CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 14-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Jul-2011 |
14-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2057 |
1.2338 |
0.0281 |
2.3% |
1.1803 |
| High |
1.2239 |
1.2372 |
0.0133 |
1.1% |
1.1968 |
| Low |
1.2010 |
1.2202 |
0.0192 |
1.6% |
1.1738 |
| Close |
1.2202 |
1.2239 |
0.0037 |
0.3% |
1.1960 |
| Range |
0.0229 |
0.0170 |
-0.0059 |
-25.8% |
0.0230 |
| ATR |
0.0144 |
0.0146 |
0.0002 |
1.3% |
0.0000 |
| Volume |
58,444 |
59,954 |
1,510 |
2.6% |
205,131 |
|
| Daily Pivots for day following 14-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2781 |
1.2680 |
1.2333 |
|
| R3 |
1.2611 |
1.2510 |
1.2286 |
|
| R2 |
1.2441 |
1.2441 |
1.2270 |
|
| R1 |
1.2340 |
1.2340 |
1.2255 |
1.2306 |
| PP |
1.2271 |
1.2271 |
1.2271 |
1.2254 |
| S1 |
1.2170 |
1.2170 |
1.2223 |
1.2136 |
| S2 |
1.2101 |
1.2101 |
1.2208 |
|
| S3 |
1.1931 |
1.2000 |
1.2192 |
|
| S4 |
1.1761 |
1.1830 |
1.2146 |
|
|
| 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 |
1.2372 |
1.1738 |
0.0634 |
5.2% |
0.0177 |
1.4% |
79% |
True |
False |
57,326 |
| 10 |
1.2372 |
1.1731 |
0.0641 |
5.2% |
0.0174 |
1.4% |
79% |
True |
False |
54,032 |
| 20 |
1.2372 |
1.1705 |
0.0667 |
5.4% |
0.0144 |
1.2% |
80% |
True |
False |
46,691 |
| 40 |
1.2372 |
1.1253 |
0.1119 |
9.1% |
0.0132 |
1.1% |
88% |
True |
False |
29,878 |
| 60 |
1.2372 |
1.1122 |
0.1250 |
10.2% |
0.0123 |
1.0% |
89% |
True |
False |
19,945 |
| 80 |
1.2372 |
1.0725 |
0.1647 |
13.5% |
0.0108 |
0.9% |
92% |
True |
False |
14,963 |
| 100 |
1.2372 |
1.0560 |
0.1812 |
14.8% |
0.0090 |
0.7% |
93% |
True |
False |
11,972 |
| 120 |
1.2372 |
1.0291 |
0.2081 |
17.0% |
0.0075 |
0.6% |
94% |
True |
False |
9,977 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3095 |
|
2.618 |
1.2817 |
|
1.618 |
1.2647 |
|
1.000 |
1.2542 |
|
0.618 |
1.2477 |
|
HIGH |
1.2372 |
|
0.618 |
1.2307 |
|
0.500 |
1.2287 |
|
0.382 |
1.2267 |
|
LOW |
1.2202 |
|
0.618 |
1.2097 |
|
1.000 |
1.2032 |
|
1.618 |
1.1927 |
|
2.618 |
1.1757 |
|
4.250 |
1.1480 |
|
|
| Fisher Pivots for day following 14-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2287 |
1.2206 |
| PP |
1.2271 |
1.2174 |
| S1 |
1.2255 |
1.2141 |
|