CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 05-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
04-Aug-2011 |
05-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3008 |
1.3049 |
0.0041 |
0.3% |
1.2606 |
| High |
1.3121 |
1.3206 |
0.0085 |
0.6% |
1.3206 |
| Low |
1.2829 |
1.2927 |
0.0098 |
0.8% |
1.2582 |
| Close |
1.3033 |
1.3048 |
0.0015 |
0.1% |
1.3048 |
| Range |
0.0292 |
0.0279 |
-0.0013 |
-4.5% |
0.0624 |
| ATR |
0.0196 |
0.0201 |
0.0006 |
3.0% |
0.0000 |
| Volume |
61,490 |
61,175 |
-315 |
-0.5% |
330,487 |
|
| Daily Pivots for day following 05-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3897 |
1.3752 |
1.3201 |
|
| R3 |
1.3618 |
1.3473 |
1.3125 |
|
| R2 |
1.3339 |
1.3339 |
1.3099 |
|
| R1 |
1.3194 |
1.3194 |
1.3074 |
1.3127 |
| PP |
1.3060 |
1.3060 |
1.3060 |
1.3027 |
| S1 |
1.2915 |
1.2915 |
1.3022 |
1.2848 |
| S2 |
1.2781 |
1.2781 |
1.2997 |
|
| S3 |
1.2502 |
1.2636 |
1.2971 |
|
| S4 |
1.2223 |
1.2357 |
1.2895 |
|
|
| Weekly Pivots for week ending 05-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4817 |
1.4557 |
1.3391 |
|
| R3 |
1.4193 |
1.3933 |
1.3220 |
|
| R2 |
1.3569 |
1.3569 |
1.3162 |
|
| R1 |
1.3309 |
1.3309 |
1.3105 |
1.3439 |
| PP |
1.2945 |
1.2945 |
1.2945 |
1.3011 |
| S1 |
1.2685 |
1.2685 |
1.2991 |
1.2815 |
| S2 |
1.2321 |
1.2321 |
1.2934 |
|
| S3 |
1.1697 |
1.2061 |
1.2876 |
|
| S4 |
1.1073 |
1.1437 |
1.2705 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3206 |
1.2582 |
0.0624 |
4.8% |
0.0319 |
2.4% |
75% |
True |
False |
66,097 |
| 10 |
1.3206 |
1.2228 |
0.0978 |
7.5% |
0.0241 |
1.8% |
84% |
True |
False |
53,767 |
| 20 |
1.3206 |
1.1910 |
0.1296 |
9.9% |
0.0195 |
1.5% |
88% |
True |
False |
50,008 |
| 40 |
1.3206 |
1.1701 |
0.1505 |
11.5% |
0.0166 |
1.3% |
90% |
True |
False |
47,057 |
| 60 |
1.3206 |
1.1195 |
0.2011 |
15.4% |
0.0150 |
1.1% |
92% |
True |
False |
32,809 |
| 80 |
1.3206 |
1.1122 |
0.2084 |
16.0% |
0.0136 |
1.0% |
92% |
True |
False |
24,623 |
| 100 |
1.3206 |
1.0725 |
0.2481 |
19.0% |
0.0120 |
0.9% |
94% |
True |
False |
19,702 |
| 120 |
1.3206 |
1.0366 |
0.2840 |
21.8% |
0.0102 |
0.8% |
94% |
True |
False |
16,419 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4392 |
|
2.618 |
1.3936 |
|
1.618 |
1.3657 |
|
1.000 |
1.3485 |
|
0.618 |
1.3378 |
|
HIGH |
1.3206 |
|
0.618 |
1.3099 |
|
0.500 |
1.3067 |
|
0.382 |
1.3034 |
|
LOW |
1.2927 |
|
0.618 |
1.2755 |
|
1.000 |
1.2648 |
|
1.618 |
1.2476 |
|
2.618 |
1.2197 |
|
4.250 |
1.1741 |
|
|
| Fisher Pivots for day following 05-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3067 |
1.3038 |
| PP |
1.3060 |
1.3028 |
| S1 |
1.3054 |
1.3018 |
|