CME Euro FX Future March 2007
| Trading Metrics calculated at close of trading on 27-Nov-2006 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Nov-2006 |
27-Nov-2006 |
Change |
Change % |
Previous Week |
| Open |
1.3150 |
1.3186 |
0.0036 |
0.3% |
1.2905 |
| High |
1.3170 |
1.3211 |
0.0041 |
0.3% |
1.3170 |
| Low |
1.3147 |
1.3175 |
0.0028 |
0.2% |
1.2882 |
| Close |
1.3159 |
1.3197 |
0.0038 |
0.3% |
1.3159 |
| Range |
0.0023 |
0.0036 |
0.0013 |
56.5% |
0.0288 |
| ATR |
0.0060 |
0.0059 |
-0.0001 |
-0.9% |
0.0000 |
| Volume |
1,849 |
4,230 |
2,381 |
128.8% |
4,608 |
|
| Daily Pivots for day following 27-Nov-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3302 |
1.3286 |
1.3217 |
|
| R3 |
1.3266 |
1.3250 |
1.3207 |
|
| R2 |
1.3230 |
1.3230 |
1.3204 |
|
| R1 |
1.3214 |
1.3214 |
1.3200 |
1.3222 |
| PP |
1.3194 |
1.3194 |
1.3194 |
1.3199 |
| S1 |
1.3178 |
1.3178 |
1.3194 |
1.3186 |
| S2 |
1.3158 |
1.3158 |
1.3190 |
|
| S3 |
1.3122 |
1.3142 |
1.3187 |
|
| S4 |
1.3086 |
1.3106 |
1.3177 |
|
|
| Weekly Pivots for week ending 24-Nov-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3934 |
1.3835 |
1.3317 |
|
| R3 |
1.3646 |
1.3547 |
1.3238 |
|
| R2 |
1.3358 |
1.3358 |
1.3212 |
|
| R1 |
1.3259 |
1.3259 |
1.3185 |
1.3309 |
| PP |
1.3070 |
1.3070 |
1.3070 |
1.3095 |
| S1 |
1.2971 |
1.2971 |
1.3133 |
1.3021 |
| S2 |
1.2782 |
1.2782 |
1.3106 |
|
| S3 |
1.2494 |
1.2683 |
1.3080 |
|
| S4 |
1.2206 |
1.2395 |
1.3001 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3211 |
1.2882 |
0.0329 |
2.5% |
0.0029 |
0.2% |
96% |
True |
False |
1,767 |
| 10 |
1.3211 |
1.2855 |
0.0356 |
2.7% |
0.0037 |
0.3% |
96% |
True |
False |
1,177 |
| 20 |
1.3211 |
1.2759 |
0.0452 |
3.4% |
0.0037 |
0.3% |
97% |
True |
False |
902 |
| 40 |
1.3211 |
1.2585 |
0.0626 |
4.7% |
0.0027 |
0.2% |
98% |
True |
False |
664 |
| 60 |
1.3211 |
1.2585 |
0.0626 |
4.7% |
0.0022 |
0.2% |
98% |
True |
False |
478 |
| 80 |
1.3211 |
1.2585 |
0.0626 |
4.7% |
0.0017 |
0.1% |
98% |
True |
False |
359 |
| 100 |
1.3211 |
1.2585 |
0.0626 |
4.7% |
0.0016 |
0.1% |
98% |
True |
False |
289 |
| 120 |
1.3211 |
1.2585 |
0.0626 |
4.7% |
0.0013 |
0.1% |
98% |
True |
False |
241 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3364 |
|
2.618 |
1.3305 |
|
1.618 |
1.3269 |
|
1.000 |
1.3247 |
|
0.618 |
1.3233 |
|
HIGH |
1.3211 |
|
0.618 |
1.3197 |
|
0.500 |
1.3193 |
|
0.382 |
1.3189 |
|
LOW |
1.3175 |
|
0.618 |
1.3153 |
|
1.000 |
1.3139 |
|
1.618 |
1.3117 |
|
2.618 |
1.3081 |
|
4.250 |
1.3022 |
|
|
| Fisher Pivots for day following 27-Nov-2006 |
| Pivot |
1 day |
3 day |
| R1 |
1.3196 |
1.3164 |
| PP |
1.3194 |
1.3131 |
| S1 |
1.3193 |
1.3098 |
|