CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 01-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Jun-2011 |
01-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4401 |
1.4462 |
0.0061 |
0.4% |
1.4155 |
| High |
1.4507 |
1.4520 |
0.0013 |
0.1% |
1.4520 |
| Low |
1.4395 |
1.4405 |
0.0010 |
0.1% |
1.4070 |
| Close |
1.4488 |
1.4478 |
-0.0010 |
-0.1% |
1.4478 |
| Range |
0.0112 |
0.0115 |
0.0003 |
2.7% |
0.0450 |
| ATR |
0.0159 |
0.0156 |
-0.0003 |
-2.0% |
0.0000 |
| Volume |
287,116 |
250,206 |
-36,910 |
-12.9% |
1,534,935 |
|
| Daily Pivots for day following 01-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4813 |
1.4760 |
1.4541 |
|
| R3 |
1.4698 |
1.4645 |
1.4510 |
|
| R2 |
1.4583 |
1.4583 |
1.4499 |
|
| R1 |
1.4530 |
1.4530 |
1.4489 |
1.4557 |
| PP |
1.4468 |
1.4468 |
1.4468 |
1.4481 |
| S1 |
1.4415 |
1.4415 |
1.4467 |
1.4442 |
| S2 |
1.4353 |
1.4353 |
1.4457 |
|
| S3 |
1.4238 |
1.4300 |
1.4446 |
|
| S4 |
1.4123 |
1.4185 |
1.4415 |
|
|
| Weekly Pivots for week ending 01-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5706 |
1.5542 |
1.4726 |
|
| R3 |
1.5256 |
1.5092 |
1.4602 |
|
| R2 |
1.4806 |
1.4806 |
1.4561 |
|
| R1 |
1.4642 |
1.4642 |
1.4519 |
1.4724 |
| PP |
1.4356 |
1.4356 |
1.4356 |
1.4397 |
| S1 |
1.4192 |
1.4192 |
1.4437 |
1.4274 |
| S2 |
1.3906 |
1.3906 |
1.4396 |
|
| S3 |
1.3456 |
1.3742 |
1.4354 |
|
| S4 |
1.3006 |
1.3292 |
1.4231 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4520 |
1.4070 |
0.0450 |
3.1% |
0.0141 |
1.0% |
91% |
True |
False |
306,987 |
| 10 |
1.4520 |
1.4070 |
0.0450 |
3.1% |
0.0144 |
1.0% |
91% |
True |
False |
298,717 |
| 20 |
1.4652 |
1.4039 |
0.0613 |
4.2% |
0.0155 |
1.1% |
72% |
False |
False |
260,664 |
| 40 |
1.4652 |
1.3925 |
0.0727 |
5.0% |
0.0161 |
1.1% |
76% |
False |
False |
131,751 |
| 60 |
1.4875 |
1.3925 |
0.0950 |
6.6% |
0.0154 |
1.1% |
58% |
False |
False |
88,030 |
| 80 |
1.4875 |
1.3720 |
0.1155 |
8.0% |
0.0142 |
1.0% |
66% |
False |
False |
66,095 |
| 100 |
1.4875 |
1.3395 |
0.1480 |
10.2% |
0.0122 |
0.8% |
73% |
False |
False |
52,882 |
| 120 |
1.4875 |
1.2929 |
0.1946 |
13.4% |
0.0107 |
0.7% |
80% |
False |
False |
44,069 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.5009 |
|
2.618 |
1.4821 |
|
1.618 |
1.4706 |
|
1.000 |
1.4635 |
|
0.618 |
1.4591 |
|
HIGH |
1.4520 |
|
0.618 |
1.4476 |
|
0.500 |
1.4463 |
|
0.382 |
1.4449 |
|
LOW |
1.4405 |
|
0.618 |
1.4334 |
|
1.000 |
1.4290 |
|
1.618 |
1.4219 |
|
2.618 |
1.4104 |
|
4.250 |
1.3916 |
|
|
| Fisher Pivots for day following 01-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4473 |
1.4454 |
| PP |
1.4468 |
1.4430 |
| S1 |
1.4463 |
1.4406 |
|