CME Euro FX (E) Future March 2012
| Trading Metrics calculated at close of trading on 16-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Dec-2011 |
16-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3000 |
1.3031 |
0.0031 |
0.2% |
1.3370 |
| High |
1.3065 |
1.3096 |
0.0031 |
0.2% |
1.3386 |
| Low |
1.2976 |
1.3006 |
0.0030 |
0.2% |
1.2965 |
| Close |
1.3025 |
1.3037 |
0.0012 |
0.1% |
1.3037 |
| Range |
0.0089 |
0.0090 |
0.0001 |
1.1% |
0.0421 |
| ATR |
0.0155 |
0.0151 |
-0.0005 |
-3.0% |
0.0000 |
| Volume |
139,003 |
222,241 |
83,238 |
59.9% |
701,356 |
|
| Daily Pivots for day following 16-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3316 |
1.3267 |
1.3087 |
|
| R3 |
1.3226 |
1.3177 |
1.3062 |
|
| R2 |
1.3136 |
1.3136 |
1.3054 |
|
| R1 |
1.3087 |
1.3087 |
1.3045 |
1.3112 |
| PP |
1.3046 |
1.3046 |
1.3046 |
1.3059 |
| S1 |
1.2997 |
1.2997 |
1.3029 |
1.3022 |
| S2 |
1.2956 |
1.2956 |
1.3021 |
|
| S3 |
1.2866 |
1.2907 |
1.3012 |
|
| S4 |
1.2776 |
1.2817 |
1.2988 |
|
|
| Weekly Pivots for week ending 16-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4392 |
1.4136 |
1.3269 |
|
| R3 |
1.3971 |
1.3715 |
1.3153 |
|
| R2 |
1.3550 |
1.3550 |
1.3114 |
|
| R1 |
1.3294 |
1.3294 |
1.3076 |
1.3212 |
| PP |
1.3129 |
1.3129 |
1.3129 |
1.3088 |
| S1 |
1.2873 |
1.2873 |
1.2998 |
1.2791 |
| S2 |
1.2708 |
1.2708 |
1.2960 |
|
| S3 |
1.2287 |
1.2452 |
1.2921 |
|
| S4 |
1.1866 |
1.2031 |
1.2805 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3386 |
1.2965 |
0.0421 |
3.2% |
0.0147 |
1.1% |
17% |
False |
False |
140,271 |
| 10 |
1.3496 |
1.2965 |
0.0531 |
4.1% |
0.0137 |
1.1% |
14% |
False |
False |
78,193 |
| 20 |
1.3625 |
1.2965 |
0.0660 |
5.1% |
0.0146 |
1.1% |
11% |
False |
False |
40,653 |
| 40 |
1.4231 |
1.2965 |
0.1266 |
9.7% |
0.0161 |
1.2% |
6% |
False |
False |
20,740 |
| 60 |
1.4231 |
1.2965 |
0.1266 |
9.7% |
0.0162 |
1.2% |
6% |
False |
False |
13,970 |
| 80 |
1.4472 |
1.2965 |
0.1507 |
11.6% |
0.0150 |
1.2% |
5% |
False |
False |
10,494 |
| 100 |
1.4472 |
1.2965 |
0.1507 |
11.6% |
0.0136 |
1.0% |
5% |
False |
False |
8,397 |
| 120 |
1.4472 |
1.2965 |
0.1507 |
11.6% |
0.0119 |
0.9% |
5% |
False |
False |
6,998 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3479 |
|
2.618 |
1.3332 |
|
1.618 |
1.3242 |
|
1.000 |
1.3186 |
|
0.618 |
1.3152 |
|
HIGH |
1.3096 |
|
0.618 |
1.3062 |
|
0.500 |
1.3051 |
|
0.382 |
1.3040 |
|
LOW |
1.3006 |
|
0.618 |
1.2950 |
|
1.000 |
1.2916 |
|
1.618 |
1.2860 |
|
2.618 |
1.2770 |
|
4.250 |
1.2624 |
|
|
| Fisher Pivots for day following 16-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3051 |
1.3035 |
| PP |
1.3046 |
1.3033 |
| S1 |
1.3042 |
1.3031 |
|