CME Swiss Franc Future September 2011


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Trading Metrics calculated at close of trading on 27-Jul-2011
Day Change Summary
Previous Current
26-Jul-2011 27-Jul-2011 Change Change % Previous Week
Open 1.2410 1.2487 0.0077 0.6% 1.2352
High 1.2507 1.2511 0.0004 0.0% 1.2355
Low 1.2396 1.2430 0.0034 0.3% 1.2084
Close 1.2491 1.2474 -0.0017 -0.1% 1.2228
Range 0.0111 0.0081 -0.0030 -27.0% 0.0271
ATR 0.0148 0.0144 -0.0005 -3.2% 0.0000
Volume 32,670 33,180 510 1.6% 195,140
Daily Pivots for day following 27-Jul-2011
Classic Woodie Camarilla DeMark
R4 1.2715 1.2675 1.2519
R3 1.2634 1.2594 1.2496
R2 1.2553 1.2553 1.2489
R1 1.2513 1.2513 1.2481 1.2493
PP 1.2472 1.2472 1.2472 1.2461
S1 1.2432 1.2432 1.2467 1.2412
S2 1.2391 1.2391 1.2459
S3 1.2310 1.2351 1.2452
S4 1.2229 1.2270 1.2429
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 1.2511 1.2128 0.0383 3.1% 0.0145 1.2% 90% True False 36,231
10 1.2511 1.2084 0.0427 3.4% 0.0145 1.2% 91% True False 40,047
20 1.2511 1.1731 0.0780 6.3% 0.0156 1.2% 95% True False 46,334
40 1.2511 1.1701 0.0810 6.5% 0.0137 1.1% 95% True False 38,309
60 1.2511 1.1195 0.1316 10.5% 0.0131 1.1% 97% True False 25,613
80 1.2511 1.0810 0.1701 13.6% 0.0115 0.9% 98% True False 19,218
100 1.2511 1.0696 0.1815 14.6% 0.0101 0.8% 98% True False 15,377
120 1.2511 1.0291 0.2220 17.8% 0.0085 0.7% 98% True False 12,814
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 True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0034
Narrowest range in 32 trading days
Fibonacci Retracements and Extensions
4.250 1.2855
2.618 1.2723
1.618 1.2642
1.000 1.2592
0.618 1.2561
HIGH 1.2511
0.618 1.2480
0.500 1.2471
0.382 1.2461
LOW 1.2430
0.618 1.2380
1.000 1.2349
1.618 1.2299
2.618 1.2218
4.250 1.2086
Fisher Pivots for day following 27-Jul-2011
Pivot 1 day 3 day
R1 1.2473 1.2439
PP 1.2472 1.2404
S1 1.2471 1.2370

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

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