CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 26-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Jul-2011 |
26-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2304 |
1.2410 |
0.0106 |
0.9% |
1.2352 |
| High |
1.2472 |
1.2507 |
0.0035 |
0.3% |
1.2355 |
| Low |
1.2228 |
1.2396 |
0.0168 |
1.4% |
1.2084 |
| Close |
1.2411 |
1.2491 |
0.0080 |
0.6% |
1.2228 |
| Range |
0.0244 |
0.0111 |
-0.0133 |
-54.5% |
0.0271 |
| ATR |
0.0151 |
0.0148 |
-0.0003 |
-1.9% |
0.0000 |
| Volume |
39,296 |
32,670 |
-6,626 |
-16.9% |
195,140 |
|
| Daily Pivots for day following 26-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2798 |
1.2755 |
1.2552 |
|
| R3 |
1.2687 |
1.2644 |
1.2522 |
|
| R2 |
1.2576 |
1.2576 |
1.2511 |
|
| R1 |
1.2533 |
1.2533 |
1.2501 |
1.2555 |
| PP |
1.2465 |
1.2465 |
1.2465 |
1.2475 |
| S1 |
1.2422 |
1.2422 |
1.2481 |
1.2444 |
| S2 |
1.2354 |
1.2354 |
1.2471 |
|
| S3 |
1.2243 |
1.2311 |
1.2460 |
|
| S4 |
1.2132 |
1.2200 |
1.2430 |
|
|
| 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 |
1.2507 |
1.2119 |
0.0388 |
3.1% |
0.0152 |
1.2% |
96% |
True |
False |
36,653 |
| 10 |
1.2507 |
1.2010 |
0.0497 |
4.0% |
0.0160 |
1.3% |
97% |
True |
False |
42,574 |
| 20 |
1.2507 |
1.1731 |
0.0776 |
6.2% |
0.0158 |
1.3% |
98% |
True |
False |
46,806 |
| 40 |
1.2507 |
1.1701 |
0.0806 |
6.5% |
0.0138 |
1.1% |
98% |
True |
False |
37,511 |
| 60 |
1.2507 |
1.1195 |
0.1312 |
10.5% |
0.0131 |
1.0% |
99% |
True |
False |
25,061 |
| 80 |
1.2507 |
1.0725 |
0.1782 |
14.3% |
0.0116 |
0.9% |
99% |
True |
False |
18,803 |
| 100 |
1.2507 |
1.0696 |
0.1811 |
14.5% |
0.0100 |
0.8% |
99% |
True |
False |
15,045 |
| 120 |
1.2507 |
1.0291 |
0.2216 |
17.7% |
0.0085 |
0.7% |
99% |
True |
False |
12,538 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2979 |
|
2.618 |
1.2798 |
|
1.618 |
1.2687 |
|
1.000 |
1.2618 |
|
0.618 |
1.2576 |
|
HIGH |
1.2507 |
|
0.618 |
1.2465 |
|
0.500 |
1.2452 |
|
0.382 |
1.2438 |
|
LOW |
1.2396 |
|
0.618 |
1.2327 |
|
1.000 |
1.2285 |
|
1.618 |
1.2216 |
|
2.618 |
1.2105 |
|
4.250 |
1.1924 |
|
|
| Fisher Pivots for day following 26-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2478 |
1.2433 |
| PP |
1.2465 |
1.2375 |
| S1 |
1.2452 |
1.2318 |
|