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
Crabel Price Patterns
NR True
NR4 True
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0095
Narrowest range in 4 trading days
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

These figures are updated between 7pm and 10pm EST after a trading day.

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