CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 10-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
09-Aug-2011 |
10-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3251 |
1.3887 |
0.0636 |
4.8% |
1.2606 |
| High |
1.4167 |
1.3949 |
-0.0218 |
-1.5% |
1.3206 |
| Low |
1.3182 |
1.3655 |
0.0473 |
3.6% |
1.2582 |
| Close |
1.3996 |
1.3736 |
-0.0260 |
-1.9% |
1.3048 |
| Range |
0.0985 |
0.0294 |
-0.0691 |
-70.2% |
0.0624 |
| ATR |
0.0266 |
0.0271 |
0.0005 |
2.0% |
0.0000 |
| Volume |
97,266 |
59,990 |
-37,276 |
-38.3% |
330,487 |
|
| Daily Pivots for day following 10-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4662 |
1.4493 |
1.3898 |
|
| R3 |
1.4368 |
1.4199 |
1.3817 |
|
| R2 |
1.4074 |
1.4074 |
1.3790 |
|
| R1 |
1.3905 |
1.3905 |
1.3763 |
1.3843 |
| PP |
1.3780 |
1.3780 |
1.3780 |
1.3749 |
| S1 |
1.3611 |
1.3611 |
1.3709 |
1.3549 |
| S2 |
1.3486 |
1.3486 |
1.3682 |
|
| S3 |
1.3192 |
1.3317 |
1.3655 |
|
| S4 |
1.2898 |
1.3023 |
1.3574 |
|
|
| 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 |
1.4167 |
1.2829 |
0.1338 |
9.7% |
0.0435 |
3.2% |
68% |
False |
False |
68,835 |
| 10 |
1.4167 |
1.2432 |
0.1735 |
12.6% |
0.0358 |
2.6% |
75% |
False |
False |
65,403 |
| 20 |
1.4167 |
1.2084 |
0.2083 |
15.2% |
0.0251 |
1.8% |
79% |
False |
False |
52,725 |
| 40 |
1.4167 |
1.1701 |
0.2466 |
18.0% |
0.0197 |
1.4% |
83% |
False |
False |
49,565 |
| 60 |
1.4167 |
1.1253 |
0.2914 |
21.2% |
0.0170 |
1.2% |
85% |
False |
False |
36,495 |
| 80 |
1.4167 |
1.1122 |
0.3045 |
22.2% |
0.0154 |
1.1% |
86% |
False |
False |
27,391 |
| 100 |
1.4167 |
1.0725 |
0.3442 |
25.1% |
0.0135 |
1.0% |
87% |
False |
False |
21,916 |
| 120 |
1.4167 |
1.0560 |
0.3607 |
26.3% |
0.0115 |
0.8% |
88% |
False |
False |
18,265 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.5199 |
|
2.618 |
1.4719 |
|
1.618 |
1.4425 |
|
1.000 |
1.4243 |
|
0.618 |
1.4131 |
|
HIGH |
1.3949 |
|
0.618 |
1.3837 |
|
0.500 |
1.3802 |
|
0.382 |
1.3767 |
|
LOW |
1.3655 |
|
0.618 |
1.3473 |
|
1.000 |
1.3361 |
|
1.618 |
1.3179 |
|
2.618 |
1.2885 |
|
4.250 |
1.2406 |
|
|
| Fisher Pivots for day following 10-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3802 |
1.3693 |
| PP |
1.3780 |
1.3650 |
| S1 |
1.3758 |
1.3608 |
|