CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 16-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Aug-2011 |
16-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2805 |
1.2787 |
-0.0018 |
-0.1% |
1.3185 |
| High |
1.2898 |
1.2884 |
-0.0014 |
-0.1% |
1.4167 |
| Low |
1.2518 |
1.2577 |
0.0059 |
0.5% |
1.2858 |
| Close |
1.2765 |
1.2615 |
-0.0150 |
-1.2% |
1.2898 |
| Range |
0.0380 |
0.0307 |
-0.0073 |
-19.2% |
0.1309 |
| ATR |
0.0322 |
0.0321 |
-0.0001 |
-0.3% |
0.0000 |
| Volume |
36,829 |
35,274 |
-1,555 |
-4.2% |
349,913 |
|
| Daily Pivots for day following 16-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3613 |
1.3421 |
1.2784 |
|
| R3 |
1.3306 |
1.3114 |
1.2699 |
|
| R2 |
1.2999 |
1.2999 |
1.2671 |
|
| R1 |
1.2807 |
1.2807 |
1.2643 |
1.2750 |
| PP |
1.2692 |
1.2692 |
1.2692 |
1.2663 |
| S1 |
1.2500 |
1.2500 |
1.2587 |
1.2443 |
| S2 |
1.2385 |
1.2385 |
1.2559 |
|
| S3 |
1.2078 |
1.2193 |
1.2531 |
|
| S4 |
1.1771 |
1.1886 |
1.2446 |
|
|
| 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 |
1.3949 |
1.2518 |
0.1431 |
11.3% |
0.0441 |
3.5% |
7% |
False |
False |
52,099 |
| 10 |
1.4167 |
1.2518 |
0.1649 |
13.1% |
0.0436 |
3.5% |
6% |
False |
False |
62,697 |
| 20 |
1.4167 |
1.2119 |
0.2048 |
16.2% |
0.0317 |
2.5% |
24% |
False |
False |
53,549 |
| 40 |
1.4167 |
1.1731 |
0.2436 |
19.3% |
0.0232 |
1.8% |
36% |
False |
False |
50,161 |
| 60 |
1.4167 |
1.1253 |
0.2914 |
23.1% |
0.0196 |
1.6% |
47% |
False |
False |
39,829 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
23.6% |
0.0174 |
1.4% |
48% |
False |
False |
29,895 |
| 100 |
1.4167 |
1.0725 |
0.3442 |
27.3% |
0.0152 |
1.2% |
55% |
False |
False |
23,921 |
| 120 |
1.4167 |
1.0696 |
0.3471 |
27.5% |
0.0130 |
1.0% |
55% |
False |
False |
19,935 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4189 |
|
2.618 |
1.3688 |
|
1.618 |
1.3381 |
|
1.000 |
1.3191 |
|
0.618 |
1.3074 |
|
HIGH |
1.2884 |
|
0.618 |
1.2767 |
|
0.500 |
1.2731 |
|
0.382 |
1.2694 |
|
LOW |
1.2577 |
|
0.618 |
1.2387 |
|
1.000 |
1.2270 |
|
1.618 |
1.2080 |
|
2.618 |
1.1773 |
|
4.250 |
1.1272 |
|
|
| Fisher Pivots for day following 16-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2731 |
1.2891 |
| PP |
1.2692 |
1.2799 |
| S1 |
1.2654 |
1.2707 |
|