CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 26-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Aug-2011 |
26-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.4405 |
1.4370 |
-0.0035 |
-0.2% |
1.4372 |
| High |
1.4472 |
1.4500 |
0.0028 |
0.2% |
1.4500 |
| Low |
1.4322 |
1.4324 |
0.0002 |
0.0% |
1.4322 |
| Close |
1.4364 |
1.4480 |
0.0116 |
0.8% |
1.4480 |
| Range |
0.0150 |
0.0176 |
0.0026 |
17.3% |
0.0178 |
| ATR |
0.0173 |
0.0173 |
0.0000 |
0.1% |
0.0000 |
| Volume |
319,111 |
348,430 |
29,319 |
9.2% |
1,378,494 |
|
| Daily Pivots for day following 26-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4963 |
1.4897 |
1.4577 |
|
| R3 |
1.4787 |
1.4721 |
1.4528 |
|
| R2 |
1.4611 |
1.4611 |
1.4512 |
|
| R1 |
1.4545 |
1.4545 |
1.4496 |
1.4578 |
| PP |
1.4435 |
1.4435 |
1.4435 |
1.4451 |
| S1 |
1.4369 |
1.4369 |
1.4464 |
1.4402 |
| S2 |
1.4259 |
1.4259 |
1.4448 |
|
| S3 |
1.4083 |
1.4193 |
1.4432 |
|
| S4 |
1.3907 |
1.4017 |
1.4383 |
|
|
| Weekly Pivots for week ending 26-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4968 |
1.4902 |
1.4578 |
|
| R3 |
1.4790 |
1.4724 |
1.4529 |
|
| R2 |
1.4612 |
1.4612 |
1.4513 |
|
| R1 |
1.4546 |
1.4546 |
1.4496 |
1.4579 |
| PP |
1.4434 |
1.4434 |
1.4434 |
1.4451 |
| S1 |
1.4368 |
1.4368 |
1.4464 |
1.4401 |
| S2 |
1.4256 |
1.4256 |
1.4447 |
|
| S3 |
1.4078 |
1.4190 |
1.4431 |
|
| S4 |
1.3900 |
1.4012 |
1.4382 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4500 |
1.4322 |
0.0178 |
1.2% |
0.0133 |
0.9% |
89% |
True |
False |
275,698 |
| 10 |
1.4512 |
1.4253 |
0.0259 |
1.8% |
0.0157 |
1.1% |
88% |
False |
False |
294,286 |
| 20 |
1.4512 |
1.4041 |
0.0471 |
3.3% |
0.0189 |
1.3% |
93% |
False |
False |
363,180 |
| 40 |
1.4547 |
1.3811 |
0.0736 |
5.1% |
0.0178 |
1.2% |
91% |
False |
False |
344,420 |
| 60 |
1.4652 |
1.3811 |
0.0841 |
5.8% |
0.0172 |
1.2% |
80% |
False |
False |
312,575 |
| 80 |
1.4831 |
1.3811 |
0.1020 |
7.0% |
0.0173 |
1.2% |
66% |
False |
False |
234,969 |
| 100 |
1.4875 |
1.3811 |
0.1064 |
7.3% |
0.0164 |
1.1% |
63% |
False |
False |
188,086 |
| 120 |
1.4875 |
1.3720 |
0.1155 |
8.0% |
0.0153 |
1.1% |
66% |
False |
False |
156,786 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.5248 |
|
2.618 |
1.4961 |
|
1.618 |
1.4785 |
|
1.000 |
1.4676 |
|
0.618 |
1.4609 |
|
HIGH |
1.4500 |
|
0.618 |
1.4433 |
|
0.500 |
1.4412 |
|
0.382 |
1.4391 |
|
LOW |
1.4324 |
|
0.618 |
1.4215 |
|
1.000 |
1.4148 |
|
1.618 |
1.4039 |
|
2.618 |
1.3863 |
|
4.250 |
1.3576 |
|
|
| Fisher Pivots for day following 26-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.4457 |
1.4457 |
| PP |
1.4435 |
1.4434 |
| S1 |
1.4412 |
1.4411 |
|