CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 13-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Jul-2011 |
13-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1970 |
1.2057 |
0.0087 |
0.7% |
1.1803 |
| High |
1.2080 |
1.2239 |
0.0159 |
1.3% |
1.1968 |
| Low |
1.1910 |
1.2010 |
0.0100 |
0.8% |
1.1738 |
| Close |
1.2056 |
1.2202 |
0.0146 |
1.2% |
1.1960 |
| Range |
0.0170 |
0.0229 |
0.0059 |
34.7% |
0.0230 |
| ATR |
0.0138 |
0.0144 |
0.0007 |
4.7% |
0.0000 |
| Volume |
60,306 |
58,444 |
-1,862 |
-3.1% |
205,131 |
|
| Daily Pivots for day following 13-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2837 |
1.2749 |
1.2328 |
|
| R3 |
1.2608 |
1.2520 |
1.2265 |
|
| R2 |
1.2379 |
1.2379 |
1.2244 |
|
| R1 |
1.2291 |
1.2291 |
1.2223 |
1.2335 |
| PP |
1.2150 |
1.2150 |
1.2150 |
1.2173 |
| S1 |
1.2062 |
1.2062 |
1.2181 |
1.2106 |
| S2 |
1.1921 |
1.1921 |
1.2160 |
|
| S3 |
1.1692 |
1.1833 |
1.2139 |
|
| S4 |
1.1463 |
1.1604 |
1.2076 |
|
|
| 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 |
1.2239 |
1.1738 |
0.0501 |
4.1% |
0.0176 |
1.4% |
93% |
True |
False |
54,806 |
| 10 |
1.2239 |
1.1731 |
0.0508 |
4.2% |
0.0167 |
1.4% |
93% |
True |
False |
52,621 |
| 20 |
1.2239 |
1.1701 |
0.0538 |
4.4% |
0.0143 |
1.2% |
93% |
True |
False |
46,405 |
| 40 |
1.2239 |
1.1253 |
0.0986 |
8.1% |
0.0129 |
1.1% |
96% |
True |
False |
28,381 |
| 60 |
1.2239 |
1.1122 |
0.1117 |
9.2% |
0.0121 |
1.0% |
97% |
True |
False |
18,946 |
| 80 |
1.2239 |
1.0725 |
0.1514 |
12.4% |
0.0106 |
0.9% |
98% |
True |
False |
14,214 |
| 100 |
1.2239 |
1.0560 |
0.1679 |
13.8% |
0.0088 |
0.7% |
98% |
True |
False |
11,373 |
| 120 |
1.2239 |
1.0291 |
0.1948 |
16.0% |
0.0073 |
0.6% |
98% |
True |
False |
9,477 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3212 |
|
2.618 |
1.2839 |
|
1.618 |
1.2610 |
|
1.000 |
1.2468 |
|
0.618 |
1.2381 |
|
HIGH |
1.2239 |
|
0.618 |
1.2152 |
|
0.500 |
1.2125 |
|
0.382 |
1.2097 |
|
LOW |
1.2010 |
|
0.618 |
1.1868 |
|
1.000 |
1.1781 |
|
1.618 |
1.1639 |
|
2.618 |
1.1410 |
|
4.250 |
1.1037 |
|
|
| Fisher Pivots for day following 13-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2176 |
1.2160 |
| PP |
1.2150 |
1.2117 |
| S1 |
1.2125 |
1.2075 |
|