CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 11-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Aug-2011 |
11-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3887 |
1.3783 |
-0.0104 |
-0.7% |
1.2606 |
| High |
1.3949 |
1.3845 |
-0.0104 |
-0.7% |
1.3206 |
| Low |
1.3655 |
1.3026 |
-0.0629 |
-4.6% |
1.2582 |
| Close |
1.3736 |
1.3117 |
-0.0619 |
-4.5% |
1.3048 |
| Range |
0.0294 |
0.0819 |
0.0525 |
178.6% |
0.0624 |
| ATR |
0.0271 |
0.0310 |
0.0039 |
14.4% |
0.0000 |
| Volume |
59,990 |
80,701 |
20,711 |
34.5% |
330,487 |
|
| Daily Pivots for day following 11-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5786 |
1.5271 |
1.3567 |
|
| R3 |
1.4967 |
1.4452 |
1.3342 |
|
| R2 |
1.4148 |
1.4148 |
1.3267 |
|
| R1 |
1.3633 |
1.3633 |
1.3192 |
1.3481 |
| PP |
1.3329 |
1.3329 |
1.3329 |
1.3254 |
| S1 |
1.2814 |
1.2814 |
1.3042 |
1.2662 |
| S2 |
1.2510 |
1.2510 |
1.2967 |
|
| S3 |
1.1691 |
1.1995 |
1.2892 |
|
| S4 |
1.0872 |
1.1176 |
1.2667 |
|
|
| 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 |
1.2927 |
0.1240 |
9.5% |
0.0541 |
4.1% |
15% |
False |
False |
72,677 |
| 10 |
1.4167 |
1.2455 |
0.1712 |
13.1% |
0.0431 |
3.3% |
39% |
False |
False |
70,336 |
| 20 |
1.4167 |
1.2084 |
0.2083 |
15.9% |
0.0284 |
2.2% |
50% |
False |
False |
53,762 |
| 40 |
1.4167 |
1.1705 |
0.2462 |
18.8% |
0.0214 |
1.6% |
57% |
False |
False |
50,227 |
| 60 |
1.4167 |
1.1253 |
0.2914 |
22.2% |
0.0182 |
1.4% |
64% |
False |
False |
37,840 |
| 80 |
1.4167 |
1.1122 |
0.3045 |
23.2% |
0.0163 |
1.2% |
66% |
False |
False |
28,399 |
| 100 |
1.4167 |
1.0725 |
0.3442 |
26.2% |
0.0143 |
1.1% |
69% |
False |
False |
22,723 |
| 120 |
1.4167 |
1.0560 |
0.3607 |
27.5% |
0.0122 |
0.9% |
71% |
False |
False |
18,937 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.7326 |
|
2.618 |
1.5989 |
|
1.618 |
1.5170 |
|
1.000 |
1.4664 |
|
0.618 |
1.4351 |
|
HIGH |
1.3845 |
|
0.618 |
1.3532 |
|
0.500 |
1.3436 |
|
0.382 |
1.3339 |
|
LOW |
1.3026 |
|
0.618 |
1.2520 |
|
1.000 |
1.2207 |
|
1.618 |
1.1701 |
|
2.618 |
1.0882 |
|
4.250 |
0.9545 |
|
|
| Fisher Pivots for day following 11-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3436 |
1.3597 |
| PP |
1.3329 |
1.3437 |
| S1 |
1.3223 |
1.3277 |
|