CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 21-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Jul-2011 |
21-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2139 |
1.2204 |
0.0065 |
0.5% |
1.1966 |
| High |
1.2232 |
1.2294 |
0.0062 |
0.5% |
1.2372 |
| Low |
1.2119 |
1.2144 |
0.0025 |
0.2% |
1.1910 |
| Close |
1.2214 |
1.2256 |
0.0042 |
0.3% |
1.2290 |
| Range |
0.0113 |
0.0150 |
0.0037 |
32.7% |
0.0462 |
| ATR |
0.0144 |
0.0144 |
0.0000 |
0.3% |
0.0000 |
| Volume |
35,290 |
45,626 |
10,336 |
29.3% |
267,354 |
|
| Daily Pivots for day following 21-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2681 |
1.2619 |
1.2339 |
|
| R3 |
1.2531 |
1.2469 |
1.2297 |
|
| R2 |
1.2381 |
1.2381 |
1.2284 |
|
| R1 |
1.2319 |
1.2319 |
1.2270 |
1.2350 |
| PP |
1.2231 |
1.2231 |
1.2231 |
1.2247 |
| S1 |
1.2169 |
1.2169 |
1.2242 |
1.2200 |
| S2 |
1.2081 |
1.2081 |
1.2229 |
|
| S3 |
1.1931 |
1.2019 |
1.2215 |
|
| S4 |
1.1781 |
1.1869 |
1.2174 |
|
|
| 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 |
1.2355 |
1.2084 |
0.0271 |
2.2% |
0.0140 |
1.1% |
63% |
False |
False |
40,998 |
| 10 |
1.2372 |
1.1738 |
0.0634 |
5.2% |
0.0158 |
1.3% |
82% |
False |
False |
49,162 |
| 20 |
1.2372 |
1.1731 |
0.0641 |
5.2% |
0.0150 |
1.2% |
82% |
False |
False |
47,431 |
| 40 |
1.2372 |
1.1360 |
0.1012 |
8.3% |
0.0136 |
1.1% |
89% |
False |
False |
34,983 |
| 60 |
1.2372 |
1.1195 |
0.1177 |
9.6% |
0.0128 |
1.0% |
90% |
False |
False |
23,357 |
| 80 |
1.2372 |
1.0725 |
0.1647 |
13.4% |
0.0112 |
0.9% |
93% |
False |
False |
17,525 |
| 100 |
1.2372 |
1.0696 |
0.1676 |
13.7% |
0.0095 |
0.8% |
93% |
False |
False |
14,022 |
| 120 |
1.2372 |
1.0291 |
0.2081 |
17.0% |
0.0081 |
0.7% |
94% |
False |
False |
11,685 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2932 |
|
2.618 |
1.2687 |
|
1.618 |
1.2537 |
|
1.000 |
1.2444 |
|
0.618 |
1.2387 |
|
HIGH |
1.2294 |
|
0.618 |
1.2237 |
|
0.500 |
1.2219 |
|
0.382 |
1.2201 |
|
LOW |
1.2144 |
|
0.618 |
1.2051 |
|
1.000 |
1.1994 |
|
1.618 |
1.1901 |
|
2.618 |
1.1751 |
|
4.250 |
1.1507 |
|
|
| Fisher Pivots for day following 21-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2244 |
1.2234 |
| PP |
1.2231 |
1.2211 |
| S1 |
1.2219 |
1.2189 |
|