CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 08-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Aug-2011 |
08-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3049 |
1.3185 |
0.0136 |
1.0% |
1.2606 |
| High |
1.3206 |
1.3375 |
0.0169 |
1.3% |
1.3206 |
| Low |
1.2927 |
1.3048 |
0.0121 |
0.9% |
1.2582 |
| Close |
1.3048 |
1.3242 |
0.0194 |
1.5% |
1.3048 |
| Range |
0.0279 |
0.0327 |
0.0048 |
17.2% |
0.0624 |
| ATR |
0.0201 |
0.0210 |
0.0009 |
4.4% |
0.0000 |
| Volume |
61,175 |
64,254 |
3,079 |
5.0% |
330,487 |
|
| Daily Pivots for day following 08-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4203 |
1.4049 |
1.3422 |
|
| R3 |
1.3876 |
1.3722 |
1.3332 |
|
| R2 |
1.3549 |
1.3549 |
1.3302 |
|
| R1 |
1.3395 |
1.3395 |
1.3272 |
1.3472 |
| PP |
1.3222 |
1.3222 |
1.3222 |
1.3260 |
| S1 |
1.3068 |
1.3068 |
1.3212 |
1.3145 |
| S2 |
1.2895 |
1.2895 |
1.3182 |
|
| S3 |
1.2568 |
1.2741 |
1.3152 |
|
| S4 |
1.2241 |
1.2414 |
1.3062 |
|
|
| 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 |
1.3375 |
1.2737 |
0.0638 |
4.8% |
0.0312 |
2.4% |
79% |
True |
False |
66,194 |
| 10 |
1.3375 |
1.2396 |
0.0979 |
7.4% |
0.0249 |
1.9% |
86% |
True |
False |
56,262 |
| 20 |
1.3375 |
1.1910 |
0.1465 |
11.1% |
0.0207 |
1.6% |
91% |
True |
False |
50,800 |
| 40 |
1.3375 |
1.1701 |
0.1674 |
12.6% |
0.0173 |
1.3% |
92% |
True |
False |
47,642 |
| 60 |
1.3375 |
1.1195 |
0.2180 |
16.5% |
0.0154 |
1.2% |
94% |
True |
False |
33,877 |
| 80 |
1.3375 |
1.1122 |
0.2253 |
17.0% |
0.0139 |
1.0% |
94% |
True |
False |
25,426 |
| 100 |
1.3375 |
1.0725 |
0.2650 |
20.0% |
0.0123 |
0.9% |
95% |
True |
False |
20,345 |
| 120 |
1.3375 |
1.0456 |
0.2919 |
22.0% |
0.0105 |
0.8% |
95% |
True |
False |
16,954 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4765 |
|
2.618 |
1.4231 |
|
1.618 |
1.3904 |
|
1.000 |
1.3702 |
|
0.618 |
1.3577 |
|
HIGH |
1.3375 |
|
0.618 |
1.3250 |
|
0.500 |
1.3212 |
|
0.382 |
1.3173 |
|
LOW |
1.3048 |
|
0.618 |
1.2846 |
|
1.000 |
1.2721 |
|
1.618 |
1.2519 |
|
2.618 |
1.2192 |
|
4.250 |
1.1658 |
|
|
| Fisher Pivots for day following 08-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3232 |
1.3195 |
| PP |
1.3222 |
1.3149 |
| S1 |
1.3212 |
1.3102 |
|