CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 25-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Jul-2011 |
25-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2250 |
1.2304 |
0.0054 |
0.4% |
1.2352 |
| High |
1.2269 |
1.2472 |
0.0203 |
1.7% |
1.2355 |
| Low |
1.2128 |
1.2228 |
0.0100 |
0.8% |
1.2084 |
| Close |
1.2228 |
1.2411 |
0.0183 |
1.5% |
1.2228 |
| Range |
0.0141 |
0.0244 |
0.0103 |
73.0% |
0.0271 |
| ATR |
0.0144 |
0.0151 |
0.0007 |
4.9% |
0.0000 |
| Volume |
30,384 |
39,296 |
8,912 |
29.3% |
195,140 |
|
| Daily Pivots for day following 25-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3102 |
1.3001 |
1.2545 |
|
| R3 |
1.2858 |
1.2757 |
1.2478 |
|
| R2 |
1.2614 |
1.2614 |
1.2456 |
|
| R1 |
1.2513 |
1.2513 |
1.2433 |
1.2564 |
| PP |
1.2370 |
1.2370 |
1.2370 |
1.2396 |
| S1 |
1.2269 |
1.2269 |
1.2389 |
1.2320 |
| S2 |
1.2126 |
1.2126 |
1.2366 |
|
| S3 |
1.1882 |
1.2025 |
1.2344 |
|
| S4 |
1.1638 |
1.1781 |
1.2277 |
|
|
| 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 |
1.2472 |
1.2084 |
0.0388 |
3.1% |
0.0167 |
1.3% |
84% |
True |
False |
39,301 |
| 10 |
1.2472 |
1.1910 |
0.0562 |
4.5% |
0.0165 |
1.3% |
89% |
True |
False |
45,337 |
| 20 |
1.2472 |
1.1731 |
0.0741 |
6.0% |
0.0157 |
1.3% |
92% |
True |
False |
47,010 |
| 40 |
1.2472 |
1.1565 |
0.0907 |
7.3% |
0.0140 |
1.1% |
93% |
True |
False |
36,702 |
| 60 |
1.2472 |
1.1195 |
0.1277 |
10.3% |
0.0130 |
1.0% |
95% |
True |
False |
24,517 |
| 80 |
1.2472 |
1.0725 |
0.1747 |
14.1% |
0.0115 |
0.9% |
97% |
True |
False |
18,396 |
| 100 |
1.2472 |
1.0696 |
0.1776 |
14.3% |
0.0099 |
0.8% |
97% |
True |
False |
14,719 |
| 120 |
1.2472 |
1.0291 |
0.2181 |
17.6% |
0.0084 |
0.7% |
97% |
True |
False |
12,266 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3509 |
|
2.618 |
1.3111 |
|
1.618 |
1.2867 |
|
1.000 |
1.2716 |
|
0.618 |
1.2623 |
|
HIGH |
1.2472 |
|
0.618 |
1.2379 |
|
0.500 |
1.2350 |
|
0.382 |
1.2321 |
|
LOW |
1.2228 |
|
0.618 |
1.2077 |
|
1.000 |
1.1984 |
|
1.618 |
1.1833 |
|
2.618 |
1.1589 |
|
4.250 |
1.1191 |
|
|
| Fisher Pivots for day following 25-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2391 |
1.2374 |
| PP |
1.2370 |
1.2337 |
| S1 |
1.2350 |
1.2300 |
|