CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 18-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
17-Aug-2011 |
18-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2561 |
1.2685 |
0.0124 |
1.0% |
1.3185 |
| High |
1.2798 |
1.2750 |
-0.0048 |
-0.4% |
1.4167 |
| Low |
1.2488 |
1.2531 |
0.0043 |
0.3% |
1.2858 |
| Close |
1.2693 |
1.2636 |
-0.0057 |
-0.4% |
1.2898 |
| Range |
0.0310 |
0.0219 |
-0.0091 |
-29.4% |
0.1309 |
| ATR |
0.0320 |
0.0313 |
-0.0007 |
-2.3% |
0.0000 |
| Volume |
49,801 |
28,940 |
-20,861 |
-41.9% |
349,913 |
|
| Daily Pivots for day following 18-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3296 |
1.3185 |
1.2756 |
|
| R3 |
1.3077 |
1.2966 |
1.2696 |
|
| R2 |
1.2858 |
1.2858 |
1.2676 |
|
| R1 |
1.2747 |
1.2747 |
1.2656 |
1.2693 |
| PP |
1.2639 |
1.2639 |
1.2639 |
1.2612 |
| S1 |
1.2528 |
1.2528 |
1.2616 |
1.2474 |
| S2 |
1.2420 |
1.2420 |
1.2596 |
|
| S3 |
1.2201 |
1.2309 |
1.2576 |
|
| S4 |
1.1982 |
1.2090 |
1.2516 |
|
|
| 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 |
1.3264 |
1.2488 |
0.0776 |
6.1% |
0.0324 |
2.6% |
19% |
False |
False |
39,709 |
| 10 |
1.4167 |
1.2488 |
0.1679 |
13.3% |
0.0433 |
3.4% |
9% |
False |
False |
56,193 |
| 20 |
1.4167 |
1.2128 |
0.2039 |
16.1% |
0.0330 |
2.6% |
25% |
False |
False |
53,440 |
| 40 |
1.4167 |
1.1731 |
0.2436 |
19.3% |
0.0240 |
1.9% |
37% |
False |
False |
50,436 |
| 60 |
1.4167 |
1.1360 |
0.2807 |
22.2% |
0.0200 |
1.6% |
45% |
False |
False |
41,135 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
23.5% |
0.0179 |
1.4% |
48% |
False |
False |
30,878 |
| 100 |
1.4167 |
1.0725 |
0.3442 |
27.2% |
0.0155 |
1.2% |
56% |
False |
False |
24,708 |
| 120 |
1.4167 |
1.0696 |
0.3471 |
27.5% |
0.0134 |
1.1% |
56% |
False |
False |
20,592 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3681 |
|
2.618 |
1.3323 |
|
1.618 |
1.3104 |
|
1.000 |
1.2969 |
|
0.618 |
1.2885 |
|
HIGH |
1.2750 |
|
0.618 |
1.2666 |
|
0.500 |
1.2641 |
|
0.382 |
1.2615 |
|
LOW |
1.2531 |
|
0.618 |
1.2396 |
|
1.000 |
1.2312 |
|
1.618 |
1.2177 |
|
2.618 |
1.1958 |
|
4.250 |
1.1600 |
|
|
| Fisher Pivots for day following 18-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2641 |
1.2686 |
| PP |
1.2639 |
1.2669 |
| S1 |
1.2638 |
1.2653 |
|