CME Swiss Franc Future September 2011


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Trading Metrics calculated at close of trading on 26-Aug-2011
Day Change Summary
Previous Current
25-Aug-2011 26-Aug-2011 Change Change % Previous Week
Open 1.2578 1.2610 0.0032 0.3% 1.2675
High 1.2655 1.2678 0.0023 0.2% 1.2779
Low 1.2523 1.2265 -0.0258 -2.1% 1.2265
Close 1.2601 1.2395 -0.0206 -1.6% 1.2395
Range 0.0132 0.0413 0.0281 212.9% 0.0514
ATR 0.0262 0.0273 0.0011 4.1% 0.0000
Volume 23,764 38,080 14,316 60.2% 113,055
Daily Pivots for day following 26-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.3685 1.3453 1.2622
R3 1.3272 1.3040 1.2509
R2 1.2859 1.2859 1.2471
R1 1.2627 1.2627 1.2433 1.2537
PP 1.2446 1.2446 1.2446 1.2401
S1 1.2214 1.2214 1.2357 1.2124
S2 1.2033 1.2033 1.2319
S3 1.1620 1.1801 1.2281
S4 1.1207 1.1388 1.2168
Weekly Pivots for week ending 26-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.4022 1.3722 1.2678
R3 1.3508 1.3208 1.2536
R2 1.2994 1.2994 1.2489
R1 1.2694 1.2694 1.2442 1.2587
PP 1.2480 1.2480 1.2480 1.2426
S1 1.2180 1.2180 1.2348 1.2073
S2 1.1966 1.1966 1.2301
S3 1.1452 1.1666 1.2254
S4 1.0938 1.1152 1.2112
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.2779 1.2265 0.0514 4.1% 0.0185 1.5% 25% False True 22,611
10 1.2898 1.2265 0.0633 5.1% 0.0239 1.9% 21% False True 28,773
20 1.4167 1.2265 0.1902 15.3% 0.0341 2.7% 7% False True 48,406
40 1.4167 1.1731 0.2436 19.7% 0.0250 2.0% 27% False False 47,347
60 1.4167 1.1701 0.2466 19.9% 0.0206 1.7% 28% False False 43,344
80 1.4167 1.1195 0.2972 24.0% 0.0186 1.5% 40% False False 32,585
100 1.4167 1.0810 0.3357 27.1% 0.0164 1.3% 47% False False 26,076
120 1.4167 1.0725 0.3442 27.8% 0.0144 1.2% 49% False False 21,732
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0060
Widest range in 11 trading days
Fibonacci Retracements and Extensions
4.250 1.4433
2.618 1.3759
1.618 1.3346
1.000 1.3091
0.618 1.2933
HIGH 1.2678
0.618 1.2520
0.500 1.2472
0.382 1.2423
LOW 1.2265
0.618 1.2010
1.000 1.1852
1.618 1.1597
2.618 1.1184
4.250 1.0510
Fisher Pivots for day following 26-Aug-2011
Pivot 1 day 3 day
R1 1.2472 1.2491
PP 1.2446 1.2459
S1 1.2421 1.2427

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

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