CME Euro FX (E) Future March 2012
| Trading Metrics calculated at close of trading on 04-Jan-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Jan-2012 |
04-Jan-2012 |
Change |
Change % |
Previous Week |
| Open |
1.3047 |
1.3059 |
0.0012 |
0.1% |
1.3089 |
| High |
1.3085 |
1.3063 |
-0.0022 |
-0.2% |
1.3097 |
| Low |
1.3020 |
1.2904 |
-0.0116 |
-0.9% |
1.2869 |
| Close |
1.3063 |
1.2944 |
-0.0119 |
-0.9% |
1.2968 |
| Range |
0.0065 |
0.0159 |
0.0094 |
144.6% |
0.0228 |
| ATR |
0.0128 |
0.0130 |
0.0002 |
1.7% |
0.0000 |
| Volume |
132,102 |
214,044 |
81,942 |
62.0% |
414,586 |
|
| Daily Pivots for day following 04-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3447 |
1.3355 |
1.3031 |
|
| R3 |
1.3288 |
1.3196 |
1.2988 |
|
| R2 |
1.3129 |
1.3129 |
1.2973 |
|
| R1 |
1.3037 |
1.3037 |
1.2959 |
1.3004 |
| PP |
1.2970 |
1.2970 |
1.2970 |
1.2954 |
| S1 |
1.2878 |
1.2878 |
1.2929 |
1.2845 |
| S2 |
1.2811 |
1.2811 |
1.2915 |
|
| S3 |
1.2652 |
1.2719 |
1.2900 |
|
| S4 |
1.2493 |
1.2560 |
1.2857 |
|
|
| Weekly Pivots for week ending 30-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3662 |
1.3543 |
1.3093 |
|
| R3 |
1.3434 |
1.3315 |
1.3031 |
|
| R2 |
1.3206 |
1.3206 |
1.3010 |
|
| R1 |
1.3087 |
1.3087 |
1.2989 |
1.3033 |
| PP |
1.2978 |
1.2978 |
1.2978 |
1.2951 |
| S1 |
1.2859 |
1.2859 |
1.2947 |
1.2805 |
| S2 |
1.2750 |
1.2750 |
1.2926 |
|
| S3 |
1.2522 |
1.2631 |
1.2905 |
|
| S4 |
1.2294 |
1.2403 |
1.2843 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3095 |
1.2869 |
0.0226 |
1.7% |
0.0120 |
0.9% |
33% |
False |
False |
152,146 |
| 10 |
1.3224 |
1.2869 |
0.0355 |
2.7% |
0.0112 |
0.9% |
21% |
False |
False |
139,622 |
| 20 |
1.3468 |
1.2869 |
0.0599 |
4.6% |
0.0122 |
0.9% |
13% |
False |
False |
115,743 |
| 40 |
1.3845 |
1.2869 |
0.0976 |
7.5% |
0.0139 |
1.1% |
8% |
False |
False |
58,969 |
| 60 |
1.4231 |
1.2869 |
0.1362 |
10.5% |
0.0153 |
1.2% |
6% |
False |
False |
39,548 |
| 80 |
1.4231 |
1.2869 |
0.1362 |
10.5% |
0.0153 |
1.2% |
6% |
False |
False |
29,722 |
| 100 |
1.4472 |
1.2869 |
0.1603 |
12.4% |
0.0137 |
1.1% |
5% |
False |
False |
23,780 |
| 120 |
1.4472 |
1.2869 |
0.1603 |
12.4% |
0.0125 |
1.0% |
5% |
False |
False |
19,819 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3739 |
|
2.618 |
1.3479 |
|
1.618 |
1.3320 |
|
1.000 |
1.3222 |
|
0.618 |
1.3161 |
|
HIGH |
1.3063 |
|
0.618 |
1.3002 |
|
0.500 |
1.2984 |
|
0.382 |
1.2965 |
|
LOW |
1.2904 |
|
0.618 |
1.2806 |
|
1.000 |
1.2745 |
|
1.618 |
1.2647 |
|
2.618 |
1.2488 |
|
4.250 |
1.2228 |
|
|
| Fisher Pivots for day following 04-Jan-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.2984 |
1.2995 |
| PP |
1.2970 |
1.2978 |
| S1 |
1.2957 |
1.2961 |
|