CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 30-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Aug-2011 |
30-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2399 |
1.2259 |
-0.0140 |
-1.1% |
1.2675 |
| High |
1.2404 |
1.2324 |
-0.0080 |
-0.6% |
1.2779 |
| Low |
1.2143 |
1.2152 |
0.0009 |
0.1% |
1.2265 |
| Close |
1.2274 |
1.2203 |
-0.0071 |
-0.6% |
1.2395 |
| Range |
0.0261 |
0.0172 |
-0.0089 |
-34.1% |
0.0514 |
| ATR |
0.0272 |
0.0265 |
-0.0007 |
-2.6% |
0.0000 |
| Volume |
25,369 |
19,099 |
-6,270 |
-24.7% |
113,055 |
|
| Daily Pivots for day following 30-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2742 |
1.2645 |
1.2298 |
|
| R3 |
1.2570 |
1.2473 |
1.2250 |
|
| R2 |
1.2398 |
1.2398 |
1.2235 |
|
| R1 |
1.2301 |
1.2301 |
1.2219 |
1.2264 |
| PP |
1.2226 |
1.2226 |
1.2226 |
1.2208 |
| S1 |
1.2129 |
1.2129 |
1.2187 |
1.2092 |
| S2 |
1.2054 |
1.2054 |
1.2171 |
|
| S3 |
1.1882 |
1.1957 |
1.2156 |
|
| S4 |
1.1710 |
1.1785 |
1.2108 |
|
|
| 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 |
1.2717 |
1.2143 |
0.0574 |
4.7% |
0.0224 |
1.8% |
10% |
False |
False |
25,018 |
| 10 |
1.2830 |
1.2143 |
0.0687 |
5.6% |
0.0214 |
1.8% |
9% |
False |
False |
26,009 |
| 20 |
1.4167 |
1.2143 |
0.2024 |
16.6% |
0.0325 |
2.7% |
3% |
False |
False |
44,353 |
| 40 |
1.4167 |
1.1738 |
0.2429 |
19.9% |
0.0252 |
2.1% |
19% |
False |
False |
45,849 |
| 60 |
1.4167 |
1.1701 |
0.2466 |
20.2% |
0.0210 |
1.7% |
20% |
False |
False |
43,980 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
24.4% |
0.0187 |
1.5% |
34% |
False |
False |
33,137 |
| 100 |
1.4167 |
1.0950 |
0.3217 |
26.4% |
0.0167 |
1.4% |
39% |
False |
False |
26,520 |
| 120 |
1.4167 |
1.0725 |
0.3442 |
28.2% |
0.0148 |
1.2% |
43% |
False |
False |
22,103 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3055 |
|
2.618 |
1.2774 |
|
1.618 |
1.2602 |
|
1.000 |
1.2496 |
|
0.618 |
1.2430 |
|
HIGH |
1.2324 |
|
0.618 |
1.2258 |
|
0.500 |
1.2238 |
|
0.382 |
1.2218 |
|
LOW |
1.2152 |
|
0.618 |
1.2046 |
|
1.000 |
1.1980 |
|
1.618 |
1.1874 |
|
2.618 |
1.1702 |
|
4.250 |
1.1421 |
|
|
| Fisher Pivots for day following 30-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2238 |
1.2411 |
| PP |
1.2226 |
1.2341 |
| S1 |
1.2215 |
1.2272 |
|