CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 01-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-Aug-2011 |
01-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2190 |
1.2404 |
0.0214 |
1.8% |
1.2675 |
| High |
1.2514 |
1.2621 |
0.0107 |
0.9% |
1.2779 |
| Low |
1.2187 |
1.2364 |
0.0177 |
1.5% |
1.2265 |
| Close |
1.2430 |
1.2596 |
0.0166 |
1.3% |
1.2395 |
| Range |
0.0327 |
0.0257 |
-0.0070 |
-21.4% |
0.0514 |
| ATR |
0.0269 |
0.0268 |
-0.0001 |
-0.3% |
0.0000 |
| Volume |
30,157 |
25,144 |
-5,013 |
-16.6% |
113,055 |
|
| Daily Pivots for day following 01-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3298 |
1.3204 |
1.2737 |
|
| R3 |
1.3041 |
1.2947 |
1.2667 |
|
| R2 |
1.2784 |
1.2784 |
1.2643 |
|
| R1 |
1.2690 |
1.2690 |
1.2620 |
1.2737 |
| PP |
1.2527 |
1.2527 |
1.2527 |
1.2551 |
| S1 |
1.2433 |
1.2433 |
1.2572 |
1.2480 |
| S2 |
1.2270 |
1.2270 |
1.2549 |
|
| S3 |
1.2013 |
1.2176 |
1.2525 |
|
| S4 |
1.1756 |
1.1919 |
1.2455 |
|
|
| 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 |
4.2% |
0.0286 |
2.3% |
85% |
False |
False |
27,569 |
| 10 |
1.2830 |
1.2143 |
0.0687 |
5.5% |
0.0219 |
1.7% |
66% |
False |
False |
23,665 |
| 20 |
1.4167 |
1.2143 |
0.2024 |
16.1% |
0.0326 |
2.6% |
22% |
False |
False |
39,929 |
| 40 |
1.4167 |
1.1738 |
0.2429 |
19.3% |
0.0259 |
2.1% |
35% |
False |
False |
44,927 |
| 60 |
1.4167 |
1.1701 |
0.2466 |
19.6% |
0.0217 |
1.7% |
36% |
False |
False |
44,263 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
23.6% |
0.0192 |
1.5% |
47% |
False |
False |
33,825 |
| 100 |
1.4167 |
1.1055 |
0.3112 |
24.7% |
0.0172 |
1.4% |
50% |
False |
False |
27,073 |
| 120 |
1.4167 |
1.0725 |
0.3442 |
27.3% |
0.0152 |
1.2% |
54% |
False |
False |
22,564 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3713 |
|
2.618 |
1.3294 |
|
1.618 |
1.3037 |
|
1.000 |
1.2878 |
|
0.618 |
1.2780 |
|
HIGH |
1.2621 |
|
0.618 |
1.2523 |
|
0.500 |
1.2493 |
|
0.382 |
1.2462 |
|
LOW |
1.2364 |
|
0.618 |
1.2205 |
|
1.000 |
1.2107 |
|
1.618 |
1.1948 |
|
2.618 |
1.1691 |
|
4.250 |
1.1272 |
|
|
| Fisher Pivots for day following 01-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2562 |
1.2526 |
| PP |
1.2527 |
1.2456 |
| S1 |
1.2493 |
1.2387 |
|