CME Euro FX (E) Future March 2012
| Trading Metrics calculated at close of trading on 26-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Sep-2011 |
26-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3480 |
1.3537 |
0.0057 |
0.4% |
1.3650 |
| High |
1.3555 |
1.3537 |
-0.0018 |
-0.1% |
1.3784 |
| Low |
1.3445 |
1.3385 |
-0.0060 |
-0.4% |
1.3403 |
| Close |
1.3460 |
1.3461 |
0.0001 |
0.0% |
1.3460 |
| Range |
0.0110 |
0.0152 |
0.0042 |
38.2% |
0.0381 |
| ATR |
0.0144 |
0.0145 |
0.0001 |
0.4% |
0.0000 |
| Volume |
154 |
618 |
464 |
301.3% |
690 |
|
| Daily Pivots for day following 26-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3917 |
1.3841 |
1.3545 |
|
| R3 |
1.3765 |
1.3689 |
1.3503 |
|
| R2 |
1.3613 |
1.3613 |
1.3489 |
|
| R1 |
1.3537 |
1.3537 |
1.3475 |
1.3499 |
| PP |
1.3461 |
1.3461 |
1.3461 |
1.3442 |
| S1 |
1.3385 |
1.3385 |
1.3447 |
1.3347 |
| S2 |
1.3309 |
1.3309 |
1.3433 |
|
| S3 |
1.3157 |
1.3233 |
1.3419 |
|
| S4 |
1.3005 |
1.3081 |
1.3377 |
|
|
| Weekly Pivots for week ending 23-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4692 |
1.4457 |
1.3670 |
|
| R3 |
1.4311 |
1.4076 |
1.3565 |
|
| R2 |
1.3930 |
1.3930 |
1.3530 |
|
| R1 |
1.3695 |
1.3695 |
1.3495 |
1.3622 |
| PP |
1.3549 |
1.3549 |
1.3549 |
1.3513 |
| S1 |
1.3314 |
1.3314 |
1.3425 |
1.3241 |
| S2 |
1.3168 |
1.3168 |
1.3390 |
|
| S3 |
1.2787 |
1.2933 |
1.3355 |
|
| S4 |
1.2406 |
1.2552 |
1.3250 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3784 |
1.3385 |
0.0399 |
3.0% |
0.0158 |
1.2% |
19% |
False |
True |
252 |
| 10 |
1.3879 |
1.3385 |
0.0494 |
3.7% |
0.0139 |
1.0% |
15% |
False |
True |
158 |
| 20 |
1.4472 |
1.3385 |
0.1087 |
8.1% |
0.0122 |
0.9% |
7% |
False |
True |
104 |
| 40 |
1.4472 |
1.3385 |
0.1087 |
8.1% |
0.0102 |
0.8% |
7% |
False |
True |
58 |
| 60 |
1.4472 |
1.3385 |
0.1087 |
8.1% |
0.0080 |
0.6% |
7% |
False |
True |
40 |
| 80 |
1.4556 |
1.3385 |
0.1171 |
8.7% |
0.0065 |
0.5% |
6% |
False |
True |
30 |
| 100 |
1.4556 |
1.3385 |
0.1171 |
8.7% |
0.0053 |
0.4% |
6% |
False |
True |
25 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4183 |
|
2.618 |
1.3935 |
|
1.618 |
1.3783 |
|
1.000 |
1.3689 |
|
0.618 |
1.3631 |
|
HIGH |
1.3537 |
|
0.618 |
1.3479 |
|
0.500 |
1.3461 |
|
0.382 |
1.3443 |
|
LOW |
1.3385 |
|
0.618 |
1.3291 |
|
1.000 |
1.3233 |
|
1.618 |
1.3139 |
|
2.618 |
1.2987 |
|
4.250 |
1.2739 |
|
|
| Fisher Pivots for day following 26-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3461 |
1.3483 |
| PP |
1.3461 |
1.3475 |
| S1 |
1.3461 |
1.3468 |
|