ECBOT 5 Year T-Note Future December 2011
| Trading Metrics calculated at close of trading on 27-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Oct-2011 |
27-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
122-172 |
122-067 |
-0-105 |
-0.3% |
121-277 |
| High |
122-175 |
122-097 |
-0-078 |
-0.2% |
122-145 |
| Low |
122-042 |
121-185 |
-0-177 |
-0.5% |
121-207 |
| Close |
122-067 |
121-220 |
-0-167 |
-0.4% |
122-072 |
| Range |
0-133 |
0-232 |
0-099 |
74.4% |
0-258 |
| ATR |
0-141 |
0-147 |
0-007 |
4.6% |
0-000 |
| Volume |
766,815 |
786,207 |
19,392 |
2.5% |
2,578,080 |
|
| Daily Pivots for day following 27-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
124-010 |
123-187 |
122-028 |
|
| R3 |
123-098 |
122-275 |
121-284 |
|
| R2 |
122-186 |
122-186 |
121-263 |
|
| R1 |
122-043 |
122-043 |
121-241 |
121-318 |
| PP |
121-274 |
121-274 |
121-274 |
121-252 |
| S1 |
121-131 |
121-131 |
121-199 |
121-086 |
| S2 |
121-042 |
121-042 |
121-177 |
|
| S3 |
120-130 |
120-219 |
121-156 |
|
| S4 |
119-218 |
119-307 |
121-092 |
|
|
| Weekly Pivots for week ending 21-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
124-169 |
124-058 |
122-214 |
|
| R3 |
123-231 |
123-120 |
122-143 |
|
| R2 |
122-293 |
122-293 |
122-119 |
|
| R1 |
122-182 |
122-182 |
122-096 |
122-238 |
| PP |
122-035 |
122-035 |
122-035 |
122-062 |
| S1 |
121-244 |
121-244 |
122-048 |
121-300 |
| S2 |
121-097 |
121-097 |
122-025 |
|
| S3 |
120-159 |
120-306 |
122-001 |
|
| S4 |
119-221 |
120-048 |
121-250 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
122-187 |
121-185 |
1-002 |
0.8% |
0-164 |
0.4% |
11% |
False |
True |
604,245 |
| 10 |
122-187 |
121-185 |
1-002 |
0.8% |
0-144 |
0.4% |
11% |
False |
True |
559,303 |
| 20 |
123-022 |
121-102 |
1-240 |
1.4% |
0-144 |
0.4% |
21% |
False |
False |
521,917 |
| 40 |
123-120 |
121-102 |
2-018 |
1.7% |
0-141 |
0.4% |
18% |
False |
False |
521,095 |
| 60 |
123-120 |
120-170 |
2-270 |
2.3% |
0-149 |
0.4% |
41% |
False |
False |
390,131 |
| 80 |
123-120 |
118-040 |
5-080 |
4.3% |
0-114 |
0.3% |
68% |
False |
False |
292,643 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
125-123 |
|
2.618 |
124-064 |
|
1.618 |
123-152 |
|
1.000 |
123-009 |
|
0.618 |
122-240 |
|
HIGH |
122-097 |
|
0.618 |
122-008 |
|
0.500 |
121-301 |
|
0.382 |
121-274 |
|
LOW |
121-185 |
|
0.618 |
121-042 |
|
1.000 |
120-273 |
|
1.618 |
120-130 |
|
2.618 |
119-218 |
|
4.250 |
118-159 |
|
|
| Fisher Pivots for day following 27-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
121-301 |
122-026 |
| PP |
121-274 |
121-304 |
| S1 |
121-247 |
121-262 |
|