CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 22-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Aug-2011 |
22-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2607 |
1.2675 |
0.0068 |
0.5% |
1.2805 |
| High |
1.2830 |
1.2779 |
-0.0051 |
-0.4% |
1.2898 |
| Low |
1.2580 |
1.2664 |
0.0084 |
0.7% |
1.2488 |
| Close |
1.2713 |
1.2673 |
-0.0040 |
-0.3% |
1.2713 |
| Range |
0.0250 |
0.0115 |
-0.0135 |
-54.0% |
0.0410 |
| ATR |
0.0308 |
0.0294 |
-0.0014 |
-4.5% |
0.0000 |
| Volume |
23,832 |
16,460 |
-7,372 |
-30.9% |
174,676 |
|
| Daily Pivots for day following 22-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3050 |
1.2977 |
1.2736 |
|
| R3 |
1.2935 |
1.2862 |
1.2705 |
|
| R2 |
1.2820 |
1.2820 |
1.2694 |
|
| R1 |
1.2747 |
1.2747 |
1.2684 |
1.2726 |
| PP |
1.2705 |
1.2705 |
1.2705 |
1.2695 |
| S1 |
1.2632 |
1.2632 |
1.2662 |
1.2611 |
| S2 |
1.2590 |
1.2590 |
1.2652 |
|
| S3 |
1.2475 |
1.2517 |
1.2641 |
|
| S4 |
1.2360 |
1.2402 |
1.2610 |
|
|
| Weekly Pivots for week ending 19-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3930 |
1.3731 |
1.2939 |
|
| R3 |
1.3520 |
1.3321 |
1.2826 |
|
| R2 |
1.3110 |
1.3110 |
1.2788 |
|
| R1 |
1.2911 |
1.2911 |
1.2751 |
1.2806 |
| PP |
1.2700 |
1.2700 |
1.2700 |
1.2647 |
| S1 |
1.2501 |
1.2501 |
1.2675 |
1.2396 |
| S2 |
1.2290 |
1.2290 |
1.2638 |
|
| S3 |
1.1880 |
1.2091 |
1.2600 |
|
| S4 |
1.1470 |
1.1681 |
1.2488 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2884 |
1.2488 |
0.0396 |
3.1% |
0.0240 |
1.9% |
47% |
False |
False |
30,861 |
| 10 |
1.4167 |
1.2488 |
0.1679 |
13.2% |
0.0409 |
3.2% |
11% |
False |
False |
47,679 |
| 20 |
1.4167 |
1.2396 |
0.1771 |
14.0% |
0.0329 |
2.6% |
16% |
False |
False |
51,971 |
| 40 |
1.4167 |
1.1731 |
0.2436 |
19.2% |
0.0243 |
1.9% |
39% |
False |
False |
49,491 |
| 60 |
1.4167 |
1.1565 |
0.2602 |
20.5% |
0.0203 |
1.6% |
43% |
False |
False |
41,791 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
23.5% |
0.0180 |
1.4% |
50% |
False |
False |
31,381 |
| 100 |
1.4167 |
1.0725 |
0.3442 |
27.2% |
0.0158 |
1.2% |
57% |
False |
False |
25,111 |
| 120 |
1.4167 |
1.0696 |
0.3471 |
27.4% |
0.0137 |
1.1% |
57% |
False |
False |
20,927 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3268 |
|
2.618 |
1.3080 |
|
1.618 |
1.2965 |
|
1.000 |
1.2894 |
|
0.618 |
1.2850 |
|
HIGH |
1.2779 |
|
0.618 |
1.2735 |
|
0.500 |
1.2722 |
|
0.382 |
1.2708 |
|
LOW |
1.2664 |
|
0.618 |
1.2593 |
|
1.000 |
1.2549 |
|
1.618 |
1.2478 |
|
2.618 |
1.2363 |
|
4.250 |
1.2175 |
|
|
| Fisher Pivots for day following 22-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2722 |
1.2681 |
| PP |
1.2705 |
1.2678 |
| S1 |
1.2689 |
1.2676 |
|