CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 03-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Jun-2011 |
03-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4287 |
1.4448 |
0.0161 |
1.1% |
1.4270 |
| High |
1.4472 |
1.4601 |
0.0129 |
0.9% |
1.4601 |
| Low |
1.4287 |
1.4410 |
0.0123 |
0.9% |
1.4221 |
| Close |
1.4441 |
1.4582 |
0.0141 |
1.0% |
1.4582 |
| Range |
0.0185 |
0.0191 |
0.0006 |
3.2% |
0.0380 |
| ATR |
0.0159 |
0.0161 |
0.0002 |
1.5% |
0.0000 |
| Volume |
6,677 |
14,635 |
7,958 |
119.2% |
29,726 |
|
| Daily Pivots for day following 03-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5104 |
1.5034 |
1.4687 |
|
| R3 |
1.4913 |
1.4843 |
1.4635 |
|
| R2 |
1.4722 |
1.4722 |
1.4617 |
|
| R1 |
1.4652 |
1.4652 |
1.4600 |
1.4687 |
| PP |
1.4531 |
1.4531 |
1.4531 |
1.4549 |
| S1 |
1.4461 |
1.4461 |
1.4564 |
1.4496 |
| S2 |
1.4340 |
1.4340 |
1.4547 |
|
| S3 |
1.4149 |
1.4270 |
1.4529 |
|
| S4 |
1.3958 |
1.4079 |
1.4477 |
|
|
| Weekly Pivots for week ending 03-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5608 |
1.5475 |
1.4791 |
|
| R3 |
1.5228 |
1.5095 |
1.4687 |
|
| R2 |
1.4848 |
1.4848 |
1.4652 |
|
| R1 |
1.4715 |
1.4715 |
1.4617 |
1.4782 |
| PP |
1.4468 |
1.4468 |
1.4468 |
1.4501 |
| S1 |
1.4335 |
1.4335 |
1.4547 |
1.4402 |
| S2 |
1.4088 |
1.4088 |
1.4512 |
|
| S3 |
1.3708 |
1.3955 |
1.4478 |
|
| S4 |
1.3328 |
1.3575 |
1.4373 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4601 |
1.4086 |
0.0515 |
3.5% |
0.0171 |
1.2% |
96% |
True |
False |
6,870 |
| 10 |
1.4601 |
1.3925 |
0.0676 |
4.6% |
0.0159 |
1.1% |
97% |
True |
False |
4,557 |
| 20 |
1.4601 |
1.3925 |
0.0676 |
4.6% |
0.0167 |
1.1% |
97% |
True |
False |
2,838 |
| 40 |
1.4875 |
1.3925 |
0.0950 |
6.5% |
0.0154 |
1.1% |
69% |
False |
False |
1,713 |
| 60 |
1.4875 |
1.3720 |
0.1155 |
7.9% |
0.0138 |
0.9% |
75% |
False |
False |
1,239 |
| 80 |
1.4875 |
1.3395 |
0.1480 |
10.1% |
0.0114 |
0.8% |
80% |
False |
False |
936 |
| 100 |
1.4875 |
1.2929 |
0.1946 |
13.3% |
0.0098 |
0.7% |
85% |
False |
False |
750 |
| 120 |
1.4875 |
1.2838 |
0.2037 |
14.0% |
0.0085 |
0.6% |
86% |
False |
False |
625 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.5413 |
|
2.618 |
1.5101 |
|
1.618 |
1.4910 |
|
1.000 |
1.4792 |
|
0.618 |
1.4719 |
|
HIGH |
1.4601 |
|
0.618 |
1.4528 |
|
0.500 |
1.4506 |
|
0.382 |
1.4483 |
|
LOW |
1.4410 |
|
0.618 |
1.4292 |
|
1.000 |
1.4219 |
|
1.618 |
1.4101 |
|
2.618 |
1.3910 |
|
4.250 |
1.3598 |
|
|
| Fisher Pivots for day following 03-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4557 |
1.4534 |
| PP |
1.4531 |
1.4487 |
| S1 |
1.4506 |
1.4439 |
|