CME Euro FX Future June 2007
| Trading Metrics calculated at close of trading on 21-Mar-2007 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Mar-2007 |
21-Mar-2007 |
Change |
Change % |
Previous Week |
| Open |
1.3335 |
1.3344 |
0.0009 |
0.1% |
1.3227 |
| High |
1.3365 |
1.3432 |
0.0067 |
0.5% |
1.3385 |
| Low |
1.3330 |
1.3336 |
0.0006 |
0.0% |
1.3198 |
| Close |
1.3355 |
1.3427 |
0.0072 |
0.5% |
1.3357 |
| Range |
0.0035 |
0.0096 |
0.0061 |
174.3% |
0.0187 |
| ATR |
0.0055 |
0.0058 |
0.0003 |
5.4% |
0.0000 |
| Volume |
121,359 |
142,369 |
21,010 |
17.3% |
557,707 |
|
| Daily Pivots for day following 21-Mar-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3686 |
1.3653 |
1.3480 |
|
| R3 |
1.3590 |
1.3557 |
1.3453 |
|
| R2 |
1.3494 |
1.3494 |
1.3445 |
|
| R1 |
1.3461 |
1.3461 |
1.3436 |
1.3478 |
| PP |
1.3398 |
1.3398 |
1.3398 |
1.3407 |
| S1 |
1.3365 |
1.3365 |
1.3418 |
1.3382 |
| S2 |
1.3302 |
1.3302 |
1.3409 |
|
| S3 |
1.3206 |
1.3269 |
1.3401 |
|
| S4 |
1.3110 |
1.3173 |
1.3374 |
|
|
| Weekly Pivots for week ending 16-Mar-2007 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3874 |
1.3803 |
1.3460 |
|
| R3 |
1.3687 |
1.3616 |
1.3408 |
|
| R2 |
1.3500 |
1.3500 |
1.3391 |
|
| R1 |
1.3429 |
1.3429 |
1.3374 |
1.3465 |
| PP |
1.3313 |
1.3313 |
1.3313 |
1.3331 |
| S1 |
1.3242 |
1.3242 |
1.3340 |
1.3278 |
| S2 |
1.3126 |
1.3126 |
1.3323 |
|
| S3 |
1.2939 |
1.3055 |
1.3306 |
|
| S4 |
1.2752 |
1.2868 |
1.3254 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3432 |
1.3257 |
0.0175 |
1.3% |
0.0046 |
0.3% |
97% |
True |
False |
168,343 |
| 10 |
1.3432 |
1.3138 |
0.0294 |
2.2% |
0.0050 |
0.4% |
98% |
True |
False |
102,548 |
| 20 |
1.3432 |
1.3130 |
0.0302 |
2.2% |
0.0045 |
0.3% |
98% |
True |
False |
52,975 |
| 40 |
1.3432 |
1.2970 |
0.0462 |
3.4% |
0.0034 |
0.3% |
99% |
True |
False |
26,767 |
| 60 |
1.3432 |
1.2970 |
0.0462 |
3.4% |
0.0030 |
0.2% |
99% |
True |
False |
17,935 |
| 80 |
1.3460 |
1.2970 |
0.0490 |
3.6% |
0.0030 |
0.2% |
93% |
False |
False |
13,494 |
| 100 |
1.3460 |
1.2822 |
0.0638 |
4.8% |
0.0025 |
0.2% |
95% |
False |
False |
10,796 |
| 120 |
1.3460 |
1.2642 |
0.0818 |
6.1% |
0.0021 |
0.2% |
96% |
False |
False |
8,997 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3840 |
|
2.618 |
1.3683 |
|
1.618 |
1.3587 |
|
1.000 |
1.3528 |
|
0.618 |
1.3491 |
|
HIGH |
1.3432 |
|
0.618 |
1.3395 |
|
0.500 |
1.3384 |
|
0.382 |
1.3373 |
|
LOW |
1.3336 |
|
0.618 |
1.3277 |
|
1.000 |
1.3240 |
|
1.618 |
1.3181 |
|
2.618 |
1.3085 |
|
4.250 |
1.2928 |
|
|
| Fisher Pivots for day following 21-Mar-2007 |
| Pivot |
1 day |
3 day |
| R1 |
1.3413 |
1.3412 |
| PP |
1.3398 |
1.3396 |
| S1 |
1.3384 |
1.3381 |
|