CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 12-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Jul-2011 |
12-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1966 |
1.1970 |
0.0004 |
0.0% |
1.1803 |
| High |
1.2012 |
1.2080 |
0.0068 |
0.6% |
1.1968 |
| Low |
1.1928 |
1.1910 |
-0.0018 |
-0.2% |
1.1738 |
| Close |
1.1981 |
1.2056 |
0.0075 |
0.6% |
1.1960 |
| Range |
0.0084 |
0.0170 |
0.0086 |
102.4% |
0.0230 |
| ATR |
0.0135 |
0.0138 |
0.0002 |
1.8% |
0.0000 |
| Volume |
48,413 |
60,306 |
11,893 |
24.6% |
205,131 |
|
| Daily Pivots for day following 12-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2525 |
1.2461 |
1.2150 |
|
| R3 |
1.2355 |
1.2291 |
1.2103 |
|
| R2 |
1.2185 |
1.2185 |
1.2087 |
|
| R1 |
1.2121 |
1.2121 |
1.2072 |
1.2153 |
| PP |
1.2015 |
1.2015 |
1.2015 |
1.2032 |
| S1 |
1.1951 |
1.1951 |
1.2040 |
1.1983 |
| S2 |
1.1845 |
1.1845 |
1.2025 |
|
| S3 |
1.1675 |
1.1781 |
1.2009 |
|
| S4 |
1.1505 |
1.1611 |
1.1963 |
|
|
| Weekly Pivots for week ending 08-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2579 |
1.2499 |
1.2087 |
|
| R3 |
1.2349 |
1.2269 |
1.2023 |
|
| R2 |
1.2119 |
1.2119 |
1.2002 |
|
| R1 |
1.2039 |
1.2039 |
1.1981 |
1.2079 |
| PP |
1.1889 |
1.1889 |
1.1889 |
1.1909 |
| S1 |
1.1809 |
1.1809 |
1.1939 |
1.1849 |
| S2 |
1.1659 |
1.1659 |
1.1918 |
|
| S3 |
1.1429 |
1.1579 |
1.1897 |
|
| S4 |
1.1199 |
1.1349 |
1.1834 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2080 |
1.1738 |
0.0342 |
2.8% |
0.0152 |
1.3% |
93% |
True |
False |
52,085 |
| 10 |
1.2091 |
1.1731 |
0.0360 |
3.0% |
0.0157 |
1.3% |
90% |
False |
False |
51,039 |
| 20 |
1.2091 |
1.1701 |
0.0390 |
3.2% |
0.0139 |
1.2% |
91% |
False |
False |
45,842 |
| 40 |
1.2091 |
1.1205 |
0.0886 |
7.3% |
0.0128 |
1.1% |
96% |
False |
False |
26,921 |
| 60 |
1.2091 |
1.1122 |
0.0969 |
8.0% |
0.0118 |
1.0% |
96% |
False |
False |
17,972 |
| 80 |
1.2091 |
1.0725 |
0.1366 |
11.3% |
0.0103 |
0.9% |
97% |
False |
False |
13,484 |
| 100 |
1.2091 |
1.0550 |
0.1541 |
12.8% |
0.0086 |
0.7% |
98% |
False |
False |
10,788 |
| 120 |
1.2091 |
1.0291 |
0.1800 |
14.9% |
0.0071 |
0.6% |
98% |
False |
False |
8,990 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2803 |
|
2.618 |
1.2525 |
|
1.618 |
1.2355 |
|
1.000 |
1.2250 |
|
0.618 |
1.2185 |
|
HIGH |
1.2080 |
|
0.618 |
1.2015 |
|
0.500 |
1.1995 |
|
0.382 |
1.1975 |
|
LOW |
1.1910 |
|
0.618 |
1.1805 |
|
1.000 |
1.1740 |
|
1.618 |
1.1635 |
|
2.618 |
1.1465 |
|
4.250 |
1.1188 |
|
|
| Fisher Pivots for day following 12-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2036 |
1.2007 |
| PP |
1.2015 |
1.1958 |
| S1 |
1.1995 |
1.1909 |
|