CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 16-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Sep-2011 |
16-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3733 |
1.3872 |
0.0139 |
1.0% |
1.3572 |
| High |
1.3925 |
1.3872 |
-0.0053 |
-0.4% |
1.3925 |
| Low |
1.3694 |
1.3740 |
0.0046 |
0.3% |
1.3500 |
| Close |
1.3875 |
1.3783 |
-0.0092 |
-0.7% |
1.3783 |
| Range |
0.0231 |
0.0132 |
-0.0099 |
-42.9% |
0.0425 |
| ATR |
0.0180 |
0.0177 |
-0.0003 |
-1.8% |
0.0000 |
| Volume |
225,042 |
295,884 |
70,842 |
31.5% |
850,432 |
|
| Daily Pivots for day following 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4194 |
1.4121 |
1.3856 |
|
| R3 |
1.4062 |
1.3989 |
1.3819 |
|
| R2 |
1.3930 |
1.3930 |
1.3807 |
|
| R1 |
1.3857 |
1.3857 |
1.3795 |
1.3828 |
| PP |
1.3798 |
1.3798 |
1.3798 |
1.3784 |
| S1 |
1.3725 |
1.3725 |
1.3771 |
1.3696 |
| S2 |
1.3666 |
1.3666 |
1.3759 |
|
| S3 |
1.3534 |
1.3593 |
1.3747 |
|
| S4 |
1.3402 |
1.3461 |
1.3710 |
|
|
| Weekly Pivots for week ending 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5011 |
1.4822 |
1.4017 |
|
| R3 |
1.4586 |
1.4397 |
1.3900 |
|
| R2 |
1.4161 |
1.4161 |
1.3861 |
|
| R1 |
1.3972 |
1.3972 |
1.3822 |
1.4067 |
| PP |
1.3736 |
1.3736 |
1.3736 |
1.3783 |
| S1 |
1.3547 |
1.3547 |
1.3744 |
1.3642 |
| S2 |
1.3311 |
1.3311 |
1.3705 |
|
| S3 |
1.2886 |
1.3122 |
1.3666 |
|
| S4 |
1.2461 |
1.2697 |
1.3549 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3925 |
1.3500 |
0.0425 |
3.1% |
0.0185 |
1.3% |
67% |
False |
False |
170,086 |
| 10 |
1.4277 |
1.3500 |
0.0777 |
5.6% |
0.0202 |
1.5% |
36% |
False |
False |
95,158 |
| 20 |
1.4558 |
1.3500 |
0.1058 |
7.7% |
0.0165 |
1.2% |
27% |
False |
False |
48,385 |
| 40 |
1.4558 |
1.3500 |
0.1058 |
7.7% |
0.0170 |
1.2% |
27% |
False |
False |
24,488 |
| 60 |
1.4558 |
1.3500 |
0.1058 |
7.7% |
0.0163 |
1.2% |
27% |
False |
False |
16,393 |
| 80 |
1.4610 |
1.3500 |
0.1110 |
8.1% |
0.0143 |
1.0% |
25% |
False |
False |
12,319 |
| 100 |
1.4735 |
1.3500 |
0.1235 |
9.0% |
0.0126 |
0.9% |
23% |
False |
False |
9,857 |
| 120 |
1.4735 |
1.3500 |
0.1235 |
9.0% |
0.0108 |
0.8% |
23% |
False |
False |
8,215 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4433 |
|
2.618 |
1.4218 |
|
1.618 |
1.4086 |
|
1.000 |
1.4004 |
|
0.618 |
1.3954 |
|
HIGH |
1.3872 |
|
0.618 |
1.3822 |
|
0.500 |
1.3806 |
|
0.382 |
1.3790 |
|
LOW |
1.3740 |
|
0.618 |
1.3658 |
|
1.000 |
1.3608 |
|
1.618 |
1.3526 |
|
2.618 |
1.3394 |
|
4.250 |
1.3179 |
|
|
| Fisher Pivots for day following 16-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3806 |
1.3774 |
| PP |
1.3798 |
1.3765 |
| S1 |
1.3791 |
1.3756 |
|