ECBOT 5 Year T-Note Future December 2011
| Trading Metrics calculated at close of trading on 20-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Oct-2011 |
20-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
122-042 |
122-072 |
0-030 |
0.1% |
121-307 |
| High |
122-112 |
122-145 |
0-033 |
0.1% |
122-040 |
| Low |
122-002 |
122-010 |
0-008 |
0.0% |
121-102 |
| Close |
122-080 |
122-062 |
-0-018 |
0.0% |
121-292 |
| Range |
0-110 |
0-135 |
0-025 |
22.7% |
0-258 |
| ATR |
0-139 |
0-138 |
0-000 |
-0.2% |
0-000 |
| Volume |
475,122 |
680,394 |
205,272 |
43.2% |
2,110,137 |
|
| Daily Pivots for day following 20-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
123-157 |
123-085 |
122-136 |
|
| R3 |
123-022 |
122-270 |
122-099 |
|
| R2 |
122-207 |
122-207 |
122-087 |
|
| R1 |
122-135 |
122-135 |
122-074 |
122-104 |
| PP |
122-072 |
122-072 |
122-072 |
122-057 |
| S1 |
122-000 |
122-000 |
122-050 |
121-288 |
| S2 |
121-257 |
121-257 |
122-037 |
|
| S3 |
121-122 |
121-185 |
122-025 |
|
| S4 |
120-307 |
121-050 |
121-308 |
|
|
| Weekly Pivots for week ending 14-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
124-065 |
123-277 |
122-114 |
|
| R3 |
123-127 |
123-019 |
122-043 |
|
| R2 |
122-189 |
122-189 |
122-019 |
|
| R1 |
122-081 |
122-081 |
121-316 |
122-006 |
| PP |
121-251 |
121-251 |
121-251 |
121-214 |
| S1 |
121-143 |
121-143 |
121-268 |
121-068 |
| S2 |
120-313 |
120-313 |
121-245 |
|
| S3 |
120-055 |
120-205 |
121-221 |
|
| S4 |
119-117 |
119-267 |
121-150 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
122-145 |
121-207 |
0-258 |
0.7% |
0-124 |
0.3% |
68% |
True |
False |
514,361 |
| 10 |
122-145 |
121-102 |
1-043 |
0.9% |
0-142 |
0.4% |
77% |
True |
False |
484,210 |
| 20 |
123-120 |
121-102 |
2-018 |
1.7% |
0-136 |
0.3% |
43% |
False |
False |
505,742 |
| 40 |
123-120 |
121-102 |
2-018 |
1.7% |
0-139 |
0.4% |
43% |
False |
False |
502,197 |
| 60 |
123-120 |
119-140 |
3-300 |
3.2% |
0-138 |
0.4% |
70% |
False |
False |
339,832 |
| 80 |
123-120 |
117-270 |
5-170 |
4.5% |
0-104 |
0.3% |
79% |
False |
False |
254,878 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
124-079 |
|
2.618 |
123-178 |
|
1.618 |
123-043 |
|
1.000 |
122-280 |
|
0.618 |
122-228 |
|
HIGH |
122-145 |
|
0.618 |
122-093 |
|
0.500 |
122-078 |
|
0.382 |
122-062 |
|
LOW |
122-010 |
|
0.618 |
121-247 |
|
1.000 |
121-195 |
|
1.618 |
121-112 |
|
2.618 |
120-297 |
|
4.250 |
120-076 |
|
|
| Fisher Pivots for day following 20-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
122-078 |
122-074 |
| PP |
122-072 |
122-070 |
| S1 |
122-067 |
122-066 |
|