CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 15-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Aug-2011 |
15-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3104 |
1.2805 |
-0.0299 |
-2.3% |
1.3185 |
| High |
1.3264 |
1.2898 |
-0.0366 |
-2.8% |
1.4167 |
| Low |
1.2858 |
1.2518 |
-0.0340 |
-2.6% |
1.2858 |
| Close |
1.2898 |
1.2765 |
-0.0133 |
-1.0% |
1.2898 |
| Range |
0.0406 |
0.0380 |
-0.0026 |
-6.4% |
0.1309 |
| ATR |
0.0317 |
0.0322 |
0.0004 |
1.4% |
0.0000 |
| Volume |
47,702 |
36,829 |
-10,873 |
-22.8% |
349,913 |
|
| Daily Pivots for day following 15-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3867 |
1.3696 |
1.2974 |
|
| R3 |
1.3487 |
1.3316 |
1.2870 |
|
| R2 |
1.3107 |
1.3107 |
1.2835 |
|
| R1 |
1.2936 |
1.2936 |
1.2800 |
1.2832 |
| PP |
1.2727 |
1.2727 |
1.2727 |
1.2675 |
| S1 |
1.2556 |
1.2556 |
1.2730 |
1.2452 |
| S2 |
1.2347 |
1.2347 |
1.2695 |
|
| S3 |
1.1967 |
1.2176 |
1.2661 |
|
| S4 |
1.1587 |
1.1796 |
1.2556 |
|
|
| 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 |
1.2518 |
0.1649 |
12.9% |
0.0577 |
4.5% |
15% |
False |
True |
64,497 |
| 10 |
1.4167 |
1.2518 |
0.1649 |
12.9% |
0.0444 |
3.5% |
15% |
False |
True |
65,346 |
| 20 |
1.4167 |
1.2084 |
0.2083 |
16.3% |
0.0311 |
2.4% |
33% |
False |
False |
54,081 |
| 40 |
1.4167 |
1.1731 |
0.2436 |
19.1% |
0.0229 |
1.8% |
42% |
False |
False |
50,172 |
| 60 |
1.4167 |
1.1253 |
0.2914 |
22.8% |
0.0192 |
1.5% |
52% |
False |
False |
39,244 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
23.3% |
0.0172 |
1.3% |
53% |
False |
False |
29,454 |
| 100 |
1.4167 |
1.0725 |
0.3442 |
27.0% |
0.0150 |
1.2% |
59% |
False |
False |
23,568 |
| 120 |
1.4167 |
1.0696 |
0.3471 |
27.2% |
0.0127 |
1.0% |
60% |
False |
False |
19,642 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4513 |
|
2.618 |
1.3893 |
|
1.618 |
1.3513 |
|
1.000 |
1.3278 |
|
0.618 |
1.3133 |
|
HIGH |
1.2898 |
|
0.618 |
1.2753 |
|
0.500 |
1.2708 |
|
0.382 |
1.2663 |
|
LOW |
1.2518 |
|
0.618 |
1.2283 |
|
1.000 |
1.2138 |
|
1.618 |
1.1903 |
|
2.618 |
1.1523 |
|
4.250 |
1.0903 |
|
|
| Fisher Pivots for day following 15-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2746 |
1.3182 |
| PP |
1.2727 |
1.3043 |
| S1 |
1.2708 |
1.2904 |
|