CME Euro FX (E) Future March 2012
| Trading Metrics calculated at close of trading on 20-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Dec-2011 |
20-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3047 |
1.3007 |
-0.0040 |
-0.3% |
1.3370 |
| High |
1.3055 |
1.3142 |
0.0087 |
0.7% |
1.3386 |
| Low |
1.2993 |
1.3003 |
0.0010 |
0.1% |
1.2965 |
| Close |
1.3026 |
1.3084 |
0.0058 |
0.4% |
1.3037 |
| Range |
0.0062 |
0.0139 |
0.0077 |
124.2% |
0.0421 |
| ATR |
0.0144 |
0.0144 |
0.0000 |
-0.3% |
0.0000 |
| Volume |
142,251 |
188,667 |
46,416 |
32.6% |
701,356 |
|
| Daily Pivots for day following 20-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3493 |
1.3428 |
1.3160 |
|
| R3 |
1.3354 |
1.3289 |
1.3122 |
|
| R2 |
1.3215 |
1.3215 |
1.3109 |
|
| R1 |
1.3150 |
1.3150 |
1.3097 |
1.3183 |
| PP |
1.3076 |
1.3076 |
1.3076 |
1.3093 |
| S1 |
1.3011 |
1.3011 |
1.3071 |
1.3044 |
| S2 |
1.2937 |
1.2937 |
1.3059 |
|
| S3 |
1.2798 |
1.2872 |
1.3046 |
|
| S4 |
1.2659 |
1.2733 |
1.3008 |
|
|
| Weekly Pivots for week ending 16-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4392 |
1.4136 |
1.3269 |
|
| R3 |
1.3971 |
1.3715 |
1.3153 |
|
| R2 |
1.3550 |
1.3550 |
1.3114 |
|
| R1 |
1.3294 |
1.3294 |
1.3076 |
1.3212 |
| PP |
1.3129 |
1.3129 |
1.3129 |
1.3088 |
| S1 |
1.2873 |
1.2873 |
1.2998 |
1.2791 |
| S2 |
1.2708 |
1.2708 |
1.2960 |
|
| S3 |
1.2287 |
1.2452 |
1.2921 |
|
| S4 |
1.1866 |
1.2031 |
1.2805 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3142 |
1.2965 |
0.0177 |
1.4% |
0.0100 |
0.8% |
67% |
True |
False |
163,259 |
| 10 |
1.3468 |
1.2965 |
0.0503 |
3.8% |
0.0137 |
1.0% |
24% |
False |
False |
110,287 |
| 20 |
1.3576 |
1.2965 |
0.0611 |
4.7% |
0.0143 |
1.1% |
19% |
False |
False |
57,064 |
| 40 |
1.4231 |
1.2965 |
0.1266 |
9.7% |
0.0158 |
1.2% |
9% |
False |
False |
28,997 |
| 60 |
1.4231 |
1.2965 |
0.1266 |
9.7% |
0.0161 |
1.2% |
9% |
False |
False |
19,472 |
| 80 |
1.4472 |
1.2965 |
0.1507 |
11.5% |
0.0151 |
1.2% |
8% |
False |
False |
14,630 |
| 100 |
1.4472 |
1.2965 |
0.1507 |
11.5% |
0.0137 |
1.0% |
8% |
False |
False |
11,707 |
| 120 |
1.4472 |
1.2965 |
0.1507 |
11.5% |
0.0120 |
0.9% |
8% |
False |
False |
9,756 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3733 |
|
2.618 |
1.3506 |
|
1.618 |
1.3367 |
|
1.000 |
1.3281 |
|
0.618 |
1.3228 |
|
HIGH |
1.3142 |
|
0.618 |
1.3089 |
|
0.500 |
1.3073 |
|
0.382 |
1.3056 |
|
LOW |
1.3003 |
|
0.618 |
1.2917 |
|
1.000 |
1.2864 |
|
1.618 |
1.2778 |
|
2.618 |
1.2639 |
|
4.250 |
1.2412 |
|
|
| Fisher Pivots for day following 20-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3080 |
1.3079 |
| PP |
1.3076 |
1.3073 |
| S1 |
1.3073 |
1.3068 |
|