CME Euro FX (E) Future September 2011


Trading Metrics calculated at close of trading on 12-Sep-2011
Day Change Summary
Previous Current
09-Sep-2011 12-Sep-2011 Change Change % Previous Week
Open 1.3886 1.3574 -0.0312 -2.2% 1.4162
High 1.3935 1.3695 -0.0240 -1.7% 1.4283
Low 1.3625 1.3497 -0.0128 -0.9% 1.3625
Close 1.3658 1.3575 -0.0083 -0.6% 1.3658
Range 0.0310 0.0198 -0.0112 -36.1% 0.0658
ATR 0.0182 0.0183 0.0001 0.6% 0.0000
Volume 457,549 375,859 -81,690 -17.9% 1,111,651
Daily Pivots for day following 12-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.4183 1.4077 1.3684
R3 1.3985 1.3879 1.3629
R2 1.3787 1.3787 1.3611
R1 1.3681 1.3681 1.3593 1.3734
PP 1.3589 1.3589 1.3589 1.3616
S1 1.3483 1.3483 1.3557 1.3536
S2 1.3391 1.3391 1.3539
S3 1.3193 1.3285 1.3521
S4 1.2995 1.3087 1.3466
Weekly Pivots for week ending 09-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.5829 1.5402 1.4020
R3 1.5171 1.4744 1.3839
R2 1.4513 1.4513 1.3779
R1 1.4086 1.4086 1.3718 1.3971
PP 1.3855 1.3855 1.3855 1.3798
S1 1.3428 1.3428 1.3598 1.3313
S2 1.3197 1.3197 1.3537
S3 1.2539 1.2770 1.3477
S4 1.1881 1.2112 1.3296
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.4283 1.3497 0.0786 5.8% 0.0241 1.8% 10% False True 297,502
10 1.4553 1.3497 0.1056 7.8% 0.0182 1.3% 7% False True 267,770
20 1.4553 1.3497 0.1056 7.8% 0.0169 1.2% 7% False True 281,028
40 1.4553 1.3497 0.1056 7.8% 0.0179 1.3% 7% False True 328,363
60 1.4553 1.3497 0.1056 7.8% 0.0175 1.3% 7% False True 325,114
80 1.4652 1.3497 0.1155 8.5% 0.0170 1.3% 7% False True 268,305
100 1.4875 1.3497 0.1378 10.2% 0.0170 1.3% 6% False True 214,817
120 1.4875 1.3497 0.1378 10.2% 0.0160 1.2% 6% False True 179,078
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0037
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1.4537
2.618 1.4213
1.618 1.4015
1.000 1.3893
0.618 1.3817
HIGH 1.3695
0.618 1.3619
0.500 1.3596
0.382 1.3573
LOW 1.3497
0.618 1.3375
1.000 1.3299
1.618 1.3177
2.618 1.2979
4.250 1.2656
Fisher Pivots for day following 12-Sep-2011
Pivot 1 day 3 day
R1 1.3596 1.3796
PP 1.3589 1.3722
S1 1.3582 1.3649

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These figures are updated between 7pm and 10pm EST after a trading day.

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