CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 03-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Aug-2011 |
03-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2774 |
1.3087 |
0.0313 |
2.5% |
1.2304 |
| High |
1.3129 |
1.3119 |
-0.0010 |
-0.1% |
1.2746 |
| Low |
1.2737 |
1.2850 |
0.0113 |
0.9% |
1.2228 |
| Close |
1.3031 |
1.3026 |
-0.0005 |
0.0% |
1.2682 |
| Range |
0.0392 |
0.0269 |
-0.0123 |
-31.4% |
0.0518 |
| ATR |
0.0182 |
0.0188 |
0.0006 |
3.4% |
0.0000 |
| Volume |
61,766 |
82,289 |
20,523 |
33.2% |
207,183 |
|
| Daily Pivots for day following 03-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3805 |
1.3685 |
1.3174 |
|
| R3 |
1.3536 |
1.3416 |
1.3100 |
|
| R2 |
1.3267 |
1.3267 |
1.3075 |
|
| R1 |
1.3147 |
1.3147 |
1.3051 |
1.3073 |
| PP |
1.2998 |
1.2998 |
1.2998 |
1.2961 |
| S1 |
1.2878 |
1.2878 |
1.3001 |
1.2804 |
| S2 |
1.2729 |
1.2729 |
1.2977 |
|
| S3 |
1.2460 |
1.2609 |
1.2952 |
|
| S4 |
1.2191 |
1.2340 |
1.2878 |
|
|
| 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 |
1.2432 |
0.0697 |
5.4% |
0.0281 |
2.2% |
85% |
False |
False |
61,971 |
| 10 |
1.3129 |
1.2128 |
0.1001 |
7.7% |
0.0213 |
1.6% |
90% |
False |
False |
49,101 |
| 20 |
1.3129 |
1.1738 |
0.1391 |
10.7% |
0.0186 |
1.4% |
93% |
False |
False |
49,218 |
| 40 |
1.3129 |
1.1701 |
0.1428 |
11.0% |
0.0157 |
1.2% |
93% |
False |
False |
45,535 |
| 60 |
1.3129 |
1.1195 |
0.1934 |
14.8% |
0.0145 |
1.1% |
95% |
False |
False |
30,767 |
| 80 |
1.3129 |
1.1005 |
0.2124 |
16.3% |
0.0130 |
1.0% |
95% |
False |
False |
23,090 |
| 100 |
1.3129 |
1.0725 |
0.2404 |
18.5% |
0.0115 |
0.9% |
96% |
False |
False |
18,476 |
| 120 |
1.3129 |
1.0291 |
0.2838 |
21.8% |
0.0097 |
0.7% |
96% |
False |
False |
15,397 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4262 |
|
2.618 |
1.3823 |
|
1.618 |
1.3554 |
|
1.000 |
1.3388 |
|
0.618 |
1.3285 |
|
HIGH |
1.3119 |
|
0.618 |
1.3016 |
|
0.500 |
1.2985 |
|
0.382 |
1.2953 |
|
LOW |
1.2850 |
|
0.618 |
1.2684 |
|
1.000 |
1.2581 |
|
1.618 |
1.2415 |
|
2.618 |
1.2146 |
|
4.250 |
1.1707 |
|
|
| Fisher Pivots for day following 03-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3012 |
1.2969 |
| PP |
1.2998 |
1.2912 |
| S1 |
1.2985 |
1.2856 |
|