CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 29-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
28-Jul-2011 |
29-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2485 |
1.2490 |
0.0005 |
0.0% |
1.2304 |
| High |
1.2522 |
1.2746 |
0.0224 |
1.8% |
1.2746 |
| Low |
1.2432 |
1.2455 |
0.0023 |
0.2% |
1.2228 |
| Close |
1.2481 |
1.2682 |
0.0201 |
1.6% |
1.2682 |
| Range |
0.0090 |
0.0291 |
0.0201 |
223.3% |
0.0518 |
| ATR |
0.0140 |
0.0151 |
0.0011 |
7.7% |
0.0000 |
| Volume |
31,370 |
70,667 |
39,297 |
125.3% |
207,183 |
|
| Daily Pivots for day following 29-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3501 |
1.3382 |
1.2842 |
|
| R3 |
1.3210 |
1.3091 |
1.2762 |
|
| R2 |
1.2919 |
1.2919 |
1.2735 |
|
| R1 |
1.2800 |
1.2800 |
1.2709 |
1.2860 |
| PP |
1.2628 |
1.2628 |
1.2628 |
1.2657 |
| S1 |
1.2509 |
1.2509 |
1.2655 |
1.2569 |
| S2 |
1.2337 |
1.2337 |
1.2629 |
|
| S3 |
1.2046 |
1.2218 |
1.2602 |
|
| S4 |
1.1755 |
1.1927 |
1.2522 |
|
|
| Weekly Pivots for week ending 29-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4106 |
1.3912 |
1.2967 |
|
| R3 |
1.3588 |
1.3394 |
1.2824 |
|
| R2 |
1.3070 |
1.3070 |
1.2777 |
|
| R1 |
1.2876 |
1.2876 |
1.2729 |
1.2973 |
| PP |
1.2552 |
1.2552 |
1.2552 |
1.2601 |
| S1 |
1.2358 |
1.2358 |
1.2635 |
1.2455 |
| S2 |
1.2034 |
1.2034 |
1.2587 |
|
| S3 |
1.1516 |
1.1840 |
1.2540 |
|
| S4 |
1.0998 |
1.1322 |
1.2397 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2746 |
1.2228 |
0.0518 |
4.1% |
0.0163 |
1.3% |
88% |
True |
False |
41,436 |
| 10 |
1.2746 |
1.2084 |
0.0662 |
5.2% |
0.0155 |
1.2% |
90% |
True |
False |
40,232 |
| 20 |
1.2746 |
1.1731 |
0.1015 |
8.0% |
0.0158 |
1.2% |
94% |
True |
False |
46,287 |
| 40 |
1.2746 |
1.1701 |
0.1045 |
8.2% |
0.0139 |
1.1% |
94% |
True |
False |
40,813 |
| 60 |
1.2746 |
1.1195 |
0.1551 |
12.2% |
0.0134 |
1.1% |
96% |
True |
False |
27,311 |
| 80 |
1.2746 |
1.0810 |
0.1936 |
15.3% |
0.0120 |
0.9% |
97% |
True |
False |
20,493 |
| 100 |
1.2746 |
1.0725 |
0.2021 |
15.9% |
0.0105 |
0.8% |
97% |
True |
False |
16,397 |
| 120 |
1.2746 |
1.0291 |
0.2455 |
19.4% |
0.0089 |
0.7% |
97% |
True |
False |
13,665 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3983 |
|
2.618 |
1.3508 |
|
1.618 |
1.3217 |
|
1.000 |
1.3037 |
|
0.618 |
1.2926 |
|
HIGH |
1.2746 |
|
0.618 |
1.2635 |
|
0.500 |
1.2601 |
|
0.382 |
1.2566 |
|
LOW |
1.2455 |
|
0.618 |
1.2275 |
|
1.000 |
1.2164 |
|
1.618 |
1.1984 |
|
2.618 |
1.1693 |
|
4.250 |
1.1218 |
|
|
| Fisher Pivots for day following 29-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2655 |
1.2651 |
| PP |
1.2628 |
1.2619 |
| S1 |
1.2601 |
1.2588 |
|