CME Euro FX (E) Future March 2012
| Trading Metrics calculated at close of trading on 21-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
18-Nov-2011 |
21-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3478 |
1.3534 |
0.0056 |
0.4% |
1.3789 |
| High |
1.3625 |
1.3556 |
-0.0069 |
-0.5% |
1.3798 |
| Low |
1.3464 |
1.3450 |
-0.0014 |
-0.1% |
1.3440 |
| Close |
1.3526 |
1.3512 |
-0.0014 |
-0.1% |
1.3526 |
| Range |
0.0161 |
0.0106 |
-0.0055 |
-34.2% |
0.0358 |
| ATR |
0.0171 |
0.0166 |
-0.0005 |
-2.7% |
0.0000 |
| Volume |
1,920 |
771 |
-1,149 |
-59.8% |
5,462 |
|
| Daily Pivots for day following 21-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3824 |
1.3774 |
1.3570 |
|
| R3 |
1.3718 |
1.3668 |
1.3541 |
|
| R2 |
1.3612 |
1.3612 |
1.3531 |
|
| R1 |
1.3562 |
1.3562 |
1.3522 |
1.3534 |
| PP |
1.3506 |
1.3506 |
1.3506 |
1.3492 |
| S1 |
1.3456 |
1.3456 |
1.3502 |
1.3428 |
| S2 |
1.3400 |
1.3400 |
1.3493 |
|
| S3 |
1.3294 |
1.3350 |
1.3483 |
|
| S4 |
1.3188 |
1.3244 |
1.3454 |
|
|
| Weekly Pivots for week ending 18-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4662 |
1.4452 |
1.3723 |
|
| R3 |
1.4304 |
1.4094 |
1.3624 |
|
| R2 |
1.3946 |
1.3946 |
1.3592 |
|
| R1 |
1.3736 |
1.3736 |
1.3559 |
1.3662 |
| PP |
1.3588 |
1.3588 |
1.3588 |
1.3551 |
| S1 |
1.3378 |
1.3378 |
1.3493 |
1.3304 |
| S2 |
1.3230 |
1.3230 |
1.3460 |
|
| S3 |
1.2872 |
1.3020 |
1.3428 |
|
| S4 |
1.2514 |
1.2662 |
1.3329 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3630 |
1.3440 |
0.0190 |
1.4% |
0.0122 |
0.9% |
38% |
False |
False |
1,128 |
| 10 |
1.3845 |
1.3440 |
0.0405 |
3.0% |
0.0161 |
1.2% |
18% |
False |
False |
946 |
| 20 |
1.4231 |
1.3440 |
0.0791 |
5.9% |
0.0173 |
1.3% |
9% |
False |
False |
931 |
| 40 |
1.4231 |
1.3161 |
0.1070 |
7.9% |
0.0170 |
1.3% |
33% |
False |
False |
676 |
| 60 |
1.4472 |
1.3161 |
0.1311 |
9.7% |
0.0154 |
1.1% |
27% |
False |
False |
485 |
| 80 |
1.4472 |
1.3161 |
0.1311 |
9.7% |
0.0136 |
1.0% |
27% |
False |
False |
367 |
| 100 |
1.4472 |
1.3161 |
0.1311 |
9.7% |
0.0116 |
0.9% |
27% |
False |
False |
294 |
| 120 |
1.4556 |
1.3161 |
0.1395 |
10.3% |
0.0100 |
0.7% |
25% |
False |
False |
246 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4007 |
|
2.618 |
1.3834 |
|
1.618 |
1.3728 |
|
1.000 |
1.3662 |
|
0.618 |
1.3622 |
|
HIGH |
1.3556 |
|
0.618 |
1.3516 |
|
0.500 |
1.3503 |
|
0.382 |
1.3490 |
|
LOW |
1.3450 |
|
0.618 |
1.3384 |
|
1.000 |
1.3344 |
|
1.618 |
1.3278 |
|
2.618 |
1.3172 |
|
4.250 |
1.3000 |
|
|
| Fisher Pivots for day following 21-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3509 |
1.3533 |
| PP |
1.3506 |
1.3526 |
| S1 |
1.3503 |
1.3519 |
|