CME Euro FX (E) Future December 2009
| Trading Metrics calculated at close of trading on 27-Nov-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Nov-2009 |
27-Nov-2009 |
Change |
Change % |
Previous Week |
| Open |
1.4964 |
1.5101 |
0.0137 |
0.9% |
1.4852 |
| High |
1.5144 |
1.5141 |
-0.0003 |
0.0% |
1.5144 |
| Low |
1.4954 |
1.4827 |
-0.0127 |
-0.8% |
1.4827 |
| Close |
1.5137 |
1.4960 |
-0.0177 |
-1.2% |
1.4960 |
| Range |
0.0190 |
0.0314 |
0.0124 |
65.3% |
0.0317 |
| ATR |
0.0142 |
0.0154 |
0.0012 |
8.7% |
0.0000 |
| Volume |
249,545 |
266,464 |
16,919 |
6.8% |
987,216 |
|
| Daily Pivots for day following 27-Nov-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5918 |
1.5753 |
1.5133 |
|
| R3 |
1.5604 |
1.5439 |
1.5046 |
|
| R2 |
1.5290 |
1.5290 |
1.5018 |
|
| R1 |
1.5125 |
1.5125 |
1.4989 |
1.5051 |
| PP |
1.4976 |
1.4976 |
1.4976 |
1.4939 |
| S1 |
1.4811 |
1.4811 |
1.4931 |
1.4737 |
| S2 |
1.4662 |
1.4662 |
1.4902 |
|
| S3 |
1.4348 |
1.4497 |
1.4874 |
|
| S4 |
1.4034 |
1.4183 |
1.4787 |
|
|
| Weekly Pivots for week ending 27-Nov-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5928 |
1.5761 |
1.5134 |
|
| R3 |
1.5611 |
1.5444 |
1.5047 |
|
| R2 |
1.5294 |
1.5294 |
1.5018 |
|
| R1 |
1.5127 |
1.5127 |
1.4989 |
1.5211 |
| PP |
1.4977 |
1.4977 |
1.4977 |
1.5019 |
| S1 |
1.4810 |
1.4810 |
1.4931 |
1.4894 |
| S2 |
1.4660 |
1.4660 |
1.4902 |
|
| S3 |
1.4343 |
1.4493 |
1.4873 |
|
| S4 |
1.4026 |
1.4176 |
1.4786 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.5144 |
1.4799 |
0.0345 |
2.3% |
0.0178 |
1.2% |
47% |
False |
False |
254,528 |
| 10 |
1.5144 |
1.4799 |
0.0345 |
2.3% |
0.0158 |
1.1% |
47% |
False |
False |
265,403 |
| 20 |
1.5144 |
1.4624 |
0.0520 |
3.5% |
0.0151 |
1.0% |
65% |
False |
False |
264,608 |
| 40 |
1.5144 |
1.4479 |
0.0665 |
4.4% |
0.0141 |
0.9% |
72% |
False |
False |
252,257 |
| 60 |
1.5144 |
1.4192 |
0.0952 |
6.4% |
0.0136 |
0.9% |
81% |
False |
False |
226,597 |
| 80 |
1.5144 |
1.4050 |
0.1094 |
7.3% |
0.0134 |
0.9% |
83% |
False |
False |
170,379 |
| 100 |
1.5144 |
1.3893 |
0.1251 |
8.4% |
0.0130 |
0.9% |
85% |
False |
False |
136,381 |
| 120 |
1.5144 |
1.3753 |
0.1391 |
9.3% |
0.0126 |
0.8% |
87% |
False |
False |
113,684 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.6476 |
|
2.618 |
1.5963 |
|
1.618 |
1.5649 |
|
1.000 |
1.5455 |
|
0.618 |
1.5335 |
|
HIGH |
1.5141 |
|
0.618 |
1.5021 |
|
0.500 |
1.4984 |
|
0.382 |
1.4947 |
|
LOW |
1.4827 |
|
0.618 |
1.4633 |
|
1.000 |
1.4513 |
|
1.618 |
1.4319 |
|
2.618 |
1.4005 |
|
4.250 |
1.3493 |
|
|
| Fisher Pivots for day following 27-Nov-2009 |
| Pivot |
1 day |
3 day |
| R1 |
1.4984 |
1.4986 |
| PP |
1.4976 |
1.4977 |
| S1 |
1.4968 |
1.4969 |
|