837 |
1.3837 |
1.3773 |
1.3878 |
| PP |
1.3712 |
1.3712 |
1.3712 |
1.3733 |
| S1 |
1.3630 |
1.3630 |
1.3735 |
1.3671 |
| S2 |
1.3505 |
1.3505 |
1.3716 |
|
| S3 |
1.3298 |
1.3423 |
1.3697 |
|
| S4 |
1.3091 |
1.3216 |
1.3640 |
|
|
| Weekly Pivots for week ending 11-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4772 |
1.4622 |
1.3951 |
|
| R3 |
1.4413 |
1.4263 |
1.3853 |
|
| R2 |
1.4054 |
1.4054 |
1.3820 |
|
| R1 |
1.3904 |
1.3904 |
1.3787 |
1.3800 |
| PP |
1.3695 |
1.3695 |
1.3695 |
1.3643 |
| S1 |
1.3545 |
1.3545 |
1.3721 |
1.3441 |
| S2 |
1.3336 |
1.3336 |
1.3688 |
|
| S3 |
1.2977 |
1.3186 |
1.3655 |
|
| S4 |
1.2618 |
1.2827 |
1.3557 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3845 |
1.3486 |
0.0359 |
2.6% |
0.0186 |
1.3% |
75% |
False |
False |
736 |
| 10 |
1.4150 |
1.3486 |
0.0664 |
4.8% |
0.0201 |
1.5% |
40% |
False |
False |
917 |
| 20 |
1.4231 |
1.3486 |
0.0745 |
5.4% |
0.0181 |
1.3% |
36% |
False |
False |
779 |
| 40 |
1.4231 |
1.3161 |
0.1070 |
7.8% |
0.0171 |
1.2% |
55% |
False |
False |
553 |
| 60 |
1.4472 |
1.3161 |
0.1311 |
9.5% |
0.0145 |
1.1% |
45% |
False |
False |
382 |
| 80 |
1.4472 |
1.3161 |
0.1311 |
9.5% |
0.0128 |
0.9% |
45% |
False |
False |
289 |
| 100 |
1.4472 |
1.3161 |
0.1311 |
9.5% |
0.0110 |
0.8% |
45% |
False |
False |
232 |
| 120 |
1.4556 |
1.3161 |
0.1395 |
10.1% |
0.0093 |
0.7% |
43% |
False |
False |
194 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4675 |
|
2.618 |
1.4337 |
|
1.618 |
1.4130 |
|
1.000 |
1.4002 |
|
0.618 |
1.3923 |
|
HIGH |
1.3795 |
|
0.618 |
1.3716 |
|
0.500 |
1.3692 |
|
0.382 |
1.3667 |
|
LOW |
1.3588 |
|
0.618 |
1.3460 |
|
1.000 |
1.3381 |
|
1.618 |
1.3253 |
|
2.618 |
1.3046 |
|
4.250 |
1.2708 |
|
|
| Fisher Pivots for day following 11-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3733 |
1.3724 |
| PP |
1.3712 |
1.3695 |
| S1 |
1.3692 |
1.3665 |
|