CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 31-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Aug-2011 |
31-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2259 |
1.2190 |
-0.0069 |
-0.6% |
1.2675 |
| High |
1.2324 |
1.2514 |
0.0190 |
1.5% |
1.2779 |
| Low |
1.2152 |
1.2187 |
0.0035 |
0.3% |
1.2265 |
| Close |
1.2203 |
1.2430 |
0.0227 |
1.9% |
1.2395 |
| Range |
0.0172 |
0.0327 |
0.0155 |
90.1% |
0.0514 |
| ATR |
0.0265 |
0.0269 |
0.0004 |
1.7% |
0.0000 |
| Volume |
19,099 |
30,157 |
11,058 |
57.9% |
113,055 |
|
| Daily Pivots for day following 31-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3358 |
1.3221 |
1.2610 |
|
| R3 |
1.3031 |
1.2894 |
1.2520 |
|
| R2 |
1.2704 |
1.2704 |
1.2490 |
|
| R1 |
1.2567 |
1.2567 |
1.2460 |
1.2636 |
| PP |
1.2377 |
1.2377 |
1.2377 |
1.2411 |
| S1 |
1.2240 |
1.2240 |
1.2400 |
1.2309 |
| S2 |
1.2050 |
1.2050 |
1.2370 |
|
| S3 |
1.1723 |
1.1913 |
1.2340 |
|
| S4 |
1.1396 |
1.1586 |
1.2250 |
|
|
| 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 |
1.2678 |
1.2143 |
0.0535 |
4.3% |
0.0261 |
2.1% |
54% |
False |
False |
27,293 |
| 10 |
1.2830 |
1.2143 |
0.0687 |
5.5% |
0.0216 |
1.7% |
42% |
False |
False |
24,045 |
| 20 |
1.4167 |
1.2143 |
0.2024 |
16.3% |
0.0328 |
2.6% |
14% |
False |
False |
41,746 |
| 40 |
1.4167 |
1.1738 |
0.2429 |
19.5% |
0.0257 |
2.1% |
28% |
False |
False |
45,482 |
| 60 |
1.4167 |
1.1701 |
0.2466 |
19.8% |
0.0214 |
1.7% |
30% |
False |
False |
44,272 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
23.9% |
0.0190 |
1.5% |
42% |
False |
False |
33,511 |
| 100 |
1.4167 |
1.1005 |
0.3162 |
25.4% |
0.0170 |
1.4% |
45% |
False |
False |
26,822 |
| 120 |
1.4167 |
1.0725 |
0.3442 |
27.7% |
0.0150 |
1.2% |
50% |
False |
False |
22,354 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3904 |
|
2.618 |
1.3370 |
|
1.618 |
1.3043 |
|
1.000 |
1.2841 |
|
0.618 |
1.2716 |
|
HIGH |
1.2514 |
|
0.618 |
1.2389 |
|
0.500 |
1.2351 |
|
0.382 |
1.2312 |
|
LOW |
1.2187 |
|
0.618 |
1.1985 |
|
1.000 |
1.1860 |
|
1.618 |
1.1658 |
|
2.618 |
1.1331 |
|
4.250 |
1.0797 |
|
|
| Fisher Pivots for day following 31-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2404 |
1.2396 |
| PP |
1.2377 |
1.2362 |
| S1 |
1.2351 |
1.2329 |
|