CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 01-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Jul-2011 |
01-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2490 |
1.2606 |
0.0116 |
0.9% |
1.2304 |
| High |
1.2746 |
1.2944 |
0.0198 |
1.6% |
1.2746 |
| Low |
1.2455 |
1.2582 |
0.0127 |
1.0% |
1.2228 |
| Close |
1.2682 |
1.2802 |
0.0120 |
0.9% |
1.2682 |
| Range |
0.0291 |
0.0362 |
0.0071 |
24.4% |
0.0518 |
| ATR |
0.0151 |
0.0166 |
0.0015 |
10.0% |
0.0000 |
| Volume |
70,667 |
63,767 |
-6,900 |
-9.8% |
207,183 |
|
| Daily Pivots for day following 01-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3862 |
1.3694 |
1.3001 |
|
| R3 |
1.3500 |
1.3332 |
1.2902 |
|
| R2 |
1.3138 |
1.3138 |
1.2868 |
|
| R1 |
1.2970 |
1.2970 |
1.2835 |
1.3054 |
| PP |
1.2776 |
1.2776 |
1.2776 |
1.2818 |
| S1 |
1.2608 |
1.2608 |
1.2769 |
1.2692 |
| S2 |
1.2414 |
1.2414 |
1.2736 |
|
| S3 |
1.2052 |
1.2246 |
1.2702 |
|
| S4 |
1.1690 |
1.1884 |
1.2603 |
|
|
| 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 |
1.2944 |
1.2396 |
0.0548 |
4.3% |
0.0187 |
1.5% |
74% |
True |
False |
46,330 |
| 10 |
1.2944 |
1.2084 |
0.0860 |
6.7% |
0.0177 |
1.4% |
83% |
True |
False |
42,816 |
| 20 |
1.2944 |
1.1738 |
0.1206 |
9.4% |
0.0168 |
1.3% |
88% |
True |
False |
46,928 |
| 40 |
1.2944 |
1.1701 |
0.1243 |
9.7% |
0.0144 |
1.1% |
89% |
True |
False |
42,369 |
| 60 |
1.2944 |
1.1195 |
0.1749 |
13.7% |
0.0137 |
1.1% |
92% |
True |
False |
28,371 |
| 80 |
1.2944 |
1.0910 |
0.2034 |
15.9% |
0.0123 |
1.0% |
93% |
True |
False |
21,290 |
| 100 |
1.2944 |
1.0725 |
0.2219 |
17.3% |
0.0108 |
0.8% |
94% |
True |
False |
17,035 |
| 120 |
1.2944 |
1.0291 |
0.2653 |
20.7% |
0.0092 |
0.7% |
95% |
True |
False |
14,196 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4483 |
|
2.618 |
1.3892 |
|
1.618 |
1.3530 |
|
1.000 |
1.3306 |
|
0.618 |
1.3168 |
|
HIGH |
1.2944 |
|
0.618 |
1.2806 |
|
0.500 |
1.2763 |
|
0.382 |
1.2720 |
|
LOW |
1.2582 |
|
0.618 |
1.2358 |
|
1.000 |
1.2220 |
|
1.618 |
1.1996 |
|
2.618 |
1.1634 |
|
4.250 |
1.1044 |
|
|
| Fisher Pivots for day following 01-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2789 |
1.2764 |
| PP |
1.2776 |
1.2726 |
| S1 |
1.2763 |
1.2688 |
|