CME Swiss Franc Future September 2011


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Trading Metrics calculated at close of trading on 22-Jul-2011
Day Change Summary
Previous Current
21-Jul-2011 22-Jul-2011 Change Change % Previous Week
Open 1.2204 1.2250 0.0046 0.4% 1.2352
High 1.2294 1.2269 -0.0025 -0.2% 1.2355
Low 1.2144 1.2128 -0.0016 -0.1% 1.2084
Close 1.2256 1.2228 -0.0028 -0.2% 1.2228
Range 0.0150 0.0141 -0.0009 -6.0% 0.0271
ATR 0.0144 0.0144 0.0000 -0.2% 0.0000
Volume 45,626 30,384 -15,242 -33.4% 195,140
Daily Pivots for day following 22-Jul-2011
Classic Woodie Camarilla DeMark
R4 1.2631 1.2571 1.2306
R3 1.2490 1.2430 1.2267
R2 1.2349 1.2349 1.2254
R1 1.2289 1.2289 1.2241 1.2249
PP 1.2208 1.2208 1.2208 1.2188
S1 1.2148 1.2148 1.2215 1.2108
S2 1.2067 1.2067 1.2202
S3 1.1926 1.2007 1.2189
S4 1.1785 1.1866 1.2150
Weekly Pivots for week ending 22-Jul-2011
Classic Woodie Camarilla DeMark
R4 1.3035 1.2903 1.2377
R3 1.2764 1.2632 1.2303
R2 1.2493 1.2493 1.2278
R1 1.2361 1.2361 1.2253 1.2292
PP 1.2222 1.2222 1.2222 1.2188
S1 1.2090 1.2090 1.2203 1.2021
S2 1.1951 1.1951 1.2178
S3 1.1680 1.1819 1.2153
S4 1.1409 1.1548 1.2079
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% 0.0147 1.2% 53% False False 39,028
10 1.2372 1.1910 0.0462 3.8% 0.0149 1.2% 69% False False 46,249
20 1.2372 1.1731 0.0641 5.2% 0.0152 1.2% 78% False False 46,601
40 1.2372 1.1468 0.0904 7.4% 0.0136 1.1% 84% False False 35,731
60 1.2372 1.1195 0.1177 9.6% 0.0127 1.0% 88% False False 23,863
80 1.2372 1.0725 0.1647 13.5% 0.0113 0.9% 91% False False 17,905
100 1.2372 1.0696 0.1676 13.7% 0.0097 0.8% 91% False False 14,326
120 1.2372 1.0291 0.2081 17.0% 0.0082 0.7% 93% False False 11,938
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0037
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.2868
2.618 1.2638
1.618 1.2497
1.000 1.2410
0.618 1.2356
HIGH 1.2269
0.618 1.2215
0.500 1.2199
0.382 1.2182
LOW 1.2128
0.618 1.2041
1.000 1.1987
1.618 1.1900
2.618 1.1759
4.250 1.1529
Fisher Pivots for day following 22-Jul-2011
Pivot 1 day 3 day
R1 1.2218 1.2221
PP 1.2208 1.2214
S1 1.2199 1.2207

These figures are updated between 7pm and 10pm EST after a trading day.

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