CME Euro FX (E) Future December 2011
| Trading Metrics calculated at close of trading on 01-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Nov-2011 |
01-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3332 |
1.3442 |
0.0110 |
0.8% |
1.3522 |
| High |
1.3535 |
1.3522 |
-0.0013 |
-0.1% |
1.3569 |
| Low |
1.3260 |
1.3417 |
0.0157 |
1.2% |
1.3212 |
| Close |
1.3436 |
1.3456 |
0.0020 |
0.1% |
1.3239 |
| Range |
0.0275 |
0.0105 |
-0.0170 |
-61.8% |
0.0357 |
| ATR |
0.0183 |
0.0178 |
-0.0006 |
-3.1% |
0.0000 |
| Volume |
428,908 |
275,673 |
-153,235 |
-35.7% |
1,138,384 |
|
| Daily Pivots for day following 01-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3780 |
1.3723 |
1.3514 |
|
| R3 |
1.3675 |
1.3618 |
1.3485 |
|
| R2 |
1.3570 |
1.3570 |
1.3475 |
|
| R1 |
1.3513 |
1.3513 |
1.3466 |
1.3542 |
| PP |
1.3465 |
1.3465 |
1.3465 |
1.3479 |
| S1 |
1.3408 |
1.3408 |
1.3446 |
1.3437 |
| S2 |
1.3360 |
1.3360 |
1.3437 |
|
| S3 |
1.3255 |
1.3303 |
1.3427 |
|
| S4 |
1.3150 |
1.3198 |
1.3398 |
|
|
| Weekly Pivots for week ending 25-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4411 |
1.4182 |
1.3435 |
|
| R3 |
1.4054 |
1.3825 |
1.3337 |
|
| R2 |
1.3697 |
1.3697 |
1.3304 |
|
| R1 |
1.3468 |
1.3468 |
1.3272 |
1.3404 |
| PP |
1.3340 |
1.3340 |
1.3340 |
1.3308 |
| S1 |
1.3111 |
1.3111 |
1.3206 |
1.3047 |
| S2 |
1.2983 |
1.2983 |
1.3174 |
|
| S3 |
1.2626 |
1.2754 |
1.3141 |
|
| S4 |
1.2269 |
1.2397 |
1.3043 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3535 |
1.3212 |
0.0323 |
2.4% |
0.0173 |
1.3% |
76% |
False |
False |
307,320 |
| 10 |
1.3614 |
1.3212 |
0.0402 |
3.0% |
0.0158 |
1.2% |
61% |
False |
False |
298,438 |
| 20 |
1.3879 |
1.3212 |
0.0667 |
5.0% |
0.0171 |
1.3% |
37% |
False |
False |
300,625 |
| 40 |
1.4241 |
1.3212 |
0.1029 |
7.6% |
0.0184 |
1.4% |
24% |
False |
False |
311,785 |
| 60 |
1.4241 |
1.3142 |
0.1099 |
8.2% |
0.0186 |
1.4% |
29% |
False |
False |
299,190 |
| 80 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0178 |
1.3% |
22% |
False |
False |
224,856 |
| 100 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0175 |
1.3% |
22% |
False |
False |
179,970 |
| 120 |
1.4558 |
1.3142 |
0.1416 |
10.5% |
0.0171 |
1.3% |
22% |
False |
False |
150,009 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3968 |
|
2.618 |
1.3797 |
|
1.618 |
1.3692 |
|
1.000 |
1.3627 |
|
0.618 |
1.3587 |
|
HIGH |
1.3522 |
|
0.618 |
1.3482 |
|
0.500 |
1.3470 |
|
0.382 |
1.3457 |
|
LOW |
1.3417 |
|
0.618 |
1.3352 |
|
1.000 |
1.3312 |
|
1.618 |
1.3247 |
|
2.618 |
1.3142 |
|
4.250 |
1.2971 |
|
|
| Fisher Pivots for day following 01-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3470 |
1.3437 |
| PP |
1.3465 |
1.3417 |
| S1 |
1.3461 |
1.3398 |
|