CME Swiss Franc Future September 2011


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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
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0051
Narrowest range in 2 trading days
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

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

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