CME Euro FX (E) 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 |
1.3727 |
1.3751 |
0.0024 |
0.2% |
1.3382 |
| High |
1.3862 |
1.3837 |
-0.0025 |
-0.2% |
1.3885 |
| Low |
1.3717 |
1.3649 |
-0.0068 |
-0.5% |
1.3371 |
| Close |
1.3739 |
1.3776 |
0.0037 |
0.3% |
1.3870 |
| Range |
0.0145 |
0.0188 |
0.0043 |
29.7% |
0.0514 |
| ATR |
0.0186 |
0.0186 |
0.0000 |
0.1% |
0.0000 |
| Volume |
288,615 |
424,130 |
135,515 |
47.0% |
1,422,742 |
|
| Daily Pivots for day following 20-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4318 |
1.4235 |
1.3879 |
|
| R3 |
1.4130 |
1.4047 |
1.3828 |
|
| R2 |
1.3942 |
1.3942 |
1.3810 |
|
| R1 |
1.3859 |
1.3859 |
1.3793 |
1.3901 |
| PP |
1.3754 |
1.3754 |
1.3754 |
1.3775 |
| S1 |
1.3671 |
1.3671 |
1.3759 |
1.3713 |
| S2 |
1.3566 |
1.3566 |
1.3742 |
|
| S3 |
1.3378 |
1.3483 |
1.3724 |
|
| S4 |
1.3190 |
1.3295 |
1.3673 |
|
|
| Weekly Pivots for week ending 14-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5251 |
1.5074 |
1.4153 |
|
| R3 |
1.4737 |
1.4560 |
1.4011 |
|
| R2 |
1.4223 |
1.4223 |
1.3964 |
|
| R1 |
1.4046 |
1.4046 |
1.3917 |
1.4135 |
| PP |
1.3709 |
1.3709 |
1.3709 |
1.3753 |
| S1 |
1.3532 |
1.3532 |
1.3823 |
1.3621 |
| S2 |
1.3195 |
1.3195 |
1.3776 |
|
| S3 |
1.2681 |
1.3018 |
1.3729 |
|
| S4 |
1.2167 |
1.2504 |
1.3587 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3905 |
1.3645 |
0.0260 |
1.9% |
0.0172 |
1.2% |
50% |
False |
False |
319,681 |
| 10 |
1.3905 |
1.3353 |
0.0552 |
4.0% |
0.0185 |
1.3% |
77% |
False |
False |
306,838 |
| 20 |
1.3905 |
1.3142 |
0.0763 |
5.5% |
0.0185 |
1.3% |
83% |
False |
False |
332,745 |
| 40 |
1.4558 |
1.3142 |
0.1416 |
10.3% |
0.0181 |
1.3% |
45% |
False |
False |
225,599 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.3% |
0.0179 |
1.3% |
45% |
False |
False |
150,623 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.3% |
0.0170 |
1.2% |
45% |
False |
False |
113,024 |
| 100 |
1.4610 |
1.3142 |
0.1468 |
10.7% |
0.0158 |
1.1% |
43% |
False |
False |
90,446 |
| 120 |
1.4731 |
1.3142 |
0.1589 |
11.5% |
0.0140 |
1.0% |
40% |
False |
False |
75,373 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4636 |
|
2.618 |
1.4329 |
|
1.618 |
1.4141 |
|
1.000 |
1.4025 |
|
0.618 |
1.3953 |
|
HIGH |
1.3837 |
|
0.618 |
1.3765 |
|
0.500 |
1.3743 |
|
0.382 |
1.3721 |
|
LOW |
1.3649 |
|
0.618 |
1.3533 |
|
1.000 |
1.3461 |
|
1.618 |
1.3345 |
|
2.618 |
1.3157 |
|
4.250 |
1.2850 |
|
|
| Fisher Pivots for day following 20-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3765 |
1.3769 |
| PP |
1.3754 |
1.3761 |
| S1 |
1.3743 |
1.3754 |
|