CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 27-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Jul-2011 |
27-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4355 |
1.4490 |
0.0135 |
0.9% |
1.4100 |
| High |
1.4505 |
1.4514 |
0.0009 |
0.1% |
1.4414 |
| Low |
1.4336 |
1.4319 |
-0.0017 |
-0.1% |
1.3988 |
| Close |
1.4498 |
1.4352 |
-0.0146 |
-1.0% |
1.4344 |
| Range |
0.0169 |
0.0195 |
0.0026 |
15.4% |
0.0426 |
| ATR |
0.0162 |
0.0164 |
0.0002 |
1.5% |
0.0000 |
| Volume |
283,260 |
331,842 |
48,582 |
17.2% |
1,683,722 |
|
| Daily Pivots for day following 27-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4980 |
1.4861 |
1.4459 |
|
| R3 |
1.4785 |
1.4666 |
1.4406 |
|
| R2 |
1.4590 |
1.4590 |
1.4388 |
|
| R1 |
1.4471 |
1.4471 |
1.4370 |
1.4433 |
| PP |
1.4395 |
1.4395 |
1.4395 |
1.4376 |
| S1 |
1.4276 |
1.4276 |
1.4334 |
1.4238 |
| S2 |
1.4200 |
1.4200 |
1.4316 |
|
| S3 |
1.4005 |
1.4081 |
1.4298 |
|
| S4 |
1.3810 |
1.3886 |
1.4245 |
|
|
| Weekly Pivots for week ending 22-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5527 |
1.5361 |
1.4578 |
|
| R3 |
1.5101 |
1.4935 |
1.4461 |
|
| R2 |
1.4675 |
1.4675 |
1.4422 |
|
| R1 |
1.4509 |
1.4509 |
1.4383 |
1.4592 |
| PP |
1.4249 |
1.4249 |
1.4249 |
1.4290 |
| S1 |
1.4083 |
1.4083 |
1.4305 |
1.4166 |
| S2 |
1.3823 |
1.3823 |
1.4266 |
|
| S3 |
1.3397 |
1.3657 |
1.4227 |
|
| S4 |
1.2971 |
1.3231 |
1.4110 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4514 |
1.4114 |
0.0400 |
2.8% |
0.0172 |
1.2% |
60% |
True |
False |
319,062 |
| 10 |
1.4514 |
1.3988 |
0.0526 |
3.7% |
0.0152 |
1.1% |
69% |
True |
False |
318,401 |
| 20 |
1.4547 |
1.3811 |
0.0736 |
5.1% |
0.0163 |
1.1% |
74% |
False |
False |
324,199 |
| 40 |
1.4652 |
1.3811 |
0.0841 |
5.9% |
0.0163 |
1.1% |
64% |
False |
False |
271,092 |
| 60 |
1.4875 |
1.3811 |
0.1064 |
7.4% |
0.0167 |
1.2% |
51% |
False |
False |
181,259 |
| 80 |
1.4875 |
1.3811 |
0.1064 |
7.4% |
0.0155 |
1.1% |
51% |
False |
False |
136,067 |
| 100 |
1.4875 |
1.3720 |
0.1155 |
8.0% |
0.0144 |
1.0% |
55% |
False |
False |
108,907 |
| 120 |
1.4875 |
1.3395 |
0.1480 |
10.3% |
0.0127 |
0.9% |
65% |
False |
False |
90,760 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.5343 |
|
2.618 |
1.5025 |
|
1.618 |
1.4830 |
|
1.000 |
1.4709 |
|
0.618 |
1.4635 |
|
HIGH |
1.4514 |
|
0.618 |
1.4440 |
|
0.500 |
1.4417 |
|
0.382 |
1.4393 |
|
LOW |
1.4319 |
|
0.618 |
1.4198 |
|
1.000 |
1.4124 |
|
1.618 |
1.4003 |
|
2.618 |
1.3808 |
|
4.250 |
1.3490 |
|
|
| Fisher Pivots for day following 27-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4417 |
1.4408 |
| PP |
1.4395 |
1.4389 |
| S1 |
1.4374 |
1.4371 |
|