CME Swiss Franc Future September 2011


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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
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
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 0.0036
Narrowest range in 7 trading days
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

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

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