CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 20-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Jul-2011 |
20-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4078 |
1.4128 |
0.0050 |
0.4% |
1.4192 |
| High |
1.4193 |
1.4216 |
0.0023 |
0.2% |
1.4256 |
| Low |
1.4043 |
1.4108 |
0.0065 |
0.5% |
1.3811 |
| Close |
1.4108 |
1.4201 |
0.0093 |
0.7% |
1.4108 |
| Range |
0.0150 |
0.0108 |
-0.0042 |
-28.0% |
0.0445 |
| ATR |
0.0166 |
0.0162 |
-0.0004 |
-2.5% |
0.0000 |
| Volume |
371,055 |
303,280 |
-67,775 |
-18.3% |
2,068,132 |
|
| Daily Pivots for day following 20-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4499 |
1.4458 |
1.4260 |
|
| R3 |
1.4391 |
1.4350 |
1.4231 |
|
| R2 |
1.4283 |
1.4283 |
1.4221 |
|
| R1 |
1.4242 |
1.4242 |
1.4211 |
1.4263 |
| PP |
1.4175 |
1.4175 |
1.4175 |
1.4185 |
| S1 |
1.4134 |
1.4134 |
1.4191 |
1.4155 |
| S2 |
1.4067 |
1.4067 |
1.4181 |
|
| S3 |
1.3959 |
1.4026 |
1.4171 |
|
| S4 |
1.3851 |
1.3918 |
1.4142 |
|
|
| Weekly Pivots for week ending 15-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5393 |
1.5196 |
1.4353 |
|
| R3 |
1.4948 |
1.4751 |
1.4230 |
|
| R2 |
1.4503 |
1.4503 |
1.4190 |
|
| R1 |
1.4306 |
1.4306 |
1.4149 |
1.4182 |
| PP |
1.4058 |
1.4058 |
1.4058 |
1.3997 |
| S1 |
1.3861 |
1.3861 |
1.4067 |
1.3737 |
| S2 |
1.3613 |
1.3613 |
1.4026 |
|
| S3 |
1.3168 |
1.3416 |
1.3986 |
|
| S4 |
1.2723 |
1.2971 |
1.3863 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4256 |
1.3988 |
0.0268 |
1.9% |
0.0131 |
0.9% |
79% |
False |
False |
317,741 |
| 10 |
1.4345 |
1.3811 |
0.0534 |
3.8% |
0.0168 |
1.2% |
73% |
False |
False |
371,128 |
| 20 |
1.4547 |
1.3811 |
0.0736 |
5.2% |
0.0161 |
1.1% |
53% |
False |
False |
324,938 |
| 40 |
1.4652 |
1.3811 |
0.0841 |
5.9% |
0.0159 |
1.1% |
46% |
False |
False |
231,611 |
| 60 |
1.4875 |
1.3811 |
0.1064 |
7.5% |
0.0163 |
1.1% |
37% |
False |
False |
154,728 |
| 80 |
1.4875 |
1.3811 |
0.1064 |
7.5% |
0.0151 |
1.1% |
37% |
False |
False |
116,144 |
| 100 |
1.4875 |
1.3720 |
0.1155 |
8.1% |
0.0138 |
1.0% |
42% |
False |
False |
92,956 |
| 120 |
1.4875 |
1.3395 |
0.1480 |
10.4% |
0.0122 |
0.9% |
54% |
False |
False |
77,466 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4675 |
|
2.618 |
1.4499 |
|
1.618 |
1.4391 |
|
1.000 |
1.4324 |
|
0.618 |
1.4283 |
|
HIGH |
1.4216 |
|
0.618 |
1.4175 |
|
0.500 |
1.4162 |
|
0.382 |
1.4149 |
|
LOW |
1.4108 |
|
0.618 |
1.4041 |
|
1.000 |
1.4000 |
|
1.618 |
1.3933 |
|
2.618 |
1.3825 |
|
4.250 |
1.3649 |
|
|
| Fisher Pivots for day following 20-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4188 |
1.4168 |
| PP |
1.4175 |
1.4135 |
| S1 |
1.4162 |
1.4102 |
|