CME Euro FX (E) Future December 2011


Trading Metrics calculated at close of trading on 04-Oct-2011
Day Change Summary
Previous Current
03-Oct-2011 04-Oct-2011 Change Change % Previous Week
Open 1.3353 1.3183 -0.0170 -1.3% 1.3501
High 1.3379 1.3368 -0.0011 -0.1% 1.3684
Low 1.3161 1.3142 -0.0019 -0.1% 1.3357
Close 1.3217 1.3236 0.0019 0.1% 1.3415
Range 0.0218 0.0226 0.0008 3.7% 0.0327
ATR 0.0191 0.0193 0.0003 1.3% 0.0000
Volume 373,494 405,306 31,812 8.5% 1,649,951
Daily Pivots for day following 04-Oct-2011
Classic Woodie Camarilla DeMark
R4 1.3927 1.3807 1.3360
R3 1.3701 1.3581 1.3298
R2 1.3475 1.3475 1.3277
R1 1.3355 1.3355 1.3257 1.3415
PP 1.3249 1.3249 1.3249 1.3279
S1 1.3129 1.3129 1.3215 1.3189
S2 1.3023 1.3023 1.3195
S3 1.2797 1.2903 1.3174
S4 1.2571 1.2677 1.3112
Weekly Pivots for week ending 30-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.4466 1.4268 1.3595
R3 1.4139 1.3941 1.3505
R2 1.3812 1.3812 1.3475
R1 1.3614 1.3614 1.3445 1.3550
PP 1.3485 1.3485 1.3485 1.3453
S1 1.3287 1.3287 1.3385 1.3223
S2 1.3158 1.3158 1.3355
S3 1.2831 1.2960 1.3325
S4 1.2504 1.2633 1.3235
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.3684 1.3142 0.0542 4.1% 0.0196 1.5% 17% False True 334,289
10 1.3791 1.3142 0.0649 4.9% 0.0196 1.5% 14% False True 358,007
20 1.4140 1.3142 0.0998 7.5% 0.0192 1.5% 9% False True 256,949
40 1.4558 1.3142 0.1416 10.7% 0.0174 1.3% 7% False True 129,117
60 1.4558 1.3142 0.1416 10.7% 0.0171 1.3% 7% False True 86,217
80 1.4558 1.3142 0.1416 10.7% 0.0163 1.2% 7% False True 64,710
100 1.4610 1.3142 0.1468 11.1% 0.0140 1.1% 6% False True 51,770
120 1.4735 1.3142 0.1593 12.0% 0.0126 1.0% 6% False True 43,143
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0040
Widest range in 9 trading days
Fibonacci Retracements and Extensions
4.250 1.4329
2.618 1.3960
1.618 1.3734
1.000 1.3594
0.618 1.3508
HIGH 1.3368
0.618 1.3282
0.500 1.3255
0.382 1.3228
LOW 1.3142
0.618 1.3002
1.000 1.2916
1.618 1.2776
2.618 1.2550
4.250 1.2182
Fisher Pivots for day following 04-Oct-2011
Pivot 1 day 3 day
R1 1.3255 1.3369
PP 1.3249 1.3325
S1 1.3242 1.3280

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These figures are updated between 7pm and 10pm EST after a trading day.

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