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
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 0.0038
Narrowest range in 2 trading days
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

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

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