CME Swiss Franc Future September 2011


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Trading Metrics calculated at close of trading on 25-Aug-2011
Day Change Summary
Previous Current
24-Aug-2011 25-Aug-2011 Change Change % Previous Week
Open 1.2636 1.2578 -0.0058 -0.5% 1.2805
High 1.2717 1.2655 -0.0062 -0.5% 1.2898
Low 1.2576 1.2523 -0.0053 -0.4% 1.2488
Close 1.2599 1.2601 0.0002 0.0% 1.2713
Range 0.0141 0.0132 -0.0009 -6.4% 0.0410
ATR 0.0272 0.0262 -0.0010 -3.7% 0.0000
Volume 18,782 23,764 4,982 26.5% 174,676
Daily Pivots for day following 25-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.2989 1.2927 1.2674
R3 1.2857 1.2795 1.2637
R2 1.2725 1.2725 1.2625
R1 1.2663 1.2663 1.2613 1.2694
PP 1.2593 1.2593 1.2593 1.2609
S1 1.2531 1.2531 1.2589 1.2562
S2 1.2461 1.2461 1.2577
S3 1.2329 1.2399 1.2565
S4 1.2197 1.2267 1.2528
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 1.2523 0.0307 2.4% 0.0153 1.2% 25% False True 19,761
10 1.3264 1.2488 0.0776 6.2% 0.0239 1.9% 15% False False 29,735
20 1.4167 1.2455 0.1712 13.6% 0.0335 2.7% 9% False False 50,035
40 1.4167 1.1731 0.2436 19.3% 0.0245 1.9% 36% False False 47,823
60 1.4167 1.1701 0.2466 19.6% 0.0201 1.6% 36% False False 42,726
80 1.4167 1.1195 0.2972 23.6% 0.0182 1.4% 47% False False 32,109
100 1.4167 1.0810 0.3357 26.6% 0.0160 1.3% 53% False False 25,695
120 1.4167 1.0696 0.3471 27.5% 0.0141 1.1% 55% False False 21,415
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
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 0.0069
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.3216
2.618 1.3001
1.618 1.2869
1.000 1.2787
0.618 1.2737
HIGH 1.2655
0.618 1.2605
0.500 1.2589
0.382 1.2573
LOW 1.2523
0.618 1.2441
1.000 1.2391
1.618 1.2309
2.618 1.2177
4.250 1.1962
Fisher Pivots for day following 25-Aug-2011
Pivot 1 day 3 day
R1 1.2597 1.2637
PP 1.2593 1.2625
S1 1.2589 1.2613

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

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