CME Euro FX (E) Future September 2012
| Trading Metrics calculated at close of trading on 12-Sep-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Sep-2012 |
12-Sep-2012 |
Change |
Change % |
Previous Week |
| Open |
1.2760 |
1.2854 |
0.0094 |
0.7% |
1.2581 |
| High |
1.2872 |
1.2938 |
0.0066 |
0.5% |
1.2820 |
| Low |
1.2758 |
1.2815 |
0.0057 |
0.4% |
1.2503 |
| Close |
1.2861 |
1.2895 |
0.0034 |
0.3% |
1.2798 |
| Range |
0.0114 |
0.0123 |
0.0009 |
7.9% |
0.0317 |
| ATR |
0.0105 |
0.0106 |
0.0001 |
1.3% |
0.0000 |
| Volume |
284,159 |
404,035 |
119,876 |
42.2% |
1,220,108 |
|
| Daily Pivots for day following 12-Sep-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3252 |
1.3196 |
1.2963 |
|
| R3 |
1.3129 |
1.3073 |
1.2929 |
|
| R2 |
1.3006 |
1.3006 |
1.2918 |
|
| R1 |
1.2950 |
1.2950 |
1.2906 |
1.2978 |
| PP |
1.2883 |
1.2883 |
1.2883 |
1.2897 |
| S1 |
1.2827 |
1.2827 |
1.2884 |
1.2855 |
| S2 |
1.2760 |
1.2760 |
1.2872 |
|
| S3 |
1.2637 |
1.2704 |
1.2861 |
|
| S4 |
1.2514 |
1.2581 |
1.2827 |
|
|
| Weekly Pivots for week ending 07-Sep-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3658 |
1.3545 |
1.2972 |
|
| R3 |
1.3341 |
1.3228 |
1.2885 |
|
| R2 |
1.3024 |
1.3024 |
1.2856 |
|
| R1 |
1.2911 |
1.2911 |
1.2827 |
1.2968 |
| PP |
1.2707 |
1.2707 |
1.2707 |
1.2735 |
| S1 |
1.2594 |
1.2594 |
1.2769 |
1.2651 |
| S2 |
1.2390 |
1.2390 |
1.2740 |
|
| S3 |
1.2073 |
1.2277 |
1.2711 |
|
| S4 |
1.1756 |
1.1960 |
1.2624 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2938 |
1.2562 |
0.0376 |
2.9% |
0.0115 |
0.9% |
89% |
True |
False |
307,311 |
| 10 |
1.2938 |
1.2488 |
0.0450 |
3.5% |
0.0105 |
0.8% |
90% |
True |
False |
275,946 |
| 20 |
1.2938 |
1.2258 |
0.0680 |
5.3% |
0.0099 |
0.8% |
94% |
True |
False |
240,303 |
| 40 |
1.2938 |
1.2051 |
0.0887 |
6.9% |
0.0109 |
0.8% |
95% |
True |
False |
241,054 |
| 60 |
1.2938 |
1.2051 |
0.0887 |
6.9% |
0.0112 |
0.9% |
95% |
True |
False |
246,911 |
| 80 |
1.2938 |
1.2051 |
0.0887 |
6.9% |
0.0116 |
0.9% |
95% |
True |
False |
198,405 |
| 100 |
1.3292 |
1.2051 |
0.1241 |
9.6% |
0.0109 |
0.8% |
68% |
False |
False |
158,807 |
| 120 |
1.3396 |
1.2051 |
0.1345 |
10.4% |
0.0106 |
0.8% |
63% |
False |
False |
132,368 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3461 |
|
2.618 |
1.3260 |
|
1.618 |
1.3137 |
|
1.000 |
1.3061 |
|
0.618 |
1.3014 |
|
HIGH |
1.2938 |
|
0.618 |
1.2891 |
|
0.500 |
1.2877 |
|
0.382 |
1.2862 |
|
LOW |
1.2815 |
|
0.618 |
1.2739 |
|
1.000 |
1.2692 |
|
1.618 |
1.2616 |
|
2.618 |
1.2493 |
|
4.250 |
1.2292 |
|
|
| Fisher Pivots for day following 12-Sep-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.2889 |
1.2879 |
| PP |
1.2883 |
1.2863 |
| S1 |
1.2877 |
1.2847 |
|