CME Swiss Franc Future September 2011


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Trading Metrics calculated at close of trading on 17-Aug-2011
Day Change Summary
Previous Current
16-Aug-2011 17-Aug-2011 Change Change % Previous Week
Open 1.2787 1.2561 -0.0226 -1.8% 1.3185
High 1.2884 1.2798 -0.0086 -0.7% 1.4167
Low 1.2577 1.2488 -0.0089 -0.7% 1.2858
Close 1.2615 1.2693 0.0078 0.6% 1.2898
Range 0.0307 0.0310 0.0003 1.0% 0.1309
ATR 0.0321 0.0320 -0.0001 -0.2% 0.0000
Volume 35,274 49,801 14,527 41.2% 349,913
Daily Pivots for day following 17-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.3590 1.3451 1.2864
R3 1.3280 1.3141 1.2778
R2 1.2970 1.2970 1.2750
R1 1.2831 1.2831 1.2721 1.2901
PP 1.2660 1.2660 1.2660 1.2694
S1 1.2521 1.2521 1.2665 1.2591
S2 1.2350 1.2350 1.2636
S3 1.2040 1.2211 1.2608
S4 1.1730 1.1901 1.2523
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 1.3845 1.2488 0.1357 10.7% 0.0444 3.5% 15% False True 50,061
10 1.4167 1.2488 0.1679 13.2% 0.0440 3.5% 12% False True 59,448
20 1.4167 1.2128 0.2039 16.1% 0.0327 2.6% 28% False False 54,274
40 1.4167 1.1731 0.2436 19.2% 0.0238 1.9% 39% False False 50,690
60 1.4167 1.1253 0.2914 23.0% 0.0199 1.6% 49% False False 40,656
80 1.4167 1.1195 0.2972 23.4% 0.0177 1.4% 50% False False 30,517
100 1.4167 1.0725 0.3442 27.1% 0.0154 1.2% 57% False False 24,419
120 1.4167 1.0696 0.3471 27.3% 0.0133 1.0% 58% False False 20,350
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0099
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.4116
2.618 1.3610
1.618 1.3300
1.000 1.3108
0.618 1.2990
HIGH 1.2798
0.618 1.2680
0.500 1.2643
0.382 1.2606
LOW 1.2488
0.618 1.2296
1.000 1.2178
1.618 1.1986
2.618 1.1676
4.250 1.1171
Fisher Pivots for day following 17-Aug-2011
Pivot 1 day 3 day
R1 1.2676 1.2693
PP 1.2660 1.2693
S1 1.2643 1.2693

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

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