CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 27-Jul-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Jul-2012 |
27-Jul-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0128 |
1.0237 |
0.0109 |
1.1% |
1.0102 |
| High |
1.0279 |
1.0324 |
0.0045 |
0.4% |
1.0324 |
| Low |
1.0101 |
1.0204 |
0.0103 |
1.0% |
1.0040 |
| Close |
1.0242 |
1.0259 |
0.0017 |
0.2% |
1.0259 |
| Range |
0.0178 |
0.0120 |
-0.0058 |
-32.6% |
0.0284 |
| ATR |
0.0100 |
0.0101 |
0.0001 |
1.4% |
0.0000 |
| Volume |
68,618 |
55,757 |
-12,861 |
-18.7% |
270,145 |
|
| Daily Pivots for day following 27-Jul-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0622 |
1.0561 |
1.0325 |
|
| R3 |
1.0502 |
1.0441 |
1.0292 |
|
| R2 |
1.0382 |
1.0382 |
1.0281 |
|
| R1 |
1.0321 |
1.0321 |
1.0270 |
1.0352 |
| PP |
1.0262 |
1.0262 |
1.0262 |
1.0278 |
| S1 |
1.0201 |
1.0201 |
1.0248 |
1.0232 |
| S2 |
1.0142 |
1.0142 |
1.0237 |
|
| S3 |
1.0022 |
1.0081 |
1.0226 |
|
| S4 |
0.9902 |
0.9961 |
1.0193 |
|
|
| Weekly Pivots for week ending 27-Jul-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1060 |
1.0943 |
1.0415 |
|
| R3 |
1.0776 |
1.0659 |
1.0337 |
|
| R2 |
1.0492 |
1.0492 |
1.0311 |
|
| R1 |
1.0375 |
1.0375 |
1.0285 |
1.0434 |
| PP |
1.0208 |
1.0208 |
1.0208 |
1.0237 |
| S1 |
1.0091 |
1.0091 |
1.0233 |
1.0150 |
| S2 |
0.9924 |
0.9924 |
1.0207 |
|
| S3 |
0.9640 |
0.9807 |
1.0181 |
|
| S4 |
0.9356 |
0.9523 |
1.0103 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0324 |
1.0040 |
0.0284 |
2.8% |
0.0110 |
1.1% |
77% |
True |
False |
54,029 |
| 10 |
1.0324 |
1.0040 |
0.0284 |
2.8% |
0.0101 |
1.0% |
77% |
True |
False |
45,442 |
| 20 |
1.0588 |
1.0040 |
0.0548 |
5.3% |
0.0103 |
1.0% |
40% |
False |
False |
38,712 |
| 40 |
1.0902 |
1.0040 |
0.0862 |
8.4% |
0.0109 |
1.1% |
25% |
False |
False |
31,979 |
| 60 |
1.0966 |
1.0040 |
0.0926 |
9.0% |
0.0087 |
0.8% |
24% |
False |
False |
21,336 |
| 80 |
1.1061 |
1.0040 |
0.1021 |
10.0% |
0.0071 |
0.7% |
21% |
False |
False |
16,005 |
| 100 |
1.1108 |
1.0040 |
0.1068 |
10.4% |
0.0059 |
0.6% |
21% |
False |
False |
12,809 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0834 |
|
2.618 |
1.0638 |
|
1.618 |
1.0518 |
|
1.000 |
1.0444 |
|
0.618 |
1.0398 |
|
HIGH |
1.0324 |
|
0.618 |
1.0278 |
|
0.500 |
1.0264 |
|
0.382 |
1.0250 |
|
LOW |
1.0204 |
|
0.618 |
1.0130 |
|
1.000 |
1.0084 |
|
1.618 |
1.0010 |
|
2.618 |
0.9890 |
|
4.250 |
0.9694 |
|
|
| Fisher Pivots for day following 27-Jul-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0264 |
1.0235 |
| PP |
1.0262 |
1.0211 |
| S1 |
1.0261 |
1.0187 |
|