CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 15-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Aug-2011 |
15-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4231 |
1.4256 |
0.0025 |
0.2% |
1.4349 |
| High |
1.4286 |
1.4472 |
0.0186 |
1.3% |
1.4395 |
| Low |
1.4143 |
1.4256 |
0.0113 |
0.8% |
1.4098 |
| Close |
1.4238 |
1.4444 |
0.0206 |
1.4% |
1.4238 |
| Range |
0.0143 |
0.0216 |
0.0073 |
51.0% |
0.0297 |
| ATR |
0.0192 |
0.0195 |
0.0003 |
1.5% |
0.0000 |
| Volume |
274,033 |
301,148 |
27,115 |
9.9% |
2,122,252 |
|
| Daily Pivots for day following 15-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5039 |
1.4957 |
1.4563 |
|
| R3 |
1.4823 |
1.4741 |
1.4503 |
|
| R2 |
1.4607 |
1.4607 |
1.4484 |
|
| R1 |
1.4525 |
1.4525 |
1.4464 |
1.4566 |
| PP |
1.4391 |
1.4391 |
1.4391 |
1.4411 |
| S1 |
1.4309 |
1.4309 |
1.4424 |
1.4350 |
| S2 |
1.4175 |
1.4175 |
1.4404 |
|
| S3 |
1.3959 |
1.4093 |
1.4385 |
|
| S4 |
1.3743 |
1.3877 |
1.4325 |
|
|
| Weekly Pivots for week ending 12-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5135 |
1.4983 |
1.4401 |
|
| R3 |
1.4838 |
1.4686 |
1.4320 |
|
| R2 |
1.4541 |
1.4541 |
1.4292 |
|
| R1 |
1.4389 |
1.4389 |
1.4265 |
1.4317 |
| PP |
1.4244 |
1.4244 |
1.4244 |
1.4207 |
| S1 |
1.4092 |
1.4092 |
1.4211 |
1.4020 |
| S2 |
1.3947 |
1.3947 |
1.4184 |
|
| S3 |
1.3650 |
1.3795 |
1.4156 |
|
| S4 |
1.3353 |
1.3498 |
1.4075 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4472 |
1.4098 |
0.0374 |
2.6% |
0.0204 |
1.4% |
93% |
True |
False |
391,471 |
| 10 |
1.4472 |
1.4041 |
0.0431 |
3.0% |
0.0215 |
1.5% |
94% |
True |
False |
424,961 |
| 20 |
1.4514 |
1.4041 |
0.0473 |
3.3% |
0.0194 |
1.3% |
85% |
False |
False |
377,576 |
| 40 |
1.4547 |
1.3811 |
0.0736 |
5.1% |
0.0178 |
1.2% |
86% |
False |
False |
346,801 |
| 60 |
1.4652 |
1.3811 |
0.0841 |
5.8% |
0.0172 |
1.2% |
75% |
False |
False |
269,062 |
| 80 |
1.4875 |
1.3811 |
0.1064 |
7.4% |
0.0170 |
1.2% |
59% |
False |
False |
202,023 |
| 100 |
1.4875 |
1.3811 |
0.1064 |
7.4% |
0.0160 |
1.1% |
59% |
False |
False |
161,694 |
| 120 |
1.4875 |
1.3718 |
0.1157 |
8.0% |
0.0145 |
1.0% |
63% |
False |
False |
134,773 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.5390 |
|
2.618 |
1.5037 |
|
1.618 |
1.4821 |
|
1.000 |
1.4688 |
|
0.618 |
1.4605 |
|
HIGH |
1.4472 |
|
0.618 |
1.4389 |
|
0.500 |
1.4364 |
|
0.382 |
1.4339 |
|
LOW |
1.4256 |
|
0.618 |
1.4123 |
|
1.000 |
1.4040 |
|
1.618 |
1.3907 |
|
2.618 |
1.3691 |
|
4.250 |
1.3338 |
|
|
| Fisher Pivots for day following 15-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4417 |
1.4391 |
| PP |
1.4391 |
1.4338 |
| S1 |
1.4364 |
1.4285 |
|