CME Euro FX (E) Future March 2012
| Trading Metrics calculated at close of trading on 28-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Sep-2011 |
28-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3500 |
1.3556 |
0.0056 |
0.4% |
1.3650 |
| High |
1.3650 |
1.3669 |
0.0019 |
0.1% |
1.3784 |
| Low |
1.3491 |
1.3540 |
0.0049 |
0.4% |
1.3403 |
| Close |
1.3638 |
1.3569 |
-0.0069 |
-0.5% |
1.3460 |
| Range |
0.0159 |
0.0129 |
-0.0030 |
-18.9% |
0.0381 |
| ATR |
0.0148 |
0.0146 |
-0.0001 |
-0.9% |
0.0000 |
| Volume |
66 |
402 |
336 |
509.1% |
690 |
|
| Daily Pivots for day following 28-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3980 |
1.3903 |
1.3640 |
|
| R3 |
1.3851 |
1.3774 |
1.3604 |
|
| R2 |
1.3722 |
1.3722 |
1.3593 |
|
| R1 |
1.3645 |
1.3645 |
1.3581 |
1.3684 |
| PP |
1.3593 |
1.3593 |
1.3593 |
1.3612 |
| S1 |
1.3516 |
1.3516 |
1.3557 |
1.3555 |
| S2 |
1.3464 |
1.3464 |
1.3545 |
|
| S3 |
1.3335 |
1.3387 |
1.3534 |
|
| S4 |
1.3206 |
1.3258 |
1.3498 |
|
|
| 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 |
1.3669 |
1.3385 |
0.0284 |
2.1% |
0.0145 |
1.1% |
65% |
True |
False |
287 |
| 10 |
1.3879 |
1.3385 |
0.0494 |
3.6% |
0.0138 |
1.0% |
37% |
False |
False |
193 |
| 20 |
1.4410 |
1.3385 |
0.1025 |
7.6% |
0.0131 |
1.0% |
18% |
False |
False |
127 |
| 40 |
1.4472 |
1.3385 |
0.1087 |
8.0% |
0.0104 |
0.8% |
17% |
False |
False |
70 |
| 60 |
1.4472 |
1.3385 |
0.1087 |
8.0% |
0.0084 |
0.6% |
17% |
False |
False |
47 |
| 80 |
1.4556 |
1.3385 |
0.1171 |
8.6% |
0.0069 |
0.5% |
16% |
False |
False |
36 |
| 100 |
1.4556 |
1.3385 |
0.1171 |
8.6% |
0.0056 |
0.4% |
16% |
False |
False |
29 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4217 |
|
2.618 |
1.4007 |
|
1.618 |
1.3878 |
|
1.000 |
1.3798 |
|
0.618 |
1.3749 |
|
HIGH |
1.3669 |
|
0.618 |
1.3620 |
|
0.500 |
1.3605 |
|
0.382 |
1.3589 |
|
LOW |
1.3540 |
|
0.618 |
1.3460 |
|
1.000 |
1.3411 |
|
1.618 |
1.3331 |
|
2.618 |
1.3202 |
|
4.250 |
1.2992 |
|
|
| Fisher Pivots for day following 28-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3605 |
1.3555 |
| PP |
1.3593 |
1.3541 |
| S1 |
1.3581 |
1.3527 |
|