CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 16-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Aug-2011 |
16-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4256 |
1.4441 |
0.0185 |
1.3% |
1.4349 |
| High |
1.4472 |
1.4467 |
-0.0005 |
0.0% |
1.4395 |
| Low |
1.4256 |
1.4348 |
0.0092 |
0.6% |
1.4098 |
| Close |
1.4444 |
1.4389 |
-0.0055 |
-0.4% |
1.4238 |
| Range |
0.0216 |
0.0119 |
-0.0097 |
-44.9% |
0.0297 |
| ATR |
0.0195 |
0.0190 |
-0.0005 |
-2.8% |
0.0000 |
| Volume |
301,148 |
313,823 |
12,675 |
4.2% |
2,122,252 |
|
| Daily Pivots for day following 16-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4758 |
1.4693 |
1.4454 |
|
| R3 |
1.4639 |
1.4574 |
1.4422 |
|
| R2 |
1.4520 |
1.4520 |
1.4411 |
|
| R1 |
1.4455 |
1.4455 |
1.4400 |
1.4428 |
| PP |
1.4401 |
1.4401 |
1.4401 |
1.4388 |
| S1 |
1.4336 |
1.4336 |
1.4378 |
1.4309 |
| S2 |
1.4282 |
1.4282 |
1.4367 |
|
| S3 |
1.4163 |
1.4217 |
1.4356 |
|
| S4 |
1.4044 |
1.4098 |
1.4324 |
|
|
| 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% |
0.0182 |
1.3% |
78% |
False |
False |
357,482 |
| 10 |
1.4472 |
1.4041 |
0.0431 |
3.0% |
0.0214 |
1.5% |
81% |
False |
False |
419,363 |
| 20 |
1.4514 |
1.4041 |
0.0473 |
3.3% |
0.0192 |
1.3% |
74% |
False |
False |
374,715 |
| 40 |
1.4547 |
1.3811 |
0.0736 |
5.1% |
0.0177 |
1.2% |
79% |
False |
False |
348,628 |
| 60 |
1.4652 |
1.3811 |
0.0841 |
5.8% |
0.0171 |
1.2% |
69% |
False |
False |
274,277 |
| 80 |
1.4875 |
1.3811 |
0.1064 |
7.4% |
0.0170 |
1.2% |
54% |
False |
False |
205,940 |
| 100 |
1.4875 |
1.3811 |
0.1064 |
7.4% |
0.0159 |
1.1% |
54% |
False |
False |
164,830 |
| 120 |
1.4875 |
1.3718 |
0.1157 |
8.0% |
0.0146 |
1.0% |
58% |
False |
False |
137,388 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4973 |
|
2.618 |
1.4779 |
|
1.618 |
1.4660 |
|
1.000 |
1.4586 |
|
0.618 |
1.4541 |
|
HIGH |
1.4467 |
|
0.618 |
1.4422 |
|
0.500 |
1.4408 |
|
0.382 |
1.4393 |
|
LOW |
1.4348 |
|
0.618 |
1.4274 |
|
1.000 |
1.4229 |
|
1.618 |
1.4155 |
|
2.618 |
1.4036 |
|
4.250 |
1.3842 |
|
|
| Fisher Pivots for day following 16-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4408 |
1.4362 |
| PP |
1.4401 |
1.4335 |
| S1 |
1.4395 |
1.4308 |
|