CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 22-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Jun-2011 |
22-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4270 |
1.4368 |
0.0098 |
0.7% |
1.4292 |
| High |
1.4385 |
1.4407 |
0.0022 |
0.2% |
1.4456 |
| Low |
1.4260 |
1.4306 |
0.0046 |
0.3% |
1.4039 |
| Close |
1.4380 |
1.4338 |
-0.0042 |
-0.3% |
1.4276 |
| Range |
0.0125 |
0.0101 |
-0.0024 |
-19.2% |
0.0417 |
| ATR |
0.0162 |
0.0158 |
-0.0004 |
-2.7% |
0.0000 |
| Volume |
255,350 |
284,820 |
29,470 |
11.5% |
1,565,278 |
|
| Daily Pivots for day following 22-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4653 |
1.4597 |
1.4394 |
|
| R3 |
1.4552 |
1.4496 |
1.4366 |
|
| R2 |
1.4451 |
1.4451 |
1.4357 |
|
| R1 |
1.4395 |
1.4395 |
1.4347 |
1.4373 |
| PP |
1.4350 |
1.4350 |
1.4350 |
1.4339 |
| S1 |
1.4294 |
1.4294 |
1.4329 |
1.4272 |
| S2 |
1.4249 |
1.4249 |
1.4319 |
|
| S3 |
1.4148 |
1.4193 |
1.4310 |
|
| S4 |
1.4047 |
1.4092 |
1.4282 |
|
|
| Weekly Pivots for week ending 17-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5508 |
1.5309 |
1.4505 |
|
| R3 |
1.5091 |
1.4892 |
1.4391 |
|
| R2 |
1.4674 |
1.4674 |
1.4352 |
|
| R1 |
1.4475 |
1.4475 |
1.4314 |
1.4366 |
| PP |
1.4257 |
1.4257 |
1.4257 |
1.4203 |
| S1 |
1.4058 |
1.4058 |
1.4238 |
1.3949 |
| S2 |
1.3840 |
1.3840 |
1.4200 |
|
| S3 |
1.3423 |
1.3641 |
1.4161 |
|
| S4 |
1.3006 |
1.3224 |
1.4047 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4407 |
1.4039 |
0.0368 |
2.6% |
0.0144 |
1.0% |
81% |
True |
False |
301,424 |
| 10 |
1.4619 |
1.4039 |
0.0580 |
4.0% |
0.0165 |
1.2% |
52% |
False |
False |
283,011 |
| 20 |
1.4652 |
1.3968 |
0.0684 |
4.8% |
0.0155 |
1.1% |
54% |
False |
False |
152,377 |
| 40 |
1.4875 |
1.3925 |
0.0950 |
6.6% |
0.0162 |
1.1% |
43% |
False |
False |
76,738 |
| 60 |
1.4875 |
1.3925 |
0.0950 |
6.6% |
0.0148 |
1.0% |
43% |
False |
False |
51,289 |
| 80 |
1.4875 |
1.3720 |
0.1155 |
8.1% |
0.0133 |
0.9% |
54% |
False |
False |
38,521 |
| 100 |
1.4875 |
1.3395 |
0.1480 |
10.3% |
0.0114 |
0.8% |
64% |
False |
False |
30,819 |
| 120 |
1.4875 |
1.2838 |
0.2037 |
14.2% |
0.0100 |
0.7% |
74% |
False |
False |
25,683 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4836 |
|
2.618 |
1.4671 |
|
1.618 |
1.4570 |
|
1.000 |
1.4508 |
|
0.618 |
1.4469 |
|
HIGH |
1.4407 |
|
0.618 |
1.4368 |
|
0.500 |
1.4357 |
|
0.382 |
1.4345 |
|
LOW |
1.4306 |
|
0.618 |
1.4244 |
|
1.000 |
1.4205 |
|
1.618 |
1.4143 |
|
2.618 |
1.4042 |
|
4.250 |
1.3877 |
|
|
| Fisher Pivots for day following 22-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4357 |
1.4319 |
| PP |
1.4350 |
1.4300 |
| S1 |
1.4344 |
1.4281 |
|