CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 27-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Sep-2011 |
27-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3501 |
1.3520 |
0.0019 |
0.1% |
1.3672 |
| High |
1.3545 |
1.3662 |
0.0117 |
0.9% |
1.3791 |
| Low |
1.3357 |
1.3474 |
0.0117 |
0.9% |
1.3380 |
| Close |
1.3459 |
1.3639 |
0.0180 |
1.3% |
1.3455 |
| Range |
0.0188 |
0.0188 |
0.0000 |
0.0% |
0.0411 |
| ATR |
0.0186 |
0.0187 |
0.0001 |
0.7% |
0.0000 |
| Volume |
391,599 |
365,704 |
-25,895 |
-6.6% |
1,762,613 |
|
| Daily Pivots for day following 27-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4156 |
1.4085 |
1.3742 |
|
| R3 |
1.3968 |
1.3897 |
1.3691 |
|
| R2 |
1.3780 |
1.3780 |
1.3673 |
|
| R1 |
1.3709 |
1.3709 |
1.3656 |
1.3745 |
| PP |
1.3592 |
1.3592 |
1.3592 |
1.3609 |
| S1 |
1.3521 |
1.3521 |
1.3622 |
1.3557 |
| S2 |
1.3404 |
1.3404 |
1.3605 |
|
| S3 |
1.3216 |
1.3333 |
1.3587 |
|
| S4 |
1.3028 |
1.3145 |
1.3536 |
|
|
| Weekly Pivots for week ending 23-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4775 |
1.4526 |
1.3681 |
|
| R3 |
1.4364 |
1.4115 |
1.3568 |
|
| R2 |
1.3953 |
1.3953 |
1.3530 |
|
| R1 |
1.3704 |
1.3704 |
1.3493 |
1.3623 |
| PP |
1.3542 |
1.3542 |
1.3542 |
1.3502 |
| S1 |
1.3293 |
1.3293 |
1.3417 |
1.3212 |
| S2 |
1.3131 |
1.3131 |
1.3380 |
|
| S3 |
1.2720 |
1.2882 |
1.3342 |
|
| S4 |
1.2309 |
1.2471 |
1.3229 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3791 |
1.3357 |
0.0434 |
3.2% |
0.0195 |
1.4% |
65% |
False |
False |
381,725 |
| 10 |
1.3925 |
1.3357 |
0.0568 |
4.2% |
0.0182 |
1.3% |
50% |
False |
False |
318,724 |
| 20 |
1.4511 |
1.3357 |
0.1154 |
8.5% |
0.0184 |
1.3% |
24% |
False |
False |
174,022 |
| 40 |
1.4558 |
1.3357 |
0.1201 |
8.8% |
0.0175 |
1.3% |
23% |
False |
False |
87,428 |
| 60 |
1.4558 |
1.3357 |
0.1201 |
8.8% |
0.0168 |
1.2% |
23% |
False |
False |
58,371 |
| 80 |
1.4610 |
1.3357 |
0.1253 |
9.2% |
0.0156 |
1.1% |
23% |
False |
False |
43,818 |
| 100 |
1.4610 |
1.3357 |
0.1253 |
9.2% |
0.0133 |
1.0% |
23% |
False |
False |
35,056 |
| 120 |
1.4735 |
1.3357 |
0.1378 |
10.1% |
0.0118 |
0.9% |
20% |
False |
False |
29,214 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4461 |
|
2.618 |
1.4154 |
|
1.618 |
1.3966 |
|
1.000 |
1.3850 |
|
0.618 |
1.3778 |
|
HIGH |
1.3662 |
|
0.618 |
1.3590 |
|
0.500 |
1.3568 |
|
0.382 |
1.3546 |
|
LOW |
1.3474 |
|
0.618 |
1.3358 |
|
1.000 |
1.3286 |
|
1.618 |
1.3170 |
|
2.618 |
1.2982 |
|
4.250 |
1.2675 |
|
|
| Fisher Pivots for day following 27-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3615 |
1.3596 |
| PP |
1.3592 |
1.3553 |
| S1 |
1.3568 |
1.3510 |
|