CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 21-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Oct-2011 |
21-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3751 |
1.3768 |
0.0017 |
0.1% |
1.3871 |
| High |
1.3837 |
1.3897 |
0.0060 |
0.4% |
1.3905 |
| Low |
1.3649 |
1.3697 |
0.0048 |
0.4% |
1.3645 |
| Close |
1.3776 |
1.3859 |
0.0083 |
0.6% |
1.3859 |
| Range |
0.0188 |
0.0200 |
0.0012 |
6.4% |
0.0260 |
| ATR |
0.0186 |
0.0187 |
0.0001 |
0.5% |
0.0000 |
| Volume |
424,130 |
287,526 |
-136,604 |
-32.2% |
1,609,339 |
|
| Daily Pivots for day following 21-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4418 |
1.4338 |
1.3969 |
|
| R3 |
1.4218 |
1.4138 |
1.3914 |
|
| R2 |
1.4018 |
1.4018 |
1.3896 |
|
| R1 |
1.3938 |
1.3938 |
1.3877 |
1.3978 |
| PP |
1.3818 |
1.3818 |
1.3818 |
1.3838 |
| S1 |
1.3738 |
1.3738 |
1.3841 |
1.3778 |
| S2 |
1.3618 |
1.3618 |
1.3822 |
|
| S3 |
1.3418 |
1.3538 |
1.3804 |
|
| S4 |
1.3218 |
1.3338 |
1.3749 |
|
|
| Weekly Pivots for week ending 21-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4583 |
1.4481 |
1.4002 |
|
| R3 |
1.4323 |
1.4221 |
1.3931 |
|
| R2 |
1.4063 |
1.4063 |
1.3907 |
|
| R1 |
1.3961 |
1.3961 |
1.3883 |
1.3882 |
| PP |
1.3803 |
1.3803 |
1.3803 |
1.3764 |
| S1 |
1.3701 |
1.3701 |
1.3835 |
1.3622 |
| S2 |
1.3543 |
1.3543 |
1.3811 |
|
| S3 |
1.3283 |
1.3441 |
1.3788 |
|
| S4 |
1.3023 |
1.3181 |
1.3716 |
|
|
| 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% |
0.0177 |
1.3% |
82% |
False |
False |
321,867 |
| 10 |
1.3905 |
1.3371 |
0.0534 |
3.9% |
0.0189 |
1.4% |
91% |
False |
False |
303,208 |
| 20 |
1.3905 |
1.3142 |
0.0763 |
5.5% |
0.0187 |
1.4% |
94% |
False |
False |
329,197 |
| 40 |
1.4558 |
1.3142 |
0.1416 |
10.2% |
0.0183 |
1.3% |
51% |
False |
False |
232,765 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.2% |
0.0180 |
1.3% |
51% |
False |
False |
155,413 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.2% |
0.0171 |
1.2% |
51% |
False |
False |
116,617 |
| 100 |
1.4610 |
1.3142 |
0.1468 |
10.6% |
0.0160 |
1.2% |
49% |
False |
False |
93,321 |
| 120 |
1.4731 |
1.3142 |
0.1589 |
11.5% |
0.0142 |
1.0% |
45% |
False |
False |
77,769 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4747 |
|
2.618 |
1.4421 |
|
1.618 |
1.4221 |
|
1.000 |
1.4097 |
|
0.618 |
1.4021 |
|
HIGH |
1.3897 |
|
0.618 |
1.3821 |
|
0.500 |
1.3797 |
|
0.382 |
1.3773 |
|
LOW |
1.3697 |
|
0.618 |
1.3573 |
|
1.000 |
1.3497 |
|
1.618 |
1.3373 |
|
2.618 |
1.3173 |
|
4.250 |
1.2847 |
|
|
| Fisher Pivots for day following 21-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3838 |
1.3830 |
| PP |
1.3818 |
1.3802 |
| S1 |
1.3797 |
1.3773 |
|