CME Euro FX Future March 2007
| Trading Metrics calculated at close of trading on 20-Dec-2006 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Dec-2006 |
20-Dec-2006 |
Change |
Change % |
Previous Week |
| Open |
1.3209 |
1.3262 |
0.0053 |
0.4% |
1.3235 |
| High |
1.3269 |
1.3272 |
0.0003 |
0.0% |
1.3352 |
| Low |
1.3185 |
1.3212 |
0.0027 |
0.2% |
1.3114 |
| Close |
1.3246 |
1.3230 |
-0.0016 |
-0.1% |
1.3136 |
| Range |
0.0084 |
0.0060 |
-0.0024 |
-28.6% |
0.0238 |
| ATR |
0.0077 |
0.0076 |
-0.0001 |
-1.6% |
0.0000 |
| Volume |
149,425 |
235,342 |
85,917 |
57.5% |
601,341 |
|
| Daily Pivots for day following 20-Dec-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3418 |
1.3384 |
1.3263 |
|
| R3 |
1.3358 |
1.3324 |
1.3247 |
|
| R2 |
1.3298 |
1.3298 |
1.3241 |
|
| R1 |
1.3264 |
1.3264 |
1.3236 |
1.3251 |
| PP |
1.3238 |
1.3238 |
1.3238 |
1.3232 |
| S1 |
1.3204 |
1.3204 |
1.3225 |
1.3191 |
| S2 |
1.3178 |
1.3178 |
1.3219 |
|
| S3 |
1.3118 |
1.3144 |
1.3214 |
|
| S4 |
1.3058 |
1.3084 |
1.3197 |
|
|
| Weekly Pivots for week ending 15-Dec-2006 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3915 |
1.3763 |
1.3267 |
|
| R3 |
1.3677 |
1.3525 |
1.3201 |
|
| R2 |
1.3439 |
1.3439 |
1.3180 |
|
| R1 |
1.3287 |
1.3287 |
1.3158 |
1.3244 |
| PP |
1.3201 |
1.3201 |
1.3201 |
1.3179 |
| S1 |
1.3049 |
1.3049 |
1.3114 |
1.3006 |
| S2 |
1.2963 |
1.2963 |
1.3092 |
|
| S3 |
1.2725 |
1.2811 |
1.3071 |
|
| S4 |
1.2487 |
1.2573 |
1.3005 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3272 |
1.3105 |
0.0167 |
1.3% |
0.0079 |
0.6% |
75% |
True |
False |
213,433 |
| 10 |
1.3421 |
1.3105 |
0.0316 |
2.4% |
0.0083 |
0.6% |
40% |
False |
False |
130,875 |
| 20 |
1.3421 |
1.2985 |
0.0436 |
3.3% |
0.0068 |
0.5% |
56% |
False |
False |
68,061 |
| 40 |
1.3421 |
1.2680 |
0.0741 |
5.6% |
0.0051 |
0.4% |
74% |
False |
False |
34,339 |
| 60 |
1.3421 |
1.2585 |
0.0836 |
6.3% |
0.0040 |
0.3% |
77% |
False |
False |
23,014 |
| 80 |
1.3421 |
1.2585 |
0.0836 |
6.3% |
0.0032 |
0.2% |
77% |
False |
False |
17,283 |
| 100 |
1.3421 |
1.2585 |
0.0836 |
6.3% |
0.0026 |
0.2% |
77% |
False |
False |
13,827 |
| 120 |
1.3421 |
1.2585 |
0.0836 |
6.3% |
0.0024 |
0.2% |
77% |
False |
False |
11,524 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3527 |
|
2.618 |
1.3429 |
|
1.618 |
1.3369 |
|
1.000 |
1.3332 |
|
0.618 |
1.3309 |
|
HIGH |
1.3272 |
|
0.618 |
1.3249 |
|
0.500 |
1.3242 |
|
0.382 |
1.3235 |
|
LOW |
1.3212 |
|
0.618 |
1.3175 |
|
1.000 |
1.3152 |
|
1.618 |
1.3115 |
|
2.618 |
1.3055 |
|
4.250 |
1.2957 |
|
|
| Fisher Pivots for day following 20-Dec-2006 |
| Pivot |
1 day |
3 day |
| R1 |
1.3242 |
1.3216 |
| PP |
1.3238 |
1.3202 |
| S1 |
1.3234 |
1.3189 |
|