CME Euro FX (E) Future March 2011


Trading Metrics calculated at close of trading on 11-Jan-2011
Day Change Summary
Previous Current
10-Jan-2011 11-Jan-2011 Change Change % Previous Week
Open 1.2893 1.2944 0.0051 0.4% 1.3344
High 1.2961 1.2989 0.0028 0.2% 1.3431
Low 1.2870 1.2899 0.0029 0.2% 1.2901
Close 1.2949 1.2966 0.0017 0.1% 1.2929
Range 0.0091 0.0090 -0.0001 -1.1% 0.0530
ATR 0.0147 0.0143 -0.0004 -2.8% 0.0000
Volume 298,305 318,689 20,384 6.8% 1,708,390
Daily Pivots for day following 11-Jan-2011
Classic Woodie Camarilla DeMark
R4 1.3221 1.3184 1.3016
R3 1.3131 1.3094 1.2991
R2 1.3041 1.3041 1.2983
R1 1.3004 1.3004 1.2974 1.3023
PP 1.2951 1.2951 1.2951 1.2961
S1 1.2914 1.2914 1.2958 1.2933
S2 1.2861 1.2861 1.2950
S3 1.2771 1.2824 1.2941
S4 1.2681 1.2734 1.2917
Weekly Pivots for week ending 07-Jan-2011
Classic Woodie Camarilla DeMark
R4 1.4677 1.4333 1.3221
R3 1.4147 1.3803 1.3075
R2 1.3617 1.3617 1.3026
R1 1.3273 1.3273 1.2978 1.3180
PP 1.3087 1.3087 1.3087 1.3041
S1 1.2743 1.2743 1.2880 1.2650
S2 1.2557 1.2557 1.2832
S3 1.2027 1.2213 1.2783
S4 1.1497 1.1683 1.2638
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.3322 1.2870 0.0452 3.5% 0.0135 1.0% 21% False False 357,597
10 1.3431 1.2870 0.0561 4.3% 0.0136 1.1% 17% False False 274,424
20 1.3493 1.2870 0.0623 4.8% 0.0135 1.0% 15% False False 255,690
40 1.3767 1.2870 0.0897 6.9% 0.0155 1.2% 11% False False 151,027
60 1.4250 1.2870 0.1380 10.6% 0.0162 1.3% 7% False False 100,917
80 1.4250 1.2870 0.1380 10.6% 0.0159 1.2% 7% False False 75,810
100 1.4250 1.2642 0.1608 12.4% 0.0138 1.1% 20% False False 60,658
120 1.4250 1.2642 0.1608 12.4% 0.0117 0.9% 20% False False 50,550
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0026
Narrowest range in 15 trading days
Fibonacci Retracements and Extensions
4.250 1.3372
2.618 1.3225
1.618 1.3135
1.000 1.3079
0.618 1.3045
HIGH 1.2989
0.618 1.2955
0.500 1.2944
0.382 1.2933
LOW 1.2899
0.618 1.2843
1.000 1.2809
1.618 1.2753
2.618 1.2663
4.250 1.2517
Fisher Pivots for day following 11-Jan-2011
Pivot 1 day 3 day
R1 1.2959 1.2960
PP 1.2951 1.2953
S1 1.2944 1.2947

These figures are updated between 7pm and 10pm EST after a trading day.

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