CME Swiss Franc Future September 2011


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Trading Metrics calculated at close of trading on 02-Aug-2011
Day Change Summary
Previous Current
01-Aug-2011 02-Aug-2011 Change Change % Previous Week
Open 1.2606 1.2774 0.0168 1.3% 1.2304
High 1.2944 1.3129 0.0185 1.4% 1.2746
Low 1.2582 1.2737 0.0155 1.2% 1.2228
Close 1.2802 1.3031 0.0229 1.8% 1.2682
Range 0.0362 0.0392 0.0030 8.3% 0.0518
ATR 0.0166 0.0182 0.0016 9.8% 0.0000
Volume 63,767 61,766 -2,001 -3.1% 207,183
Daily Pivots for day following 02-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.4142 1.3978 1.3247
R3 1.3750 1.3586 1.3139
R2 1.3358 1.3358 1.3103
R1 1.3194 1.3194 1.3067 1.3276
PP 1.2966 1.2966 1.2966 1.3007
S1 1.2802 1.2802 1.2995 1.2884
S2 1.2574 1.2574 1.2959
S3 1.2182 1.2410 1.2923
S4 1.1790 1.2018 1.2815
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 1.3129 1.2430 0.0699 5.4% 0.0243 1.9% 86% True False 52,150
10 1.3129 1.2119 0.1010 7.8% 0.0198 1.5% 90% True False 44,401
20 1.3129 1.1738 0.1391 10.7% 0.0179 1.4% 93% True False 47,345
40 1.3129 1.1701 0.1428 11.0% 0.0152 1.2% 93% True False 43,793
60 1.3129 1.1195 0.1934 14.8% 0.0141 1.1% 95% True False 29,398
80 1.3129 1.0950 0.2179 16.7% 0.0127 1.0% 96% True False 22,062
100 1.3129 1.0725 0.2404 18.4% 0.0112 0.9% 96% True False 17,653
120 1.3129 1.0291 0.2838 21.8% 0.0095 0.7% 97% True False 14,711
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0035
Widest range in 146 trading days
Fibonacci Retracements and Extensions
4.250 1.4795
2.618 1.4155
1.618 1.3763
1.000 1.3521
0.618 1.3371
HIGH 1.3129
0.618 1.2979
0.500 1.2933
0.382 1.2887
LOW 1.2737
0.618 1.2495
1.000 1.2345
1.618 1.2103
2.618 1.1711
4.250 1.1071
Fisher Pivots for day following 02-Aug-2011
Pivot 1 day 3 day
R1 1.2998 1.2951
PP 1.2966 1.2872
S1 1.2933 1.2792

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

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