CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 23-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Aug-2011 |
23-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2675 |
1.2675 |
0.0000 |
0.0% |
1.2805 |
| High |
1.2779 |
1.2751 |
-0.0028 |
-0.2% |
1.2898 |
| Low |
1.2664 |
1.2626 |
-0.0038 |
-0.3% |
1.2488 |
| Close |
1.2673 |
1.2662 |
-0.0011 |
-0.1% |
1.2713 |
| Range |
0.0115 |
0.0125 |
0.0010 |
8.7% |
0.0410 |
| ATR |
0.0294 |
0.0282 |
-0.0012 |
-4.1% |
0.0000 |
| Volume |
16,460 |
15,969 |
-491 |
-3.0% |
174,676 |
|
| Daily Pivots for day following 23-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3055 |
1.2983 |
1.2731 |
|
| R3 |
1.2930 |
1.2858 |
1.2696 |
|
| R2 |
1.2805 |
1.2805 |
1.2685 |
|
| R1 |
1.2733 |
1.2733 |
1.2673 |
1.2707 |
| PP |
1.2680 |
1.2680 |
1.2680 |
1.2666 |
| S1 |
1.2608 |
1.2608 |
1.2651 |
1.2582 |
| S2 |
1.2555 |
1.2555 |
1.2639 |
|
| S3 |
1.2430 |
1.2483 |
1.2628 |
|
| S4 |
1.2305 |
1.2358 |
1.2593 |
|
|
| 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 |
1.2830 |
1.2488 |
0.0342 |
2.7% |
0.0204 |
1.6% |
51% |
False |
False |
27,000 |
| 10 |
1.3949 |
1.2488 |
0.1461 |
11.5% |
0.0323 |
2.5% |
12% |
False |
False |
39,549 |
| 20 |
1.4167 |
1.2430 |
0.1737 |
13.7% |
0.0330 |
2.6% |
13% |
False |
False |
51,136 |
| 40 |
1.4167 |
1.1731 |
0.2436 |
19.2% |
0.0244 |
1.9% |
38% |
False |
False |
48,971 |
| 60 |
1.4167 |
1.1701 |
0.2466 |
19.5% |
0.0202 |
1.6% |
39% |
False |
False |
42,053 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
23.5% |
0.0181 |
1.4% |
49% |
False |
False |
31,580 |
| 100 |
1.4167 |
1.0725 |
0.3442 |
27.2% |
0.0159 |
1.3% |
56% |
False |
False |
25,270 |
| 120 |
1.4167 |
1.0696 |
0.3471 |
27.4% |
0.0138 |
1.1% |
57% |
False |
False |
21,060 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3282 |
|
2.618 |
1.3078 |
|
1.618 |
1.2953 |
|
1.000 |
1.2876 |
|
0.618 |
1.2828 |
|
HIGH |
1.2751 |
|
0.618 |
1.2703 |
|
0.500 |
1.2689 |
|
0.382 |
1.2674 |
|
LOW |
1.2626 |
|
0.618 |
1.2549 |
|
1.000 |
1.2501 |
|
1.618 |
1.2424 |
|
2.618 |
1.2299 |
|
4.250 |
1.2095 |
|
|
| Fisher Pivots for day following 23-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2689 |
1.2705 |
| PP |
1.2680 |
1.2691 |
| S1 |
1.2671 |
1.2676 |
|