CME Euro FX (E) Future March 2012
| Trading Metrics calculated at close of trading on 21-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Dec-2011 |
21-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3007 |
1.3092 |
0.0085 |
0.7% |
1.3370 |
| High |
1.3142 |
1.3224 |
0.0082 |
0.6% |
1.3386 |
| Low |
1.3003 |
1.3038 |
0.0035 |
0.3% |
1.2965 |
| Close |
1.3084 |
1.3057 |
-0.0027 |
-0.2% |
1.3037 |
| Range |
0.0139 |
0.0186 |
0.0047 |
33.8% |
0.0421 |
| ATR |
0.0144 |
0.0147 |
0.0003 |
2.1% |
0.0000 |
| Volume |
188,667 |
225,658 |
36,991 |
19.6% |
701,356 |
|
| Daily Pivots for day following 21-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3664 |
1.3547 |
1.3159 |
|
| R3 |
1.3478 |
1.3361 |
1.3108 |
|
| R2 |
1.3292 |
1.3292 |
1.3091 |
|
| R1 |
1.3175 |
1.3175 |
1.3074 |
1.3141 |
| PP |
1.3106 |
1.3106 |
1.3106 |
1.3089 |
| S1 |
1.2989 |
1.2989 |
1.3040 |
1.2955 |
| S2 |
1.2920 |
1.2920 |
1.3023 |
|
| S3 |
1.2734 |
1.2803 |
1.3006 |
|
| S4 |
1.2548 |
1.2617 |
1.2955 |
|
|
| 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 |
1.3224 |
1.2976 |
0.0248 |
1.9% |
0.0113 |
0.9% |
33% |
True |
False |
183,564 |
| 10 |
1.3468 |
1.2965 |
0.0503 |
3.9% |
0.0145 |
1.1% |
18% |
False |
False |
131,756 |
| 20 |
1.3550 |
1.2965 |
0.0585 |
4.5% |
0.0148 |
1.1% |
16% |
False |
False |
68,287 |
| 40 |
1.4231 |
1.2965 |
0.1266 |
9.7% |
0.0161 |
1.2% |
7% |
False |
False |
34,628 |
| 60 |
1.4231 |
1.2965 |
0.1266 |
9.7% |
0.0161 |
1.2% |
7% |
False |
False |
23,232 |
| 80 |
1.4458 |
1.2965 |
0.1493 |
11.4% |
0.0153 |
1.2% |
6% |
False |
False |
17,451 |
| 100 |
1.4472 |
1.2965 |
0.1507 |
11.5% |
0.0138 |
1.1% |
6% |
False |
False |
13,963 |
| 120 |
1.4472 |
1.2965 |
0.1507 |
11.5% |
0.0122 |
0.9% |
6% |
False |
False |
11,636 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4015 |
|
2.618 |
1.3711 |
|
1.618 |
1.3525 |
|
1.000 |
1.3410 |
|
0.618 |
1.3339 |
|
HIGH |
1.3224 |
|
0.618 |
1.3153 |
|
0.500 |
1.3131 |
|
0.382 |
1.3109 |
|
LOW |
1.3038 |
|
0.618 |
1.2923 |
|
1.000 |
1.2852 |
|
1.618 |
1.2737 |
|
2.618 |
1.2551 |
|
4.250 |
1.2248 |
|
|
| Fisher Pivots for day following 21-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3131 |
1.3109 |
| PP |
1.3106 |
1.3091 |
| S1 |
1.3082 |
1.3074 |
|