CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 24-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Aug-2011 |
24-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2675 |
1.2636 |
-0.0039 |
-0.3% |
1.2805 |
| High |
1.2751 |
1.2717 |
-0.0034 |
-0.3% |
1.2898 |
| Low |
1.2626 |
1.2576 |
-0.0050 |
-0.4% |
1.2488 |
| Close |
1.2662 |
1.2599 |
-0.0063 |
-0.5% |
1.2713 |
| Range |
0.0125 |
0.0141 |
0.0016 |
12.8% |
0.0410 |
| ATR |
0.0282 |
0.0272 |
-0.0010 |
-3.6% |
0.0000 |
| Volume |
15,969 |
18,782 |
2,813 |
17.6% |
174,676 |
|
| Daily Pivots for day following 24-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3054 |
1.2967 |
1.2677 |
|
| R3 |
1.2913 |
1.2826 |
1.2638 |
|
| R2 |
1.2772 |
1.2772 |
1.2625 |
|
| R1 |
1.2685 |
1.2685 |
1.2612 |
1.2658 |
| PP |
1.2631 |
1.2631 |
1.2631 |
1.2617 |
| S1 |
1.2544 |
1.2544 |
1.2586 |
1.2517 |
| S2 |
1.2490 |
1.2490 |
1.2573 |
|
| S3 |
1.2349 |
1.2403 |
1.2560 |
|
| S4 |
1.2208 |
1.2262 |
1.2521 |
|
|
| 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 |
1.2531 |
0.0299 |
2.4% |
0.0170 |
1.3% |
23% |
False |
False |
20,796 |
| 10 |
1.3845 |
1.2488 |
0.1357 |
10.8% |
0.0307 |
2.4% |
8% |
False |
False |
35,429 |
| 20 |
1.4167 |
1.2432 |
0.1735 |
13.8% |
0.0333 |
2.6% |
10% |
False |
False |
50,416 |
| 40 |
1.4167 |
1.1731 |
0.2436 |
19.3% |
0.0244 |
1.9% |
36% |
False |
False |
48,375 |
| 60 |
1.4167 |
1.1701 |
0.2466 |
19.6% |
0.0202 |
1.6% |
36% |
False |
False |
42,345 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
23.6% |
0.0182 |
1.4% |
47% |
False |
False |
31,813 |
| 100 |
1.4167 |
1.0810 |
0.3357 |
26.6% |
0.0159 |
1.3% |
53% |
False |
False |
25,458 |
| 120 |
1.4167 |
1.0696 |
0.3471 |
27.5% |
0.0140 |
1.1% |
55% |
False |
False |
21,217 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3316 |
|
2.618 |
1.3086 |
|
1.618 |
1.2945 |
|
1.000 |
1.2858 |
|
0.618 |
1.2804 |
|
HIGH |
1.2717 |
|
0.618 |
1.2663 |
|
0.500 |
1.2647 |
|
0.382 |
1.2630 |
|
LOW |
1.2576 |
|
0.618 |
1.2489 |
|
1.000 |
1.2435 |
|
1.618 |
1.2348 |
|
2.618 |
1.2207 |
|
4.250 |
1.1977 |
|
|
| Fisher Pivots for day following 24-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2647 |
1.2678 |
| PP |
1.2631 |
1.2651 |
| S1 |
1.2615 |
1.2625 |
|