CME Euro FX (E) Future September 2012
| Trading Metrics calculated at close of trading on 06-Sep-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Sep-2012 |
06-Sep-2012 |
Change |
Change % |
Previous Week |
| Open |
1.2568 |
1.2604 |
0.0036 |
0.3% |
1.2512 |
| High |
1.2626 |
1.2654 |
0.0028 |
0.2% |
1.2640 |
| Low |
1.2503 |
1.2562 |
0.0059 |
0.5% |
1.2467 |
| Close |
1.2601 |
1.2648 |
0.0047 |
0.4% |
1.2582 |
| Range |
0.0123 |
0.0092 |
-0.0031 |
-25.2% |
0.0173 |
| ATR |
0.0102 |
0.0101 |
-0.0001 |
-0.7% |
0.0000 |
| Volume |
301,738 |
324,973 |
23,235 |
7.7% |
973,539 |
|
| Daily Pivots for day following 06-Sep-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2897 |
1.2865 |
1.2699 |
|
| R3 |
1.2805 |
1.2773 |
1.2673 |
|
| R2 |
1.2713 |
1.2713 |
1.2665 |
|
| R1 |
1.2681 |
1.2681 |
1.2656 |
1.2697 |
| PP |
1.2621 |
1.2621 |
1.2621 |
1.2630 |
| S1 |
1.2589 |
1.2589 |
1.2640 |
1.2605 |
| S2 |
1.2529 |
1.2529 |
1.2631 |
|
| S3 |
1.2437 |
1.2497 |
1.2623 |
|
| S4 |
1.2345 |
1.2405 |
1.2597 |
|
|
| Weekly Pivots for week ending 31-Aug-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3082 |
1.3005 |
1.2677 |
|
| R3 |
1.2909 |
1.2832 |
1.2630 |
|
| R2 |
1.2736 |
1.2736 |
1.2614 |
|
| R1 |
1.2659 |
1.2659 |
1.2598 |
1.2698 |
| PP |
1.2563 |
1.2563 |
1.2563 |
1.2582 |
| S1 |
1.2486 |
1.2486 |
1.2566 |
1.2525 |
| S2 |
1.2390 |
1.2390 |
1.2550 |
|
| S3 |
1.2217 |
1.2313 |
1.2534 |
|
| S4 |
1.2044 |
1.2140 |
1.2487 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2654 |
1.2488 |
0.0166 |
1.3% |
0.0102 |
0.8% |
96% |
True |
False |
274,107 |
| 10 |
1.2654 |
1.2467 |
0.0187 |
1.5% |
0.0088 |
0.7% |
97% |
True |
False |
232,075 |
| 20 |
1.2654 |
1.2245 |
0.0409 |
3.2% |
0.0094 |
0.7% |
99% |
True |
False |
215,860 |
| 40 |
1.2654 |
1.2051 |
0.0603 |
4.8% |
0.0108 |
0.9% |
99% |
True |
False |
233,306 |
| 60 |
1.2759 |
1.2051 |
0.0708 |
5.6% |
0.0112 |
0.9% |
84% |
False |
False |
240,129 |
| 80 |
1.2875 |
1.2051 |
0.0824 |
6.5% |
0.0115 |
0.9% |
72% |
False |
False |
183,311 |
| 100 |
1.3292 |
1.2051 |
0.1241 |
9.8% |
0.0107 |
0.8% |
48% |
False |
False |
146,706 |
| 120 |
1.3396 |
1.2051 |
0.1345 |
10.6% |
0.0104 |
0.8% |
44% |
False |
False |
122,274 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3045 |
|
2.618 |
1.2895 |
|
1.618 |
1.2803 |
|
1.000 |
1.2746 |
|
0.618 |
1.2711 |
|
HIGH |
1.2654 |
|
0.618 |
1.2619 |
|
0.500 |
1.2608 |
|
0.382 |
1.2597 |
|
LOW |
1.2562 |
|
0.618 |
1.2505 |
|
1.000 |
1.2470 |
|
1.618 |
1.2413 |
|
2.618 |
1.2321 |
|
4.250 |
1.2171 |
|
|
| Fisher Pivots for day following 06-Sep-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.2635 |
1.2625 |
| PP |
1.2621 |
1.2602 |
| S1 |
1.2608 |
1.2579 |
|