CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 15-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Jul-2011 |
15-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2338 |
1.2267 |
-0.0071 |
-0.6% |
1.1966 |
| High |
1.2372 |
1.2318 |
-0.0054 |
-0.4% |
1.2372 |
| Low |
1.2202 |
1.2214 |
0.0012 |
0.1% |
1.1910 |
| Close |
1.2239 |
1.2290 |
0.0051 |
0.4% |
1.2290 |
| Range |
0.0170 |
0.0104 |
-0.0066 |
-38.8% |
0.0462 |
| ATR |
0.0146 |
0.0143 |
-0.0003 |
-2.1% |
0.0000 |
| Volume |
59,954 |
40,237 |
-19,717 |
-32.9% |
267,354 |
|
| Daily Pivots for day following 15-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2586 |
1.2542 |
1.2347 |
|
| R3 |
1.2482 |
1.2438 |
1.2319 |
|
| R2 |
1.2378 |
1.2378 |
1.2309 |
|
| R1 |
1.2334 |
1.2334 |
1.2300 |
1.2356 |
| PP |
1.2274 |
1.2274 |
1.2274 |
1.2285 |
| S1 |
1.2230 |
1.2230 |
1.2280 |
1.2252 |
| S2 |
1.2170 |
1.2170 |
1.2271 |
|
| S3 |
1.2066 |
1.2126 |
1.2261 |
|
| S4 |
1.1962 |
1.2022 |
1.2233 |
|
|
| Weekly Pivots for week ending 15-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3577 |
1.3395 |
1.2544 |
|
| R3 |
1.3115 |
1.2933 |
1.2417 |
|
| R2 |
1.2653 |
1.2653 |
1.2375 |
|
| R1 |
1.2471 |
1.2471 |
1.2332 |
1.2562 |
| PP |
1.2191 |
1.2191 |
1.2191 |
1.2236 |
| S1 |
1.2009 |
1.2009 |
1.2248 |
1.2100 |
| S2 |
1.1729 |
1.1729 |
1.2205 |
|
| S3 |
1.1267 |
1.1547 |
1.2163 |
|
| S4 |
1.0805 |
1.1085 |
1.2036 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2372 |
1.1910 |
0.0462 |
3.8% |
0.0151 |
1.2% |
82% |
False |
False |
53,470 |
| 10 |
1.2372 |
1.1731 |
0.0641 |
5.2% |
0.0161 |
1.3% |
87% |
False |
False |
52,343 |
| 20 |
1.2372 |
1.1731 |
0.0641 |
5.2% |
0.0144 |
1.2% |
87% |
False |
False |
46,347 |
| 40 |
1.2372 |
1.1253 |
0.1119 |
9.1% |
0.0132 |
1.1% |
93% |
False |
False |
30,881 |
| 60 |
1.2372 |
1.1145 |
0.1227 |
10.0% |
0.0125 |
1.0% |
93% |
False |
False |
20,613 |
| 80 |
1.2372 |
1.0725 |
0.1647 |
13.4% |
0.0109 |
0.9% |
95% |
False |
False |
15,466 |
| 100 |
1.2372 |
1.0696 |
0.1676 |
13.6% |
0.0089 |
0.7% |
95% |
False |
False |
12,374 |
| 120 |
1.2372 |
1.0291 |
0.2081 |
16.9% |
0.0076 |
0.6% |
96% |
False |
False |
10,312 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2760 |
|
2.618 |
1.2590 |
|
1.618 |
1.2486 |
|
1.000 |
1.2422 |
|
0.618 |
1.2382 |
|
HIGH |
1.2318 |
|
0.618 |
1.2278 |
|
0.500 |
1.2266 |
|
0.382 |
1.2254 |
|
LOW |
1.2214 |
|
0.618 |
1.2150 |
|
1.000 |
1.2110 |
|
1.618 |
1.2046 |
|
2.618 |
1.1942 |
|
4.250 |
1.1772 |
|
|
| Fisher Pivots for day following 15-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2282 |
1.2257 |
| PP |
1.2274 |
1.2224 |
| S1 |
1.2266 |
1.2191 |
|