CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 12-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Aug-2011 |
12-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3783 |
1.3104 |
-0.0679 |
-4.9% |
1.3185 |
| High |
1.3845 |
1.3264 |
-0.0581 |
-4.2% |
1.4167 |
| Low |
1.3026 |
1.2858 |
-0.0168 |
-1.3% |
1.2858 |
| Close |
1.3117 |
1.2898 |
-0.0219 |
-1.7% |
1.2898 |
| Range |
0.0819 |
0.0406 |
-0.0413 |
-50.4% |
0.1309 |
| ATR |
0.0310 |
0.0317 |
0.0007 |
2.2% |
0.0000 |
| Volume |
80,701 |
47,702 |
-32,999 |
-40.9% |
349,913 |
|
| Daily Pivots for day following 12-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4225 |
1.3967 |
1.3121 |
|
| R3 |
1.3819 |
1.3561 |
1.3010 |
|
| R2 |
1.3413 |
1.3413 |
1.2972 |
|
| R1 |
1.3155 |
1.3155 |
1.2935 |
1.3081 |
| PP |
1.3007 |
1.3007 |
1.3007 |
1.2970 |
| S1 |
1.2749 |
1.2749 |
1.2861 |
1.2675 |
| S2 |
1.2601 |
1.2601 |
1.2824 |
|
| S3 |
1.2195 |
1.2343 |
1.2786 |
|
| S4 |
1.1789 |
1.1937 |
1.2675 |
|
|
| Weekly Pivots for week ending 12-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.7235 |
1.6375 |
1.3618 |
|
| R3 |
1.5926 |
1.5066 |
1.3258 |
|
| R2 |
1.4617 |
1.4617 |
1.3138 |
|
| R1 |
1.3757 |
1.3757 |
1.3018 |
1.3533 |
| PP |
1.3308 |
1.3308 |
1.3308 |
1.3195 |
| S1 |
1.2448 |
1.2448 |
1.2778 |
1.2224 |
| S2 |
1.1999 |
1.1999 |
1.2658 |
|
| S3 |
1.0690 |
1.1139 |
1.2538 |
|
| S4 |
0.9381 |
0.9830 |
1.2178 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4167 |
1.2858 |
0.1309 |
10.1% |
0.0566 |
4.4% |
3% |
False |
True |
69,982 |
| 10 |
1.4167 |
1.2582 |
0.1585 |
12.3% |
0.0443 |
3.4% |
20% |
False |
False |
68,040 |
| 20 |
1.4167 |
1.2084 |
0.2083 |
16.1% |
0.0299 |
2.3% |
39% |
False |
False |
54,136 |
| 40 |
1.4167 |
1.1731 |
0.2436 |
18.9% |
0.0221 |
1.7% |
48% |
False |
False |
50,241 |
| 60 |
1.4167 |
1.1253 |
0.2914 |
22.6% |
0.0188 |
1.5% |
56% |
False |
False |
38,633 |
| 80 |
1.4167 |
1.1145 |
0.3022 |
23.4% |
0.0168 |
1.3% |
58% |
False |
False |
28,994 |
| 100 |
1.4167 |
1.0725 |
0.3442 |
26.7% |
0.0147 |
1.1% |
63% |
False |
False |
23,200 |
| 120 |
1.4167 |
1.0696 |
0.3471 |
26.9% |
0.0124 |
1.0% |
63% |
False |
False |
19,335 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4990 |
|
2.618 |
1.4327 |
|
1.618 |
1.3921 |
|
1.000 |
1.3670 |
|
0.618 |
1.3515 |
|
HIGH |
1.3264 |
|
0.618 |
1.3109 |
|
0.500 |
1.3061 |
|
0.382 |
1.3013 |
|
LOW |
1.2858 |
|
0.618 |
1.2607 |
|
1.000 |
1.2452 |
|
1.618 |
1.2201 |
|
2.618 |
1.1795 |
|
4.250 |
1.1133 |
|
|
| Fisher Pivots for day following 12-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3061 |
1.3404 |
| PP |
1.3007 |
1.3235 |
| S1 |
1.2952 |
1.3067 |
|