CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 04-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Aug-2011 |
04-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3087 |
1.3008 |
-0.0079 |
-0.6% |
1.2304 |
| High |
1.3119 |
1.3121 |
0.0002 |
0.0% |
1.2746 |
| Low |
1.2850 |
1.2829 |
-0.0021 |
-0.2% |
1.2228 |
| Close |
1.3026 |
1.3033 |
0.0007 |
0.1% |
1.2682 |
| Range |
0.0269 |
0.0292 |
0.0023 |
8.6% |
0.0518 |
| ATR |
0.0188 |
0.0196 |
0.0007 |
3.9% |
0.0000 |
| Volume |
82,289 |
61,490 |
-20,799 |
-25.3% |
207,183 |
|
| Daily Pivots for day following 04-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3870 |
1.3744 |
1.3194 |
|
| R3 |
1.3578 |
1.3452 |
1.3113 |
|
| R2 |
1.3286 |
1.3286 |
1.3087 |
|
| R1 |
1.3160 |
1.3160 |
1.3060 |
1.3223 |
| PP |
1.2994 |
1.2994 |
1.2994 |
1.3026 |
| S1 |
1.2868 |
1.2868 |
1.3006 |
1.2931 |
| S2 |
1.2702 |
1.2702 |
1.2979 |
|
| S3 |
1.2410 |
1.2576 |
1.2953 |
|
| S4 |
1.2118 |
1.2284 |
1.2872 |
|
|
| 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 |
1.2455 |
0.0674 |
5.2% |
0.0321 |
2.5% |
86% |
False |
False |
67,995 |
| 10 |
1.3129 |
1.2128 |
0.1001 |
7.7% |
0.0227 |
1.7% |
90% |
False |
False |
50,687 |
| 20 |
1.3129 |
1.1738 |
0.1391 |
10.7% |
0.0193 |
1.5% |
93% |
False |
False |
49,925 |
| 40 |
1.3129 |
1.1701 |
0.1428 |
11.0% |
0.0163 |
1.2% |
93% |
False |
False |
46,431 |
| 60 |
1.3129 |
1.1195 |
0.1934 |
14.8% |
0.0147 |
1.1% |
95% |
False |
False |
31,791 |
| 80 |
1.3129 |
1.1055 |
0.2074 |
15.9% |
0.0133 |
1.0% |
95% |
False |
False |
23,859 |
| 100 |
1.3129 |
1.0725 |
0.2404 |
18.4% |
0.0118 |
0.9% |
96% |
False |
False |
19,090 |
| 120 |
1.3129 |
1.0328 |
0.2801 |
21.5% |
0.0100 |
0.8% |
97% |
False |
False |
15,909 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4362 |
|
2.618 |
1.3885 |
|
1.618 |
1.3593 |
|
1.000 |
1.3413 |
|
0.618 |
1.3301 |
|
HIGH |
1.3121 |
|
0.618 |
1.3009 |
|
0.500 |
1.2975 |
|
0.382 |
1.2941 |
|
LOW |
1.2829 |
|
0.618 |
1.2649 |
|
1.000 |
1.2537 |
|
1.618 |
1.2357 |
|
2.618 |
1.2065 |
|
4.250 |
1.1588 |
|
|
| Fisher Pivots for day following 04-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3014 |
1.3000 |
| PP |
1.2994 |
1.2966 |
| S1 |
1.2975 |
1.2933 |
|