CME Euro FX (E) Future March 2012
| Trading Metrics calculated at close of trading on 29-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
28-Sep-2011 |
29-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3556 |
1.3556 |
0.0000 |
0.0% |
1.3650 |
| High |
1.3669 |
1.3666 |
-0.0003 |
0.0% |
1.3784 |
| Low |
1.3540 |
1.3527 |
-0.0013 |
-0.1% |
1.3403 |
| Close |
1.3569 |
1.3556 |
-0.0013 |
-0.1% |
1.3460 |
| Range |
0.0129 |
0.0139 |
0.0010 |
7.8% |
0.0381 |
| ATR |
0.0146 |
0.0146 |
-0.0001 |
-0.4% |
0.0000 |
| Volume |
402 |
88 |
-314 |
-78.1% |
690 |
|
| Daily Pivots for day following 29-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4000 |
1.3917 |
1.3632 |
|
| R3 |
1.3861 |
1.3778 |
1.3594 |
|
| R2 |
1.3722 |
1.3722 |
1.3581 |
|
| R1 |
1.3639 |
1.3639 |
1.3569 |
1.3626 |
| PP |
1.3583 |
1.3583 |
1.3583 |
1.3576 |
| S1 |
1.3500 |
1.3500 |
1.3543 |
1.3487 |
| S2 |
1.3444 |
1.3444 |
1.3531 |
|
| S3 |
1.3305 |
1.3361 |
1.3518 |
|
| S4 |
1.3166 |
1.3222 |
1.3480 |
|
|
| 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% |
0.0138 |
1.0% |
60% |
False |
False |
265 |
| 10 |
1.3879 |
1.3385 |
0.0494 |
3.6% |
0.0144 |
1.1% |
35% |
False |
False |
197 |
| 20 |
1.4309 |
1.3385 |
0.0924 |
6.8% |
0.0135 |
1.0% |
19% |
False |
False |
130 |
| 40 |
1.4472 |
1.3385 |
0.1087 |
8.0% |
0.0106 |
0.8% |
16% |
False |
False |
71 |
| 60 |
1.4472 |
1.3385 |
0.1087 |
8.0% |
0.0086 |
0.6% |
16% |
False |
False |
49 |
| 80 |
1.4553 |
1.3385 |
0.1168 |
8.6% |
0.0070 |
0.5% |
15% |
False |
False |
37 |
| 100 |
1.4556 |
1.3385 |
0.1171 |
8.6% |
0.0057 |
0.4% |
15% |
False |
False |
30 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4257 |
|
2.618 |
1.4030 |
|
1.618 |
1.3891 |
|
1.000 |
1.3805 |
|
0.618 |
1.3752 |
|
HIGH |
1.3666 |
|
0.618 |
1.3613 |
|
0.500 |
1.3597 |
|
0.382 |
1.3580 |
|
LOW |
1.3527 |
|
0.618 |
1.3441 |
|
1.000 |
1.3388 |
|
1.618 |
1.3302 |
|
2.618 |
1.3163 |
|
4.250 |
1.2936 |
|
|
| Fisher Pivots for day following 29-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3597 |
1.3580 |
| PP |
1.3583 |
1.3572 |
| S1 |
1.3570 |
1.3564 |
|