CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 16-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Nov-2011 |
16-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3622 |
1.3527 |
-0.0095 |
-0.7% |
1.3816 |
| High |
1.3640 |
1.3558 |
-0.0082 |
-0.6% |
1.3857 |
| Low |
1.3495 |
1.3428 |
-0.0067 |
-0.5% |
1.3484 |
| Close |
1.3542 |
1.3511 |
-0.0031 |
-0.2% |
1.3748 |
| Range |
0.0145 |
0.0130 |
-0.0015 |
-10.3% |
0.0373 |
| ATR |
0.0197 |
0.0192 |
-0.0005 |
-2.4% |
0.0000 |
| Volume |
259,334 |
294,827 |
35,493 |
13.7% |
1,481,459 |
|
| Daily Pivots for day following 16-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3889 |
1.3830 |
1.3583 |
|
| R3 |
1.3759 |
1.3700 |
1.3547 |
|
| R2 |
1.3629 |
1.3629 |
1.3535 |
|
| R1 |
1.3570 |
1.3570 |
1.3523 |
1.3535 |
| PP |
1.3499 |
1.3499 |
1.3499 |
1.3481 |
| S1 |
1.3440 |
1.3440 |
1.3499 |
1.3405 |
| S2 |
1.3369 |
1.3369 |
1.3487 |
|
| S3 |
1.3239 |
1.3310 |
1.3475 |
|
| S4 |
1.3109 |
1.3180 |
1.3440 |
|
|
| Weekly Pivots for week ending 11-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4815 |
1.4655 |
1.3953 |
|
| R3 |
1.4442 |
1.4282 |
1.3851 |
|
| R2 |
1.4069 |
1.4069 |
1.3816 |
|
| R1 |
1.3909 |
1.3909 |
1.3782 |
1.3803 |
| PP |
1.3696 |
1.3696 |
1.3696 |
1.3643 |
| S1 |
1.3536 |
1.3536 |
1.3714 |
1.3430 |
| S2 |
1.3323 |
1.3323 |
1.3680 |
|
| S3 |
1.2950 |
1.3163 |
1.3645 |
|
| S4 |
1.2577 |
1.2790 |
1.3543 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3795 |
1.3428 |
0.0367 |
2.7% |
0.0173 |
1.3% |
23% |
False |
True |
268,879 |
| 10 |
1.3879 |
1.3428 |
0.0451 |
3.3% |
0.0184 |
1.4% |
18% |
False |
True |
302,811 |
| 20 |
1.4241 |
1.3428 |
0.0813 |
6.0% |
0.0195 |
1.4% |
10% |
False |
True |
319,823 |
| 40 |
1.4241 |
1.3142 |
0.1099 |
8.1% |
0.0191 |
1.4% |
34% |
False |
False |
326,738 |
| 60 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0184 |
1.4% |
26% |
False |
False |
249,951 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0183 |
1.4% |
26% |
False |
False |
187,627 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0174 |
1.3% |
26% |
False |
False |
150,143 |
| 120 |
1.4610 |
1.3142 |
0.1468 |
10.9% |
0.0163 |
1.2% |
25% |
False |
False |
125,141 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4111 |
|
2.618 |
1.3898 |
|
1.618 |
1.3768 |
|
1.000 |
1.3688 |
|
0.618 |
1.3638 |
|
HIGH |
1.3558 |
|
0.618 |
1.3508 |
|
0.500 |
1.3493 |
|
0.382 |
1.3478 |
|
LOW |
1.3428 |
|
0.618 |
1.3348 |
|
1.000 |
1.3298 |
|
1.618 |
1.3218 |
|
2.618 |
1.3088 |
|
4.250 |
1.2876 |
|
|
| Fisher Pivots for day following 16-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3505 |
1.3611 |
| PP |
1.3499 |
1.3578 |
| S1 |
1.3493 |
1.3544 |
|