CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 21-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Jul-2011 |
21-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4128 |
1.4196 |
0.0068 |
0.5% |
1.4192 |
| High |
1.4216 |
1.4413 |
0.0197 |
1.4% |
1.4256 |
| Low |
1.4108 |
1.4114 |
0.0006 |
0.0% |
1.3811 |
| Close |
1.4201 |
1.4390 |
0.0189 |
1.3% |
1.4108 |
| Range |
0.0108 |
0.0299 |
0.0191 |
176.9% |
0.0445 |
| ATR |
0.0162 |
0.0171 |
0.0010 |
6.1% |
0.0000 |
| Volume |
303,280 |
483,069 |
179,789 |
59.3% |
2,068,132 |
|
| Daily Pivots for day following 21-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5203 |
1.5095 |
1.4554 |
|
| R3 |
1.4904 |
1.4796 |
1.4472 |
|
| R2 |
1.4605 |
1.4605 |
1.4445 |
|
| R1 |
1.4497 |
1.4497 |
1.4417 |
1.4551 |
| PP |
1.4306 |
1.4306 |
1.4306 |
1.4333 |
| S1 |
1.4198 |
1.4198 |
1.4363 |
1.4252 |
| S2 |
1.4007 |
1.4007 |
1.4335 |
|
| S3 |
1.3708 |
1.3899 |
1.4308 |
|
| S4 |
1.3409 |
1.3600 |
1.4226 |
|
|
| 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 |
1.4413 |
1.3988 |
0.0425 |
3.0% |
0.0157 |
1.1% |
95% |
True |
False |
340,936 |
| 10 |
1.4413 |
1.3811 |
0.0602 |
4.2% |
0.0183 |
1.3% |
96% |
True |
False |
385,727 |
| 20 |
1.4547 |
1.3811 |
0.0736 |
5.1% |
0.0171 |
1.2% |
79% |
False |
False |
334,850 |
| 40 |
1.4652 |
1.3811 |
0.0841 |
5.8% |
0.0163 |
1.1% |
69% |
False |
False |
243,614 |
| 60 |
1.4875 |
1.3811 |
0.1064 |
7.4% |
0.0165 |
1.1% |
54% |
False |
False |
162,775 |
| 80 |
1.4875 |
1.3811 |
0.1064 |
7.4% |
0.0154 |
1.1% |
54% |
False |
False |
122,179 |
| 100 |
1.4875 |
1.3720 |
0.1155 |
8.0% |
0.0140 |
1.0% |
58% |
False |
False |
97,787 |
| 120 |
1.4875 |
1.3395 |
0.1480 |
10.3% |
0.0124 |
0.9% |
67% |
False |
False |
81,491 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.5684 |
|
2.618 |
1.5196 |
|
1.618 |
1.4897 |
|
1.000 |
1.4712 |
|
0.618 |
1.4598 |
|
HIGH |
1.4413 |
|
0.618 |
1.4299 |
|
0.500 |
1.4264 |
|
0.382 |
1.4228 |
|
LOW |
1.4114 |
|
0.618 |
1.3929 |
|
1.000 |
1.3815 |
|
1.618 |
1.3630 |
|
2.618 |
1.3331 |
|
4.250 |
1.2843 |
|
|
| Fisher Pivots for day following 21-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4348 |
1.4336 |
| PP |
1.4306 |
1.4282 |
| S1 |
1.4264 |
1.4228 |
|