CME Euro FX (E) Future September 2011
| Trading Metrics calculated at close of trading on 15-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Sep-2011 |
15-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3678 |
1.3742 |
0.0064 |
0.5% |
1.4162 |
| High |
1.3782 |
1.3938 |
0.0156 |
1.1% |
1.4283 |
| Low |
1.3590 |
1.3703 |
0.0113 |
0.8% |
1.3625 |
| Close |
1.3749 |
1.3889 |
0.0140 |
1.0% |
1.3658 |
| Range |
0.0192 |
0.0235 |
0.0043 |
22.4% |
0.0658 |
| ATR |
0.0184 |
0.0188 |
0.0004 |
2.0% |
0.0000 |
| Volume |
370,388 |
264,711 |
-105,677 |
-28.5% |
1,111,651 |
|
| Daily Pivots for day following 15-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4548 |
1.4454 |
1.4018 |
|
| R3 |
1.4313 |
1.4219 |
1.3954 |
|
| R2 |
1.4078 |
1.4078 |
1.3932 |
|
| R1 |
1.3984 |
1.3984 |
1.3911 |
1.4031 |
| PP |
1.3843 |
1.3843 |
1.3843 |
1.3867 |
| S1 |
1.3749 |
1.3749 |
1.3867 |
1.3796 |
| S2 |
1.3608 |
1.3608 |
1.3846 |
|
| S3 |
1.3373 |
1.3514 |
1.3824 |
|
| S4 |
1.3138 |
1.3279 |
1.3760 |
|
|
| 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 |
1.3938 |
1.3497 |
0.0441 |
3.2% |
0.0223 |
1.6% |
89% |
True |
False |
375,345 |
| 10 |
1.4378 |
1.3497 |
0.0881 |
6.3% |
0.0207 |
1.5% |
44% |
False |
False |
307,154 |
| 20 |
1.4553 |
1.3497 |
0.1056 |
7.6% |
0.0174 |
1.2% |
37% |
False |
False |
286,569 |
| 40 |
1.4553 |
1.3497 |
0.1056 |
7.6% |
0.0185 |
1.3% |
37% |
False |
False |
330,998 |
| 60 |
1.4553 |
1.3497 |
0.1056 |
7.6% |
0.0177 |
1.3% |
37% |
False |
False |
328,978 |
| 80 |
1.4652 |
1.3497 |
0.1155 |
8.3% |
0.0172 |
1.2% |
34% |
False |
False |
281,304 |
| 100 |
1.4875 |
1.3497 |
0.1378 |
9.9% |
0.0172 |
1.2% |
28% |
False |
False |
225,236 |
| 120 |
1.4875 |
1.3497 |
0.1378 |
9.9% |
0.0162 |
1.2% |
28% |
False |
False |
187,762 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4937 |
|
2.618 |
1.4553 |
|
1.618 |
1.4318 |
|
1.000 |
1.4173 |
|
0.618 |
1.4083 |
|
HIGH |
1.3938 |
|
0.618 |
1.3848 |
|
0.500 |
1.3821 |
|
0.382 |
1.3793 |
|
LOW |
1.3703 |
|
0.618 |
1.3558 |
|
1.000 |
1.3468 |
|
1.618 |
1.3323 |
|
2.618 |
1.3088 |
|
4.250 |
1.2704 |
|
|
| Fisher Pivots for day following 15-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3866 |
1.3842 |
| PP |
1.3843 |
1.3794 |
| S1 |
1.3821 |
1.3747 |
|