CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 28-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Jul-2011 |
28-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2487 |
1.2485 |
-0.0002 |
0.0% |
1.2352 |
| High |
1.2511 |
1.2522 |
0.0011 |
0.1% |
1.2355 |
| Low |
1.2430 |
1.2432 |
0.0002 |
0.0% |
1.2084 |
| Close |
1.2474 |
1.2481 |
0.0007 |
0.1% |
1.2228 |
| Range |
0.0081 |
0.0090 |
0.0009 |
11.1% |
0.0271 |
| ATR |
0.0144 |
0.0140 |
-0.0004 |
-2.7% |
0.0000 |
| Volume |
33,180 |
31,370 |
-1,810 |
-5.5% |
195,140 |
|
| Daily Pivots for day following 28-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2748 |
1.2705 |
1.2531 |
|
| R3 |
1.2658 |
1.2615 |
1.2506 |
|
| R2 |
1.2568 |
1.2568 |
1.2498 |
|
| R1 |
1.2525 |
1.2525 |
1.2489 |
1.2502 |
| PP |
1.2478 |
1.2478 |
1.2478 |
1.2467 |
| S1 |
1.2435 |
1.2435 |
1.2473 |
1.2412 |
| S2 |
1.2388 |
1.2388 |
1.2465 |
|
| S3 |
1.2298 |
1.2345 |
1.2456 |
|
| S4 |
1.2208 |
1.2255 |
1.2432 |
|
|
| 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 |
1.2522 |
1.2128 |
0.0394 |
3.2% |
0.0133 |
1.1% |
90% |
True |
False |
33,380 |
| 10 |
1.2522 |
1.2084 |
0.0438 |
3.5% |
0.0137 |
1.1% |
91% |
True |
False |
37,189 |
| 20 |
1.2522 |
1.1731 |
0.0791 |
6.3% |
0.0155 |
1.2% |
95% |
True |
False |
45,611 |
| 40 |
1.2522 |
1.1701 |
0.0821 |
6.6% |
0.0134 |
1.1% |
95% |
True |
False |
39,072 |
| 60 |
1.2522 |
1.1195 |
0.1327 |
10.6% |
0.0131 |
1.1% |
97% |
True |
False |
26,134 |
| 80 |
1.2522 |
1.0810 |
0.1712 |
13.7% |
0.0116 |
0.9% |
98% |
True |
False |
19,610 |
| 100 |
1.2522 |
1.0696 |
0.1826 |
14.6% |
0.0102 |
0.8% |
98% |
True |
False |
15,691 |
| 120 |
1.2522 |
1.0291 |
0.2231 |
17.9% |
0.0086 |
0.7% |
98% |
True |
False |
13,076 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2905 |
|
2.618 |
1.2758 |
|
1.618 |
1.2668 |
|
1.000 |
1.2612 |
|
0.618 |
1.2578 |
|
HIGH |
1.2522 |
|
0.618 |
1.2488 |
|
0.500 |
1.2477 |
|
0.382 |
1.2466 |
|
LOW |
1.2432 |
|
0.618 |
1.2376 |
|
1.000 |
1.2342 |
|
1.618 |
1.2286 |
|
2.618 |
1.2196 |
|
4.250 |
1.2050 |
|
|
| Fisher Pivots for day following 28-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2480 |
1.2474 |
| PP |
1.2478 |
1.2466 |
| S1 |
1.2477 |
1.2459 |
|